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通过将几何亚式期权应用到再装期权中,解决了传统再装期权在再装日按B-S模型执行时所产生的经理激励问题,建立了几何亚式-再装股票期权的定价模型,并在股价服从分数O-U过程下得到了相应的定价公式.通过模拟分析发现,与传统再装期权相比,几何亚式-再装期权的价值要低一些,这说明几何亚式-再装股票期权能更好地降低代理成本. 相似文献
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本文在风险中性定价原则下,得到了股价服从指数O-U(Ornstein-Uhlenbeck)过程的n个重置日期m个执行价格的重置期权定价,又在利率服从扩展Vasicek模型下,得到了n个重置日期m个执行价格的重置期权定价. 相似文献
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股票价格服从指数O-U过程的再装期权定价 总被引:3,自引:1,他引:2
期权及其定价理论是目前金融管理,金融工程研究的前沿与热点问题.本文在标的资产的价格服从指数O-U过和模型假设下,运用G irsanov定理获得了该过程的唯一等价鞅测度.用期权定价的鞅方法,得出了再装期权的定价公式. 相似文献
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假设股票价格遵循分数布朗运动和复合泊松过程驱动的随机微分方程,短期利率服从HullWhite模型,建立了随机利率情形下的分数跳-扩散Ornstein-Uhlenbeck期权定价模型,利用价格过程的实际概率测度和公平保费原理,得到了欧式看涨期权定价的解析表达式,推广了Black-Scholes模型. 相似文献
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分数跳-扩散环境下欧式期权定价的Ornstein-Uhlenbeck模型 总被引:2,自引:0,他引:2
假设股票价格遵循分数布朗运动和复合泊松过程驱动的随机微分方程,建立分数跳-扩散Ornstein-Uhlenbeck模型,利用价格过程的实际概率测度和公平保费原理,得到欧式看涨期权定价的解析表达式。推广了关于欧式期权定价的结论。 相似文献
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本文讨论了股票价格服从指数O-U过程的幂型支付的双标的欧式混合期权的定价问题。利用测度变换和鞅方法,得到了其解析形式的定价公式。 相似文献
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《数学的实践与认识》2015,(20)
假设标的资产由混合分数布朗运动驱动,利用分数It6公式得到了混合分数布朗运动环境下永久美式期权的Black-Scholes偏微分方程,并通过偏微分方程获得永久美式期权的定价公式. 相似文献
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股票价格遵循几何分式Brown运动的期权定价 总被引:6,自引:0,他引:6
讨论了股票价格过程遵循几何分式B row n运动的欧式期权定价.由于该过程存在套利机会使得传统的期权定价方法(如资本资产定价模型(CAPM),套利定价模型(APT),动态均衡定价理论(DEPT))不可能对该期权定价.利用保险精算定价法,在对市场无其它任何假设条件下,获得了欧式期权的定价公式.并讨论了在有效期内股票支付已知红利和红利率的推广公式. 相似文献
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完全市场上的保险定价问题是人们比较熟悉的研究内容,但它不符合市场实际.本文在不完全市场上研究保险定价的问题.通过对累积保险损失的分析,建立在累积赌付下的保险定价模型;基于对一个无风险资产和有限多个风险资产的投资,建立保险投资定价模型.通过变形,得到相应的保险价格的倒向随机微分方程,并利用倒向随机微分方程的理论和方法,得到了相应的保险价格公式.最后,给出释例进行了分析.本文的研究,不用考虑死亡率、损失的概率分布等因素,为保险定价提供了新的思路,丰富了有限的保险定价方法. 相似文献
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ABSTRACT. In this paper we compare two regulation instruments, flat‐rate and increasing block‐rate pricing. The analysis applies to a competitive industry with free entry. Charge for irrigation water is a concrete example. It is shown that flat‐rate pricing leads to a first‐best social optimum, while with block‐rate pricing where the highest block set at the marginal cost, there is over production, firms are too small, and loss of economic surplus occurs. Moreover, first‐best is not implementable by increasing block‐rate pricing. This is in contrast to the commonly accepted view that block‐rate pricing is superior to flat‐rate pricing by allowing for income redistribution while preserving efficiency. Several second‐best situations are analyzed to show: 1) Block‐rate pricing with the highest block at the social marginal cost is optimal when the regulator must preserve the number of firms. 2) Water pricing alone cannot implement social optimum subject to a constant level of agricultural production. 3) Lobbying and political pressures, which force the regulator to sustain a constant average water price, result in optimal block‐rate pricing with the highest block below the social marginal cost. 相似文献
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Dynamic pricing is widely adopted in inventory management for perishable items, and the corresponding price adjustment cost should be taken into account. This work assumes that the price adjustment cost comprises of a fixed component and a variable one, and attempts to search for the optimal dynamic pricing strategy to maximize the firm’s profit. However, considering the fixed price adjustment cost turns this dynamic pricing problem to a non-smooth optimal control problem which cannot be solved directly by Pontryagin’s maximum principle. Hence, we first degenerate the original problem into a standard optimal control problem and calculate the corresponding solution. On the basis of this solution, we further propose a suboptimal pricing strategy which simultaneously combines static pricing and dynamic pricing strategies. The upper bound of profit gap between the suboptimal solution and the optimal one is obtained. Numerical simulation indicates that the suboptimal pricing strategy enjoys an efficient performance. 相似文献
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主要研究基于CEV过程且支付交易费的脆弱期权定价的数值计算问题.首先通过构造无风险投资组合,导出了基于CEV过程且支付交易费用的脆弱期权定价的偏微分方程模型;其次应用有限差分方法将定价模型离散化,并设计数值算法;最后以看跌期权为例进行数值试验,分析各定价参数对看跌期权价值的影响. 相似文献
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John Boot George Frankfurter Allan Young 《European Journal of Operational Research》1983,13(3):268-273
