前沿论坛 | Prof. Song-Ping Zhu, University of Wollongong

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!

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.

数字技术与现代金融学科创新引智基地

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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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