The 24th Frontier Forum for Digital Technology and Finance
数字技术与经济金融前沿论坛
(第24期)
题目:Managing a bankruptcy protection
applicationwith the aid of Parasian
or Parisian options
主讲人: Song-Ping Zhu 教授
澳大利亚伍伦贡大学
主持人: 孙宪明 副教授
mg4355vip检测中心
数字技术与现代金融学科创新引智基地
时 间:2023年12月4日(周一)
10:00-11:30
地 点:文泉楼南106会议室
讲座摘要
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 an opt-out option.
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 thanits 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 exerciseright and the effect of the knock-out barrier. Of course, our approach can be easily extended to pricing other American-style Parasian options with different barrier feature.
In the context of bankruptcy protection, this means that a company may get out its bankruptcy protection period earlier than it would have otherwise believed!
嘉宾介绍
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 27). In his entire teaching and research career, he has successfully supervised many PhD students and postdocs. He has also organized two international conferences as well as being invited speakers at several international conferences.
主办单位
数字技术与现代金融学科创新引智基地
mg4355vip检测中心
财税学院 经济学院 文澜学院
统计与数学学院 信息与安全工程学院
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