The most widely accepted option pricing model, derived by Black and Scholes (B-S), studies single priced options. Nevertheless, it has important implications for the relative pricing of compound call options. Compound options are two or more option contracts on a given security with different striking prices but with each expiring on the same day.Studying the relative pricing of compound options provides insight into the efficiency of generally accepted option pricing models. Comparing prices of compound options enables us to analyze factors in option pricing that would remain hidden in studies of single options.We are not primarily concerned with efficiency of option pricing, although some of our results may bear on this issue. Our primary concerns are: (1) to determine the implications of the B-S model for compound options and (2) to explain compound option prices by a number of variables, and thus come to conclusions about option pricing generally.We found difficulty with the B-S model when attempting to explain the relative pricing of compound options. Further, from empirical tests, we found that the most important factor in explaining the relative pricing of compound options is the relative degree of leverage which is operative between the various components of a compound option set. 相似文献
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In this paper we consider the class of probabilistic value pricing mechanisms for cost allocation problems, which are related to probabilistic values for finite games with transferable utility. We characterize probabilistic value pricing axiomatically, as well as several related pricing mechanisms, including semivalue pricing (symmetric pricing without cost sharing), quasivalue pricing (cost sharing pricing without symmetry), and weighted Shapley value pricing. We also describe a class of problems in which (symmetric) Shapley value pricing coincides with Aumann-Shapley pricing, and a class of problems for which every quasivalue pricing mechanism is supportable. 相似文献
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A significant problem in modern finance theory is how to price assets whose payoffs are outside the span of marketed assets. In practice, prices of assets are often assigned by using the capital asset pricing model (CAPM). If the market portfolio is efficient, the price obtained this way is equal to the price of an asset whose payoff, viewed as a vector in a Hilbert space of random variables, is projected orthogonally onto the space of marketed assets. This paper looks at the pricing problem from this projection viewpoint. It is shown that the results of the CAPM formula are duplicated by a formula based on the minimum-norm portfolio, and this pricing formula is valid even in cases when there is no efficient portfolio of risky assets. The relation of the pricing to other aspects of projection are also developed. In particular, a new pricing formula, called the correlation pricing formula, is developed that yields the same price as the CAPM, but is likely to be more accurate and more convenient than the CAPM in some cases. 相似文献
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Lin Feng Jianxiong Zhang Wansheng Tang 《The Journal of the Operational Research Society》2015,66(8):1341-1351
Advertising and dynamic pricing play key roles in maximizing profit of a firm. In this paper a joint dynamic pricing and advertising problem for perishable products is investigated, where the time-varying demand rate is decreasing in sales price and increasing in goodwill. A dynamic optimization model is proposed to maximize total profit by setting a joint pricing and advertising policy under the constraint of a limited advertising capacity. By solving the dynamic optimization problem on the basis of Pontryagin’s maximum principle, the analytical solutions of the optimal joint dynamic pricing and advertising policy are obtained. Additionally, to highlight the advantage of the joint dynamic strategy, the case of the optimal advertising with static pricing policy is considered. Numerical examples are presented to illustrate the validness of the theoretical results, and some managerial implications for the pricing and advertising of the perishable products are provided. 相似文献
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郭强 《数学的实践与认识》2006,36(3):110-115
给出了带有网络外部性的两阶段寡头垄断定价模型,并用博弈论方法求解.通过与带有网络外部性的完全垄断定价模型的比较,得出重要结论:在网络外部性足够大的情况下,①寡头竞争情况下与完全垄断下情况一样,“科斯假设”将得到克服,均衡定价将呈现先低后高的情况.②对于完全垄断厂商来说,网络外部性k的增加能够增加其利润,但对于寡头竞争的企业来说,正好相反,k的增加将导致其利润的下降. 相似文献