報告題目：A new integral equation formulation for pricing American put options
報 告 人：Professor Songping Zhu, University of Wollongong，Australia
報告時間：2020年6月18日 9：00-10：00
報告地點：騰訊會議ID：601 972 755
會議鍊接：https://meeting.tencent.com/s/y5QRFg5Vb5AV
校内聯系人：韓月才 hanyc@jlu.edu.cn
報告摘要：
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 newly derived integral equation for pricing American options has some clear advantages over those proposed in the past with the following two unique features: i) it is in a form of one-dimensional integral, which means that it has a great advantage in terms of substantially increasing the speed with which values of an American option can be numerically computed. ii) it is in a form free from any discontinuity and singularities associated with the optimal exercise boundary (at least as far as solving the integral equation is concerned); the computational accuracy and efficiency can thus be enhanced. These rather unique features have led to a significant enhancement of the computational accuracy and efficiency as demonstrated through some examples.
報告人簡介：
諸頌平教授，1987 年畢業于美國密歇根大學獲博士學位。現為澳大利亞卧龍崗大學 （University of Wollongong）資深教授，博導，數學研究部（FOR 01 碼）主任。2009- 2013 任卧龍崗大學金融數學研究中心主任，2014-2018任卧龍崗大學數學與統計學院院長。諸頌平教授研究興趣包括金融數學與金融工程，非線性波動理論等，他共發表各類學術論文 160 餘篇，包括專業一流期刊《Mathematical Finance》、《Journal of Banking and Finance》、《Journal of Economic Dynamics and Control》、《Quantitative Finance》、《Proceedings of Royal Society London, Ser. A》、《Journal of Fluid Mechanics》和《Physics of Fluids》上都有他的代表作。論文引用在 Google Scholar 已超過 2800 多次 (H 指數 30) 、在 Scopus 則已超過 1700 多次 (H 指數 22) 、在最權威的 ISI Web of Science 也有超過1600 多次 (H 指數 21)。他的總研究經費已超過200萬澳元。諸教授至今為止已經成功地培養了15位博士研究生。他在國際學術界享有盛譽, 現擔任多個國際學術期刊的編輯委員會委員，也曾多次在國際會議上做主旨或受邀演講報告。
