期权思想在多阶段项目投资中的应用

本文主要借助期权理论,讨论项目投资分多阶段进行时选择最佳投资的问题.首先通过在单阶段投资下建立项目投资的最佳选择框架,然后展开到项目投资分两个阶段进行的情形上进行讨论分析,得出此情形下的投资选择结论,最后把这一结论扩展到项目投资分多阶段进行的项目上.     

具有违约风险的人寿保险的最优定价

本文探讨具有违约风险的人寿保险的最优定价.我们从Black-Scholes的期权定价模型出发,考虑风险管理和准备金的要求,根据一次支付和均衡支付这两种不同的假设分别建立两个优化模型,并且借助于优化技术获得最优解.数量化分析结果表明,两个模型的最优价格对于利息率参数以及非索赔成本的变化都不敏感.这说明这两个模型是稳定的,而且是实用的.     

美式期权定价问题的变网格差分方法

本文提出一种求解美式期权定价自由边值问题的变网格差分方法.通过建立一个自由边界所满足的方程,利用变网格技术可同时求出期权的差分解和最佳执行边界.本文分别讨论了显式和隐式变网格差分格式,并给出了差分解的收敛性和稳定性分析.数值实验表明本文算法是一个非常有效的期权定价算法.     

Evaluation of the quality of clinical laboratories in the Slovak Republic: conceptual and contextual remarks

The paper demonstrates conceptual parallels and relationships between intellectual capital measurement methods and the evaluation of quality in clinical laboratories in the Slovak Republic. It explores further the contextual links of those parallels with the tangibility (or intangibility) of quality indicators of laboratory diagnostics. It also highlights the problems which laboratory staff in Slovakia are confronted with. Presented at the conference Quality in the Spotlight, March 2007, Antwerp, Belgium.     

Reversible stopping (“switching”) implies super contact

This note shows that the second derivative of the value function exists (across a stopping threshold, short “super contact”) if reversibly stopping and entering involves no cost, called “switching”. This holds for discrete (real option) as well as for continuous stochastic control problems and proves particularly suitable in real option set ups since it provides the lacking boundary condition. However, super contact does not hold in dynamic games. A simple example documents the applicability of this condition. This paper was written during my visit of the University of Technology, Sydney (UTS) and I am grateful for the hospitality of and the stimulus at the School of Finance and Economics, in particular to Carl Chiarella. I also acknowledge many helpful discussions with Thomas Dangl on related issues, valuable suggestions from a referee and last but not least encouragement by Josef Kallrath     

An optimal insurance strategy for an individual under an intertemporal equilibrium

In this paper, we discuss how a risk-averse individual under an intertemporal equilibrium chooses his/her optimal insurance strategy to maximize his/her expected utility of terminal wealth. It is shown that the individual’s optimal insurance strategy actually is equivalent to buying a put option, which is written on his/her holding asset with a proper strike price. Since the cost of avoiding risk can be seen as a risk measure, the put option premium can be considered as a reasonable risk measure. Jarrow [Jarrow, R., 2002. Put option premiums and coherent risk measures. Math. Finance 12, 135-142] drew this conclusion with an axiomatic approach, and we verify it by solving the individual’s optimal insurance problem.     

具限制投资组合和交易费用的博弈未定权益的保值

博弈期权是由kifer(2000)提出的,但就其本质而言,仍是美式期权的一种,只是增加了卖方中止合约的权利.本文主要对连续市场模型中具交易费用和限制投资组合的博弈未定权益的保值问题进行了研究,给出了买卖双方的保值价格和一个无套利区间.     

Gas storage valuation applying numerically constructed recombining trees

The liberalization of European natural gas markets forces market participants to base their decisions on market prices. For owners and operators of natural gas storage facilities it is therefore necessary to take market prices into account for their decisions. In this framework this paper provides a new approach for the valuation of natural gas storage facilities. Using stochastic dynamic programming on multinomial recombining trees, the optimal storage strategy and value are determined. For this we (i) estimate the deterministic and random impacts on natural gas prices, (ii) simulate gas prices considering the results of the first step, (iii) construct numerically the recombining tree using the simulation results, (iv) determine the optimal storage strategy and value. Besides the determination of the optimal storage value and operation schedule the value quantiles are calculated. Via the quantiles relevant risk measures like value at risk and conditional value at risk are determined.     

分数维Vasicek利率模型下的欧式期权定价公式

假定股票价格和利率的运动过程服从几何分数维布朗运动,利用风险对冲技术,分数维布朗运动随机分析理论与偏微分方程方法,得到了分数维Vasicek随机利率下欧式期权所满足的定价方程,获得了波动率是对间函数的情形下欧式看涨和看跌期权的一般定价公式以及它们的平价公式.     

分数跳-扩散环境下几种新型期权定价模型

假定股票价格遵循分数跳-扩散过程,利用公平保费原则和价格过程的实际测度,获得几种新型期权——欧式看涨幂期权、欧式上封顶及下保底看涨幂期权定价公式.对期权定价模型进行了推广.