学术报告会：Option Pricing with Transaction Costs: Challenges and Approaches

报告题目：Option Pricing with Transaction Costs: Challenges and Approaches

报  告 人：吕晓萍    澳大利亚伍伦贡大学副教授

报告时间：2023年11月14日周二16:30

报告地点：S3-502

摘要：In modern finance, mathematics assumes a pivotal role, particularly in option pricing. However, the consideration of transaction costs introduces a complexity that the conventional notion of a unique fair price between the option holder and writer, no longer exists. Both parties now seek to recover the costs incurred through trading the underlying stocks as part of their hedging strategy, thereby influencing the prices at which they are willing to transact for options. Mathematically, transaction costs make the pricing problem much more complicated, especially for American options. In this talk, some methods we used to price options in the presence of transaction costs will be presented, providing insights into how transaction costs impact option prices and optimal exercise policies for American options.

个人简介：

吕晓萍，博士，澳大利亚伍伦贡大学数学与应用统计学院应用数学系副教授兼金融数学中心主任。毕业于美国密歇根大学（安娜堡校区），研究兴趣广泛，近期工作重点主要涉及金融数学领域。最近的工作围绕着美式期权和一系列金融衍生品的估值展开，包括障碍期权、可转换债券、外汇、利率衍生品、定时器期权、巴黎期权、股票贷款和天气衍生品。在国际顶级期刊上发表了多篇文章，曾为《澳大利亚新西兰工业与应用数学杂志》（ANZIAM Journal）联合编辑过一期关于金融数学和量化金融的特刊，目前是《国际工业数学杂志》（International Journal of Mathematics）的编辑。