| Biography | |
|---|---|
 Dr. Changyong Zhang Curtin University, Malaysia |
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| Title: An Optimized Solution to Option Manipulation | |
| Abstract: Thanks to the reduced price and less exposition to sudden crashes or price hikes, Asian option is among the most favorites as popular hedging instruments hard to be manipulated in the commodity market, as well as in executive compensation plan. Since the creation of the option, the main focus has been more on how to price it accurately while much less on how to explore further the benefits that the option offers. In this paper, a new type of path-dependent option, referred to as the average-Asian option, is introduced to reduce more the volatility of the underlying price risk and minimize the option manipulation threat. Numerical results show that when granted at the money, on average the proposed option is about 49.32% and 5.45% cheaper than the standard and Asian options, respectively. In addition, the option is less sensitive than the Asian counterpart, at both the front-end and the back-end price manipulation. | |
| Biography: Changyong Zhang earned a Bachelor of Engineering in Mechanical Engineering and Automation from South China University of Technology, a Master of Science in High Performance Computation for Engineered Systems from National University of Singapore (Singapore-MIT Alliance), a Master of Philosophy in Network Planning and Optimisation from Imperial College London, and a Doctor of Philosophy in Applied Mathematics from the University of Southern California. Prior to joining Curtin University Malaysia in 2015 as an associate professor in the Department of Finance and Banking, Changyong Zhang had been affiliated with Xi’an Jiaotong-Liverpool University as a lecturer in the Department of Mathematical Sciences, the University of Leoben as a postdoctoral researcher in the Department of Mathematics and Information Technology, and Uppsala University as a postdoctoral researcher in the Department of Mathematics. Along with teaching experience in Finance and Mathematics related courses, Changyong Zhang’s research interests lie in interdisciplinary fields, including Financial Economics, Operations Research, and Stochastic Analysis, with papers being published in a number of ABDC-ranked and WoS-indexed journals. | |
