基于期权博弈的跨国并购实证分析——以联想并购IBMPC为例

将实物期权定价方法引入到讨价还价谈判博弈中,分别建立了完全信息和不完全信息跨国并购期权博弈模型,并应用纳什讨价还价定理求出了其中不完全信息博弈的唯一解,以及完全信息博弈的解区间.该模型证明期权估值法具有普遍意义, DCF估值法是跨国并购中的一种特例,最后,通过联想并购IBM PC案例检验了模型的基本结论.     

具有浮动执行价的远期生效幂亚式期权定价（英文）

本文研究具有浮动执行价的远期生效幂亚式期权的定价问题.利用鞅方法,首先推导出浮动执行价的远期生效幂亚式几何平均看涨期权价格的显示公式.随后,利用方差减少技术,以此幂亚式几何看涨期权价格公式作为控制变量建立浮动执行价的远期生效幂亚式算术平均看涨期权价格计算的蒙特卡罗模拟算法,获得浮动执行价的远期生效幂亚式期权的定价结果.最后,应用数值实例,分析模型主要参数,时间窗框和幂因子等因素异动时对该类期权价格的影响.计算结果,带控制变量的模拟方法能有效地解决幂亚式期权的定价,以及幂因子对期权价格的影响有显著性作用.     

美式债券期权定价熵模型

基于熵定价理论,结合美式期权解析近似求解的G eske-Johnson方法,构建了美式债券期权定价熵模型,给出了标的资产为零息票债券和息票债券的美式期权估值的解析近似计算公式,并展示了具体的算法步骤.     

MC方差减小技术在算术平均亚式外汇期权定价中的应用

建立了利率和汇率波动率均为随机情形下算术平均亚式外汇期权的定价模型.由于其定价问题求解十分困难,运用蒙特卡罗(Monte Carlo)方法并结合控制变量方差减小技术进行模拟,有效地减小了模拟方差,得到了期权定价问题的数值结果.     

拟蒙特卡罗法在亚洲期权定价中的应用

亚洲期权是场外交易中几种最受欢迎的新型期权之一,但它的价格却没有解析表达式,到目前为止,亚洲期权的定价仍是个公开问题.本文采用拟蒙特卡罗法中的Halton序列来估计它的价格,数值结果表明当观察点的个数N13时,它比蒙特卡罗法要好.本文还利用MATLAB程序生成了随机Halton序列,并将它与控制变量法结合起来估计亚洲期权的价格,估计值标准差的比较表明它在大多情况下比相应的蒙特卡罗法的估计效果要好.     

GARCH模型下基于偏最小二乘的欧式股指期权定价——来自香港恒生指数期权市场的证据

目前,股指期权呼之欲出,在这种形势下,本文对股指期权定价问题进行了研究。本文首先在GARCH模型的基础上导出期权定价估值公式,其次,在GARCH欧式股指期权定价模型的基础上,融入偏最小二乘技术,给出最终的欧式股指期权的偏最小二乘定价方法。最后,对香港恒指期权进行参数估计和GARCH建模,运用新的定价方法进行期权定价。研究发现,对最终期权价格影响最大的是GARCH模型的估计值;另外整个大盘的活跃程度、投资者情绪也有不可忽视的影响。这个结论为中国顺利发展指数期权市场提供了坚实有力的定价依据。     

一种新型单点水平期权的定价

本文给出了一种新型单点水平期权,通过鞅定价方法并借助极值的概率分布研究其定价问题,得到了该新型单点水平看涨期权与看跌期权的定价公式.     

随机利率Vasicek模型下的欧式缺口期权的定价研究

研究随机利率Vasicek模型下欧式缺口期权的定价问题,利用偏微分方程方法给出了欧式缺口看涨期权和看跌期权的定价公式,并且是Vasicek利率模型下标准欧式期权定价公式的一种推广.     

信用利差期权定价模型选择研究

遵循衍生品定价的思路,分别采用均值回复过程、平方根扩散过程、带跳的均值回复过程来刻画信用利差的动态变化,进而构建了三类信用利差期权定价模型.分别选取解析解方法、傅里叶变换法和蒙特卡洛模拟法等方法来进行信用利差期权定价仿真,并对不同模型的定价效果进行实证比较分析.结果表明:不同信用利差期权定价模型之间存在着较大差异,其到...     

双币种博弈期权

博弈期权是一种赋予期权出售方在期权有效期内任意时刻可以赎回合约权利的美式期权.在B-S框架下分析了双币种情形下的博弈期权定价行为,建立了双币种博弈期权的定价模型,分别讨论了敲定价以国内货币计价和国外货币计价下的博弈期权定价问题及其最优赎回策略,通过运用偏微分方程的方法得到了这两种情形下期权价格的表达式及其最优执行边界.最后通过数值模拟,分析了标的资产和汇率的波动水平以及汇率与标的资产的相关系数对期权的最优执行策略和违约金边界的影响.     

Analytic models for parameter dependency in option price modelling

Options are a type of financial instrument classed as derivatives, as they derive their value from an underlying asset. The equations used to model the option price are often expressed as partial differential equations (PDEs). Once expressed in this form, a discretization method on a finite grid can be applied and the numerical valuation obtained. Remains the problem of writing down an (approximate) closed-form analytic model for the option price in function of all the variables and parameters, which is the main objective of this paper. At the same time we also consider the Greeks, which are the quantities representing the sensitivities of the price to a change in the underlying variables or parameters. Discrete values for these Greeks can again be derived, either directly from the differentiation matrices occurring in the option price PDE or by solving new but similar PDEs. Next, analytic models for the Greeks are computed in the same way as for the option price. As a prototype case, The Black-Scholes PDE for European call options is considered.     

