报告题目：Managing a bankruptcy protection application with the aid of Parasian or Parisian options

报告人：Song-Ping Zhu

时间：2024年4月12日 上午10:30-12:00

地点：西安交通大学创新港涵英楼经济金融研究院8001会议室

报告人简介：

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. Sofar,he has published over 200 papers in international journals, such as Mathematical Finance, Journal of Economic Dynamics and Control, Journal of Banking Finance, Journal of Future Market et al. 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 27). He has also organized two international conferences as well as being invited speakers at several international conferences.

摘要：

With Evergrande's recent bankruptcy protection application in the US, my research in the area of pricing Parisian and Parasian options over the past 10 years may help more companies to understand how to properly manage a bankruptcy protection application with the aid of down-and--out Parasian options. With only one-character difference between the two words"Parisian" and"Parasian"， pricing an American-style Parasian option is drastically different from pricing its former counterpart.

In this talk, I shall demonstrate how we have overcome, through an integral equation approach, the major difficulty of numerically solving a pair of coupled three dimensional (3-D) PDE systems instead of a 2-D PDE system coupled with another 3-D one (for Parisian options) with the existence of a moving boundary that has fully nonlinearized the entire PDE systems. Utilizing the computed optimal exercise price, we are able to quantitatively discuss how much earlier an American-style up-and-out Parasian option should be exercised than its Parisian counterpart with a change of the accumulativeness of the so-called "tracking clock" time, which measures the risk of a contract being potentially knocked out, as well as the financial insights in terms of the nonlinear interactions between the holder's American-style early exercise right and the effect of the knock-out barrier.

经济与金融学院

2024年4月7日