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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.


专家介绍:

Song-Ping Zhu,博士,澳大利亚卧龙岗大学数学与应用统计学院院长、教授,主要从事计算数学和金融数学的研究工作。主持澳大利亚ARC基金15项,是International Journal of Computer Mathematics, The ANZIAM Journal, J. of Hydrodynamics等国际知名学术期刊的副主编、编委。现已发表学术论文一百六十多篇,包括专业一流期刊 Mathematical Finance, Journal of Economic Dynamics and Control, Journal of Futures Markets, Proceedings of Royal Society London, Ser. A, Journal of Fluid MechanicsPhysics of Fluids上都有他的代表作。论文在权威的ISI Web of Science引用1100多次。在2006年,Zhu教授在Quantitative Finance杂志上发表了题为《美式期权级数型式的解析解》的文章,解决了American Put Options 定价的解析解问题,具有里程碑意义,被载入Wikipedia。

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