报告题目: Price connection between Parasian options with a moving window and their“fixed window” counterparts

报告人：诸颂平（澳大利亚伍伦贡大学应用数学系教授）

报告时间：2025年2月23日 10:00

报告地点：文波楼智慧教室205

摘要: This paper untangles a price connection between Parasian options with a moving window and their seemly disconnected“fixed window” counterparts through a simple and elegant coordinate transform to the pricing PDE (Partial Differential Equation) system. As a result of our newly discovered quantitative connection between the two, not only are we able to price the former much more efficiently through the latter, we can also provide a better understanding and financial interpretation of the former in their application in finance, particularly corporate finance, as well as an efficient approach to pricing other derivatives of similar “window-sampling” structure such as convertible bonds with the conversion right being defined on a moving window.

报告人简介: 诸颂平教授是澳大利亚伍伦贡大学应用数学系资深教授。他于1987年12月毕业于密歇根大学并获博士学位，累计在国际期刊和会议论文集上发表论文200余篇，吸引了澳大利亚研究理事会（ARC）和私营企业超过  200  万美元的资金支持。此外，诸颂平教授共组织了两次国际会议，并应邀在多个国际会议上发言。诸颂平教授的研究工作得到了国内外的广泛认可，据ISI  Web  of  Science  数据显示，他的论文总引用次数超过2000次，H指数为27。