庆祝改革开放40周年、复校40周年系列讲座

信息管理学院建院30周年系列讲座

报告主题：A new integral equation formulation for American put options

报告专家： Song-Ping Zhu教授 澳大利亚卧龙岗大学

报告时间：2018年11月23日（周五）9:30-11:30

报告地点：麦庐园荟庐楼H302

报告摘要：

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.