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.     

美国灾害保险期货期权的保险精算定价

考虑连续情形、几何平均保险期货价格的基础上研究欧式看涨保险期货期权的定价,运用保险精算定价的方法,最终给出了连续情形、几何平均欧式看涨保险期货期权的定价.     

保险中遏制投保人逆向选择的博弈策略分析

以投保人的风险类型难于鉴别的逆向选择问题为研究对象,建立了投保人与保险公司的双人非零和博弈模型,并求解得出了该博弈的混合策略纳什均衡点,从而得出重罚有利于遏制投保人的逆向选择以及使保险公司的期望利润为零的保险定价公式.     

股票价格遵循几何分式Brown运动的期权定价

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.     

随机环境下再制造产品的定价策略研究

再制造产品的定价是逆向供应链中重要的决策问题之一。依据目前我国废旧品回收和再制造的运作机制,在随机环境下建立了以传统生产厂为主导、再制造工厂为从属的Stackelberg博弈模型,分析了新产品与再制造产品的差异定价策略,结合数值算例给出了最优的定价结果。并进一步将模型进行扩展,考虑了二者形成垂直纳什均衡以及存在集成厂商时的情形。研究表明:集成厂商对两种产品的定价最高,系统收益也最大,Stack-elberg情形次之,纳什均衡时最低。     

逆向选择与伯川德竞争下两期保险完全分离均衡

多期保险作为单期保险自选机制的一种补充,是一种重要的动态风险分类方法,有利于控制逆向选择风险.在伯川德竞争假设下,研究两期保险完全分离均衡存在的充要条件.首先,建立了两期保险问题的动态博弈模型,然后,通过分析投保人的激励相容约束与个人合理性约束推导出完全分离均衡存在的充要条件,并在直观标准下对均衡结果进行精炼,论证结果表明,这一最优均衡使得信号传递成本达到最小.     

美国巨灾灾害保险期货期权的鞅方法定价

基于对数正态带跳扩散模型,利用鞅方法和修正后的期权执行条件下的保险精算方法,研究了美国巨灾灾害保险期货期权的定价问题,得到了欧式看涨保险期货期权任意时刻的定价公式.最后通过R软件进行实证分析,给出了两种方法定价的区别和联系,结果说明保险精算方法定价较为准确.     

随机利率下服从分数O-U过程的二元期权定价

本文考虑在扩展的Vasicek模型和分数O-U过程驱动下的二元期权定价问题。运用拟鞅方法,得到了在随机利率情形下,股票价格在分数O-U过程驱动下的二元期权的定价公式。     

保险精算法在广义欧式期权定价中的应用

严格按照期权定义,以股票期末价值和敲定价格之差大于零作为期权行权条件利用保险精算方法讨论了债券的利率和股票的预期收益率具有时间相依的情形下的广义欧式期权定价问题,推广郑红等人的结果,导出广义Black-Scholes期权定价公式为实践中合理确定期权价格提供理论参考依据.     

在消费者偏好不确定下双寡头定位定价博弈

本文通过建立在企业对消费者偏好信息不确定情形下,双寡头企业动态定位、定价博弈模型,研究企业的定位策略、定价策略以及产品差异化问题。证明了该动态博弈存在唯一的子博弈精炼均衡。均衡结果表明,偏好不确定性是一种差异化力量,与消费者偏好信息确定情形相比,企业的不确定性能够提高均衡价格、增加均衡利润。最后,分析了偏好不确定性对社会最优定位和社会最优差异化的影响。     

基于个体公平原则的寿险产品定价模型

在无套利框架的基础上,讨论基于个体公平原则下的寿险产品定价问题,即运用倒向随机微分方程理论,将投保人和保险人置于同一系统中进行考虑:首先,根据双方的随机投资决策目标分别建立无套利寿险定价模型和动态资产份额定价模型,得出两个特殊线性倒向随机微分方程的显式解;然后,建立基于个体公平原则的寿险定价模型,从投保人和保险人双方的角度对寿险产品进行公平定价,得出了从供需双方考虑的投资回报定价公式;最后,利用所建立的模型进行案例分析,计算出基于个体公平原则的保费及保险公司的投资策略.该寿险产品定价模型不仅考虑了保险人的意愿,还同时考虑了投保人的实际情况,因此,按此定价理念开发出的保险产品,不仅可以提高产品研发的成功率,而且使得研发出的新产品更能在竞争激烈的保险市场中站稳脚步.     

Modeling the number of insureds’ cars using queuing theory

In this paper, we propose to model the number of insured cars per household. We use queuing theory to construct a new model that needs 4 different parameters: one that describes the rate of addition of new cars on the insurance contract, a second one that models the rate of removal of insured vehicles, a third parameter that models the cancellation rate of the insurance policy, and finally a parameter that describes the rate of renewal. Statistical inference techniques allow us to estimate each parameter of the model, even in the case where there is censorship of data. We also propose to generalize this new queuing process by adding some explanatory variables into each parameter of the model. This allows us to determine which policyholder’s profiles are more likely to add or remove vehicles from their insurance policy, to cancel their contract or to renew annually. The estimated parameters help us to analyze the insurance portfolio in detail because the queuing theory model allows us to compute various kinds of useful statistics for insurers, such as the expected number of cars insured or the customer lifetime value that calculates the discounted future profits of an insured. Using car insurance data, a numerical illustration based on a portfolio from a Canadian insurance company is included to support this discussion.     

