时 间：2026-05-22 14:30 - 15:30
地 点：普陀校区理科大楼A1714室
报告人：陈文婷 江南大学教授
主持人：李丹萍 太阳成tycgb教授
摘 要：
Economic policy uncertainty (EPU) is a critical yet often neglected factor in derivatives pricing, leading to systematic biases in existing valuation frameworks. This study proposes an advanced pricing model that explicitly incorporates a stochastic EPU factor with a regime-switching long-term mean into the stochastic volatility framework. The principal theoretical contribution of this research is a closed-form analytical pricing formula for European options, which successfully overcomes the challenges of multiple stochastic factors and achieves substantial computational advantages over traditional numerical methods such as the Monte-Carlo simulation. A preliminary empirical study using SSE 50 ETF option data demonstrates the model's superior pricing performance compared to other benchmarks.
报告人简介：
陈文婷，博士，江南大学教授，美国数学学会评论员、澳大利亚基金委基金评审专家库成员等。主要致力士金融衍生产品定价的研究相关研究成果对金融衍生品在极短时间内实现定价：挖掘资本市场潜能，降低金融风险具有积极意义。已在金融衍生品领域具有重要影响的国际期刊上发表学术论文40余篇；先后主持多项国家自然科学基金项目和教管部人文社科规划基金项目等。目前担任Nature旗下唯一人文社会刊物《Humanities & Social Sciences Communications》的编委。