基于矩匹配的、多标的实物期权估值方法研究

实物期权能够恰当地反映管理的灵活性价值,但是实际应用中往往对应多个标的物,现有的方法不能很好的求解其价值及变量的敏感性,从而限制了其应用.本文将多个标的资产视为一篮子资产组合,通过矩匹配方法求得组合资产的近似分布,从而可求解多标的实物期权的解析解,并通过案例分析了该方法的优势和便利性.     

Modelling aesthetic variables in the valuation of paintings: an interval goal programming approach

The economic valuation of works of art is a decisive subject in the general field of valuation. Unlike in other areas of valuation, the explanatory power of the directly observable and quantifiable variables is very low, therefore, aesthetic criteria must be used to obtain valuation models with a greater explanatory power. Frequently, these aesthetic criteria are not always precise, and experts usually express them as an interval of values. This paper describes different valuation models that use the goal programming optimisation method to include explanatory variables of the closing price in the form of intervals of values. We have also modelled the possibility that an expert can determine the relevance of each observation in the formation of the valuation function depending on the degree of precision with which the variables have been defined.     

The conversion option in life insurance

This paper introduces an option that has been provided by life insurance companies extensively but has not been discussed in much in the literature; the conversion option. By constructing a valuation model, we first confirm that the conversion option may have positive values. We further find that the value of this option highly depends on the difference of the expected and actual mortality pattern after the insured individual converts his/her policy. Meanwhile, considering the general trend of mortality improvement, we incorporate this trend by applying the Lee-Carter model, hoping to provide a reasonable and fair valuation of the conversion option.     

屏蔽数据情形下几何平均亚式期权定价模型

通常情况下,前人的工作都是连续情形下的结论,假定股票价格部分信息被屏蔽,只在有限的时刻点上股票价格是明确已知的.在此假设之下,尝试考虑几何平均型亚式期权定价问题.利用拟-鞅的方法,建立了分数布朗运动环境下亚式期权定价模型,获得了离散情形几何加权平均亚式期权价格的解析表达式.     

The Brownian Bridge Does Not Offer a Consistent Advantage in Quasi-Monte Carlo Integration

The Brownian bridge has been suggested as an effective method for reducing the quasi-Monte Carlo error for problems in finance. We give an example of a digital option where the Brownian bridge performs worse than the standard discretization. Hence, the Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration. We consider integrals of functions of d variables with Gaussian weights such as the ones encountered in the valuation of financial derivatives and in risk management. Under weak assumptions on the class of functions, we study quasi-Monte Carlo methods that are based on different covariance matrix decompositions. We show that different covariance matrix decompositions lead to the same worst case quasi-Monte Carlo error and are, therefore, equivalent.     

欧式幂期权定价模型中参数及隐含波动率的统计特性

研究了欧式幂期权定价公式中价格的渐近无偏估计和隐含波动率估计的统计特性。利用Chaudhury M.M(1989)提出的研究欧式期极定价公式中渐近无偏估计的方法以及隐含波动率求解方法,研究了两种欧式幂型看涨期权定价公式(欧式看涨期权的价值定义分别为m ax(STα-X,0)和m ax(STα-Xa,0)中的隐含波动率的估计的统计特征、幂函数的幂指数选取以及两种幂函数期权定价公式的优劣。Monte-Carlo统计计算的模拟结果说明。幂期权定价公式中幂指数α取值应为α>0,而且欧式看涨期权的价值定义为m ax(STα-Xα,0)更为合理。     

Calibration of a basket option model applied to company valuation

Applying real options thinking to company valuation seems theoretically and intuitively appealing. However, the real option analogy of a single European option as well as the compound option proxy perform poorly when applied to company valuation. We therefore suggest to rework the building blocks of real option applications to corporate valuation.  We introduce a framework to delineate the distribution of the underlying asset in the risk neutral world, which is important in order to value any derivative. This is achieved by an algorithm to calibrate a basket option model using real world data of observed share prices. The fitting takes account of the class of stable distributions. The index of stability of asymmetric α stable distribution serves as an over-all parameter to characterise the specific distribution.     

An Eulerian‐Lagrangian method for option pricing in finance

This article is devoted to the development and application of an Eulerian‐Lagrangian method (ELM) for the solution of the Black‐Scholes partial differential equation for the valuation of European option contracts. This method fully utilizes the transient behavior of the governing equations and generates very accurate option's fair values and their derivatives also known as option Greeks, even if coarse spatial grids and large time steps are used. Numerical experiments on two standard option contracts are presented which show that the ELM method (favorably) compares in terms of accuracy and efficiency to many other well‐perceived methods. © 2006 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 23: 293–329, 2007     

产业生命周期视角下的并购期权价值评估方法优化研究

由于并购活动具有期权的特点,其价值常采用Black-Scholes模型计算。但传统的Black-Scholes模型没有考虑产业生命周期对并购期权价值的影响。本文分析了产业生命周期不同阶段并购期权价值的特点,指出期权价值随产业生命周期的不同发展阶段而变化。研究通过采用Gompertz曲线预测模型拟合产业生命周期曲线,并对其作适当变换,推导出了修正系数η_t,对并购期权价值的Black-Scholes评估模型进行了优化。这种优化有助于避免评估过程中的高估风险,从而使并购价值的计算更合理,确保并购决策更具科学性。