A game-theoretic model of reinsurance

We define a game between the insured and the insurer by which one can justify the choice of the discount function from the insurance premium payment as a function of the deductible. We find conditions that make it possible to conclude a contract using the deductible amount. We define a game between the insurer and the reinsurer in which the insurer chooses the loss-ratio limit and the reinsurer the price of the reinsurance policy. We seek a Stackelberg equilibrium with the reinsurer in the role of leader. Translated fromMetody Matematicheskogo Modelirovaniya, 1998, pp. 160–164.     

Option pricing for large agents

This paper considers arbitrage-free option pricing in the presence of large agents. These large agents have a significant market power, and their trading strategies influence the dynamics of the financial asset prices. First, a simple asset pricing model in the presence of large agents is presented. Then a nonlinear partial differential equation is found for the prices of European options in the model. The unit option price depends on the large agent's asset holdings. Finally, a game model is introduced for the interaction between different market players. In this game, the outstanding number of options, as well as the option price, is found as a Nash equilibrium.     

OPTIONS-GAME ANALYSIS FOR FIRM WITH INSURED DEBT

The strategic model for insured bond of firm is a new model which is developed based on options pricing model and game theory. When firm‘s bond was insured against bankruptcy, some interesting results about endogenous bankruptcy and optimal capital structure are obtained.     

Strategic Manipulation Approach for Solving Negotiated Transfer Pricing Problem

This paper suggests an approach for solving the transfer pricing problem, where negotiation between divisions is carried out considering the manipulation game theory model for a multidivisional firm. The manipulation equilibrium point is conceptualized under the Machiavellian social theory, represented by three concepts: views, tactics and immorality. In this approach, we are considering a non-cooperative model for the transfer pricing problem: a game model involving manipulating and manipulated players engaged cooperatively in a Nash game, restricted by a Stackelberg game. The cooperation is represented by the Nash bargaining solution. The transfer pricing problem is conceptualized as a strong Stackelberg game involving manipulating and manipulated divisions. This structure established conditions of unequal relative power among divisions, where high-power divisions tend to be abusive and less powerful divisions have a tendency to behave compliantly. For computation purposes, we transform the Stackelberg game model into a Nash game, where every division is able of manipulative behavior to some degree: the Nash game relaxes the interpretation of the manipulation game and the equilibrium selection for the transfer pricing problem. The manipulation dynamics and rationality proposed for the transfer pricing problem correspond to many real-world negotiation situations. We present an example, that illustrates how manipulation can be employed to solve the transfer pricing problem in a multidivisional firm.     

Pricing and advertisement in a manufacturer–retailer supply chain

We use a game theoretical approach to study pricing and advertisement decisions in a manufacturer–retailer supply chain when price discounts are offered by both the manufacturer and retailer. When the manufacturer is the leader of the game, we obtained Stackelberg equilibrium with manufacturer’s local allowance, national brand name investment, manufacturer’s preferred price discount, retailer’s price discount, and local advertising expense. For the special case of two-stage equilibrium when the manufacturer’s price discount is exogenous, we found that the retailer is willing to increase local advertising expense if the manufacturer increases local advertising allowance and provides deeper price discount, or if the manufacturer decreases its brand name investment. When both the manufacturer and retailer have power, Nash equilibrium in a competition game is obtained. The comparison between the Nash equilibrium and Stackelberg equilibrium shows that the manufacturer always prefers Stackelberg equilibrium, but there is no definitive conclusion for the retailer. The bargaining power can be used to determine the profit sharing between the manufacturer and the retailer. Once the profit sharing is determined, we suggest a simple contract to help the manufacturer and retailer obtain their desired profit sharing.     

A game theoretic approach to option valuation under Markovian regime-switching models

In this paper, we consider a game theoretic approach to option valuation under Markovian regime-switching models, namely, a Markovian regime-switching geometric Brownian motion (GBM) and a Markovian regime-switching jump-diffusion model. In particular, we consider a stochastic differential game with two players, namely, the representative agent and the market. The representative agent has a power utility function and the market is a “fictitious” player of the game. We also explore and strengthen the connection between an equivalent martingale measure for option valuation selected by an equilibrium state of the stochastic differential game and that arising from a regime switching version of the Esscher transform. When the stock price process is governed by a Markovian regime-switching GBM, the pricing measures chosen by the two approaches coincide. When the stock price process is governed by a Markovian regime-switching jump-diffusion model, we identify the condition under which the pricing measures selected by the two approaches are identical.