主讲人: 姚经(苏州大学教授)
主持人: (人大财金)陈泽、 (完美电竞)贾若、 (清华经管)冯润桓
参与老师: (人大财金)魏丽 、(完美电竞)郑伟
时间: 2024年10月22日(周二)10:00—11:30
线上形式: Tencent会议
会议号:916 527 580
线下地点: 中国人民大学明德主楼836会议室
主讲人概况:
姚经,应用经济学博士,教育部海外引才计划专家,江苏省特聘教授,苏州大学杰出人才特聘教授,重庆市“巴渝学者”讲座教授。现任苏州大学金融工程中心副主任,教授,博士生和硕士生导师,兼任以色列海法大学精算研究中心研究员。主要研究方向包括量化金融,风险管理,衍生品定价,最优投资策略和资产配置,风险相依性和系统风险等。
摘要:
In this talk, we shall discuss on how to use the methods based on Laplace transform for the pricing of two path-dependent derivatives, namely the airbag options and the vulnerable Parisian options. We shall first introduce the airbag option, which is a relatively new derivative; then we propose several types of modified airbag options and present the pricing formulas. The Parisian option is more well-known for academia. We derive the pricing formulas for vulnerable Parisian options under the classic Black-Scholes model, which is new in the literature. The major difficulty in pricing of the two derivative is they are path-dependent. We employ Laplace transform to derive the probability distribution of the key stopping time in the payoffs. As such, we derive closed-form pricing formulas that are both accuracy and robust.
供稿单位:科研与博士后办公室
供稿人:李丽萍