时间：2018年10月29日(周一)上午9：00-10：00
地点：理科大楼A1716报告厅（中北校区）
题目：Option Pricing with Market Frictions and Regime Switching
主讲人：Professor Tak Kuen Siu Macquarie University, Australia
摘要：
Market frictional costs prevail in financial markets and play a significant role in asset pricing as well as other important areas in economics and finance. In this talk, I shall discuss a modelling framework, which aims to integrate the impacts of three fundamental features including market frictional costs, regime switches and ambiguity on option prices. The ask and bid prices of a European option in such incomplete market are characterised as solutions of coupled nonlinear partial differential equations. An approach based on the minimisation of a relative entropy is used to determine a fair value between the ask and bid prices. A simple closed-form solution to the minimisation problem is obtained, which indicates that the fair value does not price the regime-switching risk in the presence of market frictions. Numerical experiments on the model are conducted. The numerical results indicate the significance of incorporating market frictional costs in option valuation under the regime-switching environment.