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BIMSA 数字经济实验室讨论班
BIMSA 数字经济实验室讨论班
Price connection between Parasian options with a moving window and their “fixed window” counterparts
Price connection between Parasian options with a moving window and their “fixed window” counterparts
演讲者
诸颂平
时间
2026年06月16日 15:00 至 17:00
地点
A6-101
线上
Zoom 435 529 7909
(BIMSA)
摘要
As exotic options, Parisian and Parasian options can be very useful in determining if a bankruptcy protection should be sought. This paper untangles a price connection between Parasian options with a moving window and their seemly disconnected “fixed window” counterparts through a simple and elegant coordinate transform to the pricing PDE (Partial Differential Equation) system. As a result of our newly discovered quantitative connection between the two, not only are we able to price the former much more efficiently through the latter, we can also provide a better understanding and financial interpretation of the former in their application in finance, particularly corporate finance, as well as potentially for other derivatives of similar “window-sampling” structure such as convertible bonds with the conversion right being defined on a moving window.
演讲者介绍
Dr. Song-Ping Zhu is a Senior Professor of Applied Mathematics at the University of Wollongong, Australia. He graduated from the University of Michigan (Ann Arbor, Michigan, U.S.A.) with a PhD degree in December 1987. Having published over 200 papers in international journals and conference proceedings and attracted over $2M funding supports from ARC (Australian Research Council) and private industries, his research work has been recognized both nationally and internationally (ISI Web of Science shows that his total citation number is over 2000 with an H-Index of 32). In his entire teaching and research career, he has successfully supervised 18 PhD students and quite a few postdocs. He has also organized two international conferences as well as being invited speakers at several international conferences.