主题: “数学与金融”讲坛系列讲座
类型: 学术报告
主办方:
报告人: Dr. Samuel Drapeau(上海交通大学)
日期: 2018年12月18日下午4:30-5:30
地点: 知新楼B-1238
内容:

报告题目:Option Prices of Pegged Exchange Rates: the HKD-USD Puzzle

报 告 人:Dr. Samuel Drapeau(上海交通大学 特别研究员)

报告时间:2018年12月18日(周二)下午4:30-5:30

报告地点:知新楼B-1238

 

报告摘要:

Foreign exchange markets are by far the largest markets in the world in terms of volume.Option pricing there relies on the principle that the underlying -- the exchange rate -- is a free floating one for which the classical Black and Scholes and derivates thereof are used.It is an interesting fact that many foreign exchange markets are eventually pegged -- Bulgaria, China, Hong-Kong, Switzerland, Thailand -- at least for a long periods of time. Surprisingly, even though the underlying is fixed, there is an active option market taking place on those currencies. We document this puzzling fact and propose a simple model to explain it.Taking as classical example the Hong-Kong/US dollars pegged exchange, we calibrate this model over 10 years of option data and provide some insights on what could be the motivation of agents on this markets to trade such options. This is a joint work with Tan Wang and Tao Wang from Shanghai Advanced Institute of Finance.

 

欢迎各位老师同学积极参加!