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University of Wollongong, Australia Dr. Xiaoping Lu:Stock loan valuation & option pricing

(发布于:2016-12-07 )

主讲人:Dr. Xiaoping Lu, University of Wollongong, Australia

主  题: Stock loan valuation & option pricing

主持人:经济数学学院 马敬堂教授

时  间:2016年12月9日(星期五)下午:4:00

地  点:柳林校区通博楼B412

主  办:经济数学学院、科研处



Dr. Xiaoping Lu got PhD from the University of Michigan in 1990. Now she works in UoW as a senior lecturer. Her research interests are numerical methods for option pricing.



In this talk, we will first discuss the “American” connection between stock loans and options. Then, we shall demonstrate the valuation of stock loans as American options in the following cases: non-recourse stock loans as American call options, margin call stock loans as American down-and-out barrier options with rebate, and stocks loans under regime switching economy as American calls under regime switching economy. We propose an efficient semi-analytic approach based on the Laplace transform method developed in Zhu (2006), in order to obtain the solutions to the above valuation problems. Numerical examples are presented to show the accuracy and efficiency of our solution procedures.