time: 15:30 on november 3, 2020
venue: room 0411, teaching building 0#, jiuli campus
event details:
lecturer: dr. liu, yanchu, associate professor of finance at lingnan college of sun yat-sen university
about the lecturer:
dr. liu yanchu is currently working at lingnan college of sun yat-sen university as an assistant to the dean, an associate professor of finance, and a doctoral supervisor. he has got the doctorate and postdoctoral in financial engineering from the chinese university of hong kong, the master of science and bachelor of science from university of science and technology of china. his main research directions are financial engineering, financial technology, and related applications. he has published more than 30 papers in "journal of management science", "operations research" (utd24 and ft50 journals), "informs journal on computing" (utd24 journal), "journal of economic dynamics and control", "european journal of operational research", "journal of futures" markets", "insurance: mathematics and economics", "european journal of finance", "annals of operations research" and other domestic and foreign mainstream academic journals (including acceptance). he presides over the projects from the national natural science foundation of china, and a key training project for young teachers in the basic scientific research of sun yat-sen university. he also serves as the executive director of the financial engineering and financial risk management branch of china operations research society. his researches have won the excellent paper award at the 9th china decision science annual conference in 2017, the excellent paper award at the 14th international annual conference of financial system engineering and engineering management (fserm2016), the "outstanding scientific research contribution award" of lingnan college board of directors and so on.
about the lecture:
existing option pricing theory generally does not consider the impact of investor behavior deviations on option prices and the price limit system, which is the special institutional arrangement of securities market in china. based on the actual situation of securities market in china, this paper first empirically tests the existence of psychological barriers, and then considers the impact of psychological barriers and the price limit system. this paper also revises the relevant hypotheses and deduces new option pricing formula based on the traditional black-scholes european option pricing model. by using the sse 50etf option market data in china, the author systematically evaluates the new model in terms of option pricing, option price forecasting and risk hedging. the empirical results show that the pricing accuracy of the revised model is generally higher than that of the traditional model, especially in the areas of price prediction and risk hedging of put.
