基于GARCH模型考虑股本稀释作用的权证定价

考虑到认购权证对股本有稀释作用,把对认购权证定价转化为一个看涨期权的定价,运用GARCH模型得出看涨期权标的资产波动率的近似经验分布,根据期权定价的Black-Scholes公式,得出认购权证价格的近似分布.     

欧式向下敲出看涨幂期权的Esscher变换定价

首先根据障碍期权的不同类型,对普通欧式向下敲出看涨幂期权、部分时间开始、部分时间结束、一般部分时间欧式向下敲出看涨幂期权给出定义.通过E sscher变换分别给出定价公式.另外,对两资产欧式向下敲出幂期权也给出了定价公式,为实践者提供了理论上的参考价格.最后,阐述了此方法的优点.     

离散分红下障碍期权的间接级数展开定价方法

人们投资股票市场的最大动力,除了从股票本身的升值中获利,还包括收益分红.提出了带有离散分红的障碍期权的一种新型的近似方法,以向上敲出看涨障碍期权为例,固定分红的次数,通过泰勒级数展开得到关于关键变量的仿射函数,给出了一个只带有一维积分的定价公式,提高了计算速度.该方法还可以用于回望期权等其它衍生品的定价,对在市场上进行期权交易有一定指导意义.     

分数次布朗运动的欧式障碍期权定价

假定标的股票服从分数次布朗运动,应用偏微分方程的方法求出下降敲出欧式看涨障碍期权价格显示解,以及看涨-看跌的平价关系式.最后,通过有限差分法比较了显示解的准确性,分析了Hurst参数对期权价格和风险特征参数的影响.     

基于分形B-S定价模型的认购权证价格行为实证分析

针对证券收益率呈现"尖峰厚尾"的分布特征,在分析传统B-S权证定价模型的不足基础上,本文提出了基于分形理论的B-S权证定价模型,并利用分形B-S权证定价模型和传统B-S模型分析认购权证价格变化的行为。实证结果发现,两种模型的理论价格均低估了市场价格,且低估的程度具有显著统计性,其中以分形B-S模型评价结果最接近市场价格,评价绩效好。探讨影响分形B-S权证模型理论价格与市场价格差异的主要因素,结果发现距到期日时间的长短、价内外程度以及流动性在解释价差程度上具有统计的显著性。     

汇率连动欧式幂型期权鞅定价及避险

研究了汇率连动选择权中执行价是本国货币的外国股票权证的欧式幂型期权的鞅定价问题,推导了其看涨、看跌定价公式,并求出了其相应的避险参数.     

认购权证负溢价现象和隐含波动率研究

文章研究了中国权证市场上认购权证的负溢价现象及隐含波动率。结果表明，负溢价现象的相对偏误程度与价值状况、到期时间正相关，与标的股票波动率负相关；当出现负溢价现象时，在特定情况下，套利交易可以进行；价格正常数据（未出现负溢价现象数据）的隐含波动率研究显示，中国权证市场的波动率微笑存在，且隐含波动率期限结构具有均值回复性。     

分数布朗运动的美式障碍期权定价

假定标的股票服从分数布朗运动,应用二次近似法和偏微分方程方法求出了美式下降敲出看涨、看跌障碍期权价格近似解以及最佳实施边界.最后,通过显式差分法比较近似解的准确性,并分析Hurst参数对期权价格和最佳实施边界S*的影响.     

混合分数布朗运动环境下欧式障碍期权定价

当股票价格遵循混合分数布朗运动时,利用Δ-对冲和混合分数It8公式,建立混合分数布朗运动下欧式障碍期权定价模型,通过换元法将期权定价的偏微分方程转化为热传导方程,求得显示解.在此基础上,得到欧式障碍期权看涨-看跌平价关系式.由此,再根据敲入-敲出障碍期权关系式可推出障碍期权所有类型的定价公式.     

Black-Scholes微分方程的必要条件(Ⅰ)

我们知道,著名的Ｂｌａｃｋ－Ｓｃｈｏｌｅｓ微分方程是根据资产价格行为服从对数布朗运动导出来的,假设资产价格Ｓ服从对数布朗运动,即有这里Ｗ为标准布朗运动,σ为Ｓ的波动率,ｒ为无风险收益率,σ和ｒ均为常数．欧式看涨期权的价格函数　（ｔ,ｘ）则满足这里而Ｔ为有效期限,Ｋ为敲定价格,ｂ．,ｂ＊分别为期权敲出的资产价格对数下限、上限（只要资产价格对数高于ｂ＊或低于ｂ．,就把期权敲出）．由此可知,式（１）是Ｂｌａｃｋ－Ｓｃｈｏｌｅｓ微分方程（式（２））成立的充分条件．现在．我们通过分析式（２）的性质,来探索…     

A BLACK－SCHOLES FORMULA FOR OPTIONPRICINGWITHDIVIDENDS

ＡＢＬＡＣＫ－ＳＣＨＯＬＥＳＦＯＲＭＵＬＡＦＯＲＯＰＴＩＯＮＰＲＩＣＩＮＧＷＩＴＨＤＩＶＩＤＥＮＤＳ＊ＸＵＷＥＮＳＨＥＮＧＡＮＤＷＵＺＨＥＮＡｂｓｔｒａｃｔ．ＷｅｏｂｔａｉｎａＢｌａｃｋ－Ｓｃｈｏｌｅｓｆｏｒｍｕｌａｆｏｒｔｈｅａｒｂｉｔｒａｇｅ－ｆ...     

