学术报告十五:Song-Ping ZHU—A new integral equation formulation for American put options

发布时间:2018-07-13

报告时间:2018年7月17日(星期二)14:30-

报告地点:翡翠湖校区科教楼B座1710室

报 告 人Song-Ping ZHU教授

工作单位:School of Mathematics and Applied Statistics, University of Wollongong,

举办单位:数学学院

报告人简介

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. Over the past 30 years, Professor Zhu has established an outstanding research track record and his work has been recognized internationally. In terms of quantity, he has published over 150 papers in international journals and conference proceedings. In terms of quality, he has papers published in the most prestigious journals such as Mathematical Finance and Journal of Banking and Finance. In terms of citations, his publications have attracted over 1000 citations (H-index 20) according to the ISI Web of Science and over 2000 (H-index 26) according to the Google Scholar. Finally, in terms of research grants, he has been awarded over $1.9M research grants from Australia Research Council and private industry. As a result, he has been invited to give keynote speeches and seminars at many international conferences, various prestigious universities and the Wall Street. He is currently on the editorial board of three international journals.

报告简介

      In this talk, a completely new integral equation for the price of an American put option as well as its optimal exercise price is presented. Compared to existing integral equations for pricing American options, the new integral formulation has two distinguishable advantages; i) it is in a form of one dimensional integral, and ii) it is in a form that is free from any discontinuity and singularities associated with the optimal exercise boundary at the expiry time. These rather unique features have led to a significant enhancement of the computational accuracy and efficiency as shown through some examples.