金融工程研究中心学术报告：Managing a bankruptcy protection application with the aid of Parasian or Parisian options

报告人：Song-Ping Zhu教授 时  间：2023年12月1日（星期五） 15：30 --17:00 地  点：览秀楼105室 报告摘要: 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. Of course, our approach can be easily extended to pricing other American-style Parasian options with different barrier features. 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!   个人简介: 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. 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.