[Cite as http://purl.org/au-research/grants/arc/DP140102076]
Researchers Prof Song-Ping Zhu; Dr Wenting Chen;
Brief description Although the 2008 financial crisis has greatly impeded the global economy, it has provided a rare opportunity for researchers to verify the truthfulness of some assumptions made on financial markets that are running without liquidity problems. This project will develop a new option pricing theory suitable for financial markets under some short-selling restrictions. Through exploring, from both empirical and theoretical points of view, how short-selling bans will affect some important assumptions made in conventional option pricing theory, the newly developed option pricing framework should not only assist in trading options, but also assist market regulators to effectively use bans on short selling to stabilise financial markets.
Funding Amount 400000
Funding Scheme Discovery Projects