A BLACK-SCHOLES FORMULA FOR OPTION PRICING WITH DIVIDENDS

Abstract. We obtain a Black-Scholes formula for the arbitrage-free pricing of Eu-ropean Call options with constant coefficients when the underlylng stock generatesdividends. To hedge the Call option, we will always borrow money from bank. We seethe influence of the dividend term on the option pricing via the comparison theoremof BSDE(backward stochastic di~erential equation [5], [7]). We also consider the option pricing problem in terms of the borrowing rate R whichis not equal to the interest rate r. The corresponding Black-Sdxoles formula is given.We notice that it is in fact the borrowing rate that plays the role in the pricing formula.     

Exact volatility calibration based on a Dupire-type Call–Put duality for perpetual American options

This paper investigates the calibration of a model with a time-homogeneous local volatility function to the market prices of the perpetual American Call and Put options. The main step is the derivation of a Call–Put duality equality for perpetual American options similar to the equality which is equivalent to Dupire’s formula (Dupire in Risk 7(1):18–20, 1994) in the European case. It turns out that in addition to the simultaneous exchanges between the spot price and the strike and between the interest and dividend rates which already appear in the European case, one has to modify the local volatility function in the American case. To show this duality equality, we exhibit non-autonomous nonlinear ODEs satisfied by the perpetual Call and Put exercise boundaries as functions of the strike variable. We obtain uniqueness for these ODEs and deduce that the mapping associating the exercise boundary with the local volatility function is one-to-one onto. Thanks to this Dupire-type duality result, we design a theoretical calibration procedure of the local volatility function from the perpetual Call and Put prices for a fixed spot price x ₀. The knowledge of the Put (resp. Call) prices for all strikes enables to recover the local volatility function on the interval (0, x ₀) (resp. (x ₀, +∞)). We last prove that equality of the dual volatility functions only holds in the standard Black-Scholes model with constant volatility.      

Hurst指数属于(1/3,1/2)的分数模型的期权定价

本文建立了由一类分数Brown运动驱动的新的随机微分方程模型,当基础资产价格运动服从该随机微分方程时,推导出了欧式期权的解析公式.     

两因素HJM模型下奇异债券期货期权的定价

在HJM模型下考虑远期利率由两个独立的布朗运动驱动,利用鞅方法得到了三种奇异的债券期货期权—上限型期货期权,抵付型期货期权与后定选择期货期权的定价公式。     

基于不确定理论的风险中性测度及其在欧式期权定价中的应用

首先运用不确定理论推导了相应的不确定风险中性测度,修正了已有文献中涨跌期权不满足无套利原则的问题.然后将所得的风险中性测度用于欧式看涨和看跌期权的定价,并验证了涨跌期权价格之间的平价关系.最后研究了一类利差期权的定价问题,结合定义的风险中性测度给出了期权的定价公式.所推导的不确定风险中性测度与经典的无套利原则相吻合,而且考虑到了问题描述过程中存在的不精确性,弥补了单纯依赖随机理论的不足,可广泛地应用于金融衍生品的定价过程,为投资分析提供一定的理论依据.     

Reversible and Bijectively Related Posets

Call a poset reversible if every of its order-preserving self-bijections is an automorphism. Call two posets bijectively related if from each of the two posets exists an order-preserving bijection to the other. We present two examples of pairs of non-isomorphic, bijectively related posets and an example of a non-reversible poset that is bijectively related only to itself. Also, three classes of reversible posets are described and a sufficient condition for an order-preserving bijection to be an isomorphism is presented.     

Performance analysis of a call center with interactive voice response units

A Call center may be defined as a service unit where a group of agents handle a large volume of incoming telephone calls for the purpose of sales, service, or other specialized transactions. Typically a call center consists of telephone trunk lines, a switching machine known as the automatic call distributor (ACD) together with a voice response unit (VRU), and telephone sales agents. Customers usually dial a special number provided by the call center; if a trunk line is free, the customer seizes it, otherwise the call is lost. Once the trunk line is seized, the caller is instructed to choose among several options provided by the call center via VRU. After completing the instructions at the VRU, the call is routed to an available agent. If all agents are busy, the call is queued at the ACD until one is free. One of the challenging issues in the design of a call center is the determination of the number of trunk lines and agents required for a given call load and a given service level. Call center industries use the Erlang-C and the Erlang-B formulae in isolation to determine the number of agents and the number of trunk lines needed respectively. In this paper we propose and analyze a flow controlled network model to capture the role of the VRU as well as the agents. Initially, we assume Poisson arrivals, exponential processing time at the VRU and exponential talk time. This model provides a way to determine the number of trunk lines and agents required simultaneously. An alternative simplified model (that ignores the role of the VRU) will be to use anM|M|S|N queueing model (whereS is the number of agents andN is the number of trunk lines) to determine the optimalS andN subject to service level constraints. We will compare the effectiveness of this simplified model and other approximate methods with our model. We will also point out the drawbacks of using Erlang-C and Erlang-B formulae in isolation. Contributed paper for the First Madrid Conference on Queueing Theory, held in Complutense University, Madrid, Spain, July 2–5, 2002     

Hypersolvable Groups

Call a group G hypersolvable if it has an ascending series with G/C_G(A) solvable for each factor A of the series. In this article we establish some basic facts about hypersolvable groups. We also prove that if G is a perfect Fitting p-group such that every proper subgroup is contained in a proper normal subgroup, then G has a proper non-hypersolvable subgroup.     

A note on the α-quantile option

Some properties of a class of path-dependent options based on the α-quantiles of Brownian motion are discussed. In particular, it is shown that such options are well behaved in relation to standard options and comparatively cheaper than an equivalent class of lookback options.