主 講 人： 香港中文大學（深圳）， 張功球 助理教授
報告時間：2025年7月7日 上午 9：30-10：30
報告地點：覽秀樓105學術報告廳
報告摘要: Continuous-time Markov chain (CTMC) approximation is a popular computational approach which has been successfully applied to the pricing of a large class of financial products, especially exotic ones, under very general stochastic financial models. Despite its broad applicability, existing convergence rate analyses of CTMC approximation are either limited to models with relatively simple structures (eg, diffusion and Levy models) or rely on strong smoothness assumptions on model coefficients and payoff function which often fail to hold in financial applications. In this paper, we propose a novel technique to analyze the convergence rate of CTMC approximation. Our approach is based on a representation of the approximate option price using deformed contour integration of its Laplace transform with respect to the maturity. We illustrate the deformed contour integration approach by analyzing the convergence rate of CTMC approximation for double-barrier option pricing under general regime-switching jump-diffusion models with nonsmooth coefficients. Our proposed approach exhibits flexibility and has the potential to be extended for handling more complex financial derivatives and models. Our theoretical findings are supported by numerical experiments.
主講人簡介：張功球，香港中文大學（深圳）助理教授、博士生導師、金融數學理學碩士項目主任，深圳市大數據研究院研究科學家。主要研究金融數學、金融科技、計算金融等方向。研究成果發表于 Operations Research, Mathematical Finance, Finance and Stochastics, SIAM Journal on Financial Mathematics, SIAM Journal on Scientific Computing等期刊，主持多項國家自然科學基金與深圳市科創委項目。中國運籌學會金融工程與風險管理分會理事。
