资本市场跳跃检测理论框架的构建及其实证研究

建立了资本市场跳跃检测的数理方法,并用高频数据对上海综指和上海证券市场不同板块八只股票的跳跃情况进行了实证检测.首先,将资本市场的跳跃分为泊松跳跃和列维跳跃,推导和证明了泊松跳跃和列维跳跃检测的统计量.以此理论为基础,再对中国证券市场的泊松跳跃和列维跳跃检测情况进行了实证研究.研究发现:上证综指收益率跳跃比率和其他八只股票收益率跳跃比率相比是最小的;列维跳跃的强度明显高于泊松跳跃的强度.所建立的检测统计量能具体定位哪一个收益率包含泊松跳跃或列维跳跃,具有一定的创新性.     

离散条件下标的资产带跳的德尔塔对冲误差研究

讨论了离散条件下的德尔塔对冲以及含泊松跳跃的布莱克—休斯模型下期权的定价问题.在布莱克—休斯模型中对冲被假设为连续发生的,当应用于离散的交易时,对冲误差就产生了.考虑到对冲误差,得出一种离散条件下标的资产带泊松跳跃的修正的布莱克—休斯方程和依赖再对冲区间长度的更精确的德尔塔值.     

对原并购企业有损害的企业并购时机与条件

假设并购失败对并购者原企业的资产有损害,或产生负协同效应,利用实物期权博弈论方法,研究随机市场下企业并购条件和时机.研究表明,目标企业保证金至少受四种因素影响:一是目标企业本身的特征;二是产业的特征,三是并购者的期望,以及并购失败对并购者原企业资产的损害评估.该损害可能性越大,目标企业要求的最优保证金越低,最优并购触发时间越长.给出两阶段数值模拟例子.模型可用于国有企业产权转让的定价,通过公开拍卖是国企产权转让的最佳选择.     

超竞争环境下企业困境并购定价与时机选择的期权博弈分析

基于期权博弈理论,以超竞争环境为研究背景,在多个主并企业合作的情形下,建立目标企业存在财务困境的并购模型,得出主并方的最优并购时机;并进行数值模拟分析,重点分析了代表超竞争特点的三个变量(竞争强度、竞争不确定性、企业价值损失因子)、主并企业联盟中参与者的重要程度及联盟中发生机会主义的概率、企业困境因子这六个变量对并购阈值的影响。     

基于Tsallis分布和更新过程的欧式期权定价

考虑到股价所具有的均值回复性、长记忆性和收益率尖峰后尾的特征,利用指数O-U过程和Tsallis熵分布分别对传统B-S定价模型的漂移项、随机波动项进行改进,并假设跳跃源服从比泊松过程更一般的更新过程,利用无套利思想和广义Ito公式,给出在股票价格服从一类更新跳-扩散过程下满足的偏微分方程,最后运用Feynman-Kac公式及等价鞅方法,计算欧式期权价格.     

欧式双向期权的两种定价比较

在股票价格服从泊松跳模型下,分别利用保险精算方法与无套利定价方法给出了欧式双向期权的定价公式;通过对这两种结果的比较发现,当股票价格服从特定的泊松跳模型时两种定价公式是相同的.     

随机波动率跳跃扩散模型下复合期权定价

复合期权是一类以期权作为标的物的奇异型合约,它已广泛应用于许多金融实践。本文在股价满足一类随机波动率及跳跃均存在于股价和波动率的仿射跳跃扩散模型下(也称随机波动率混合跳跃扩散模型)考察了复合期权的定价。应用二维特征函数和Fourier反变换方法获到了标的为欧式标准看涨期权的欧式复合看涨期权的定价半封闭公式,并将其应用于推导扩展期权的定价。最后,借助于离散快速Fourier变换法(FFT)数值计算定价公式,并用数值实例分析了期权价格对波动率的敏感性。数值结果表明扩散波动和跳跃波动对期权价格都有正的影响,而且跳跃波动的冲击非常显著。     

基于不完全溢价信息的并购时机期权博弈研究

本文采用实物期权、最优停时的方法研究了考虑不完全信息并购溢价的并购阈值的确定问题。通过数值举例得出溢价比例的变化与并购阈值上下界呈反向变动关系的基本结论。并以此为基础,进一步分析了基于竞争对手溢价水平不完全信息下主并方的并购策略问题,得出了强弱竞争力情形下,主并方溢价水平的选择分别为调高或调低、大于或等于竞争对手的溢价水平,且应同时满足调整后的并购阈值上界至少等于竞争对手的期望溢价水平下的并购阈值上界。该结论可直接用于指导实践。     

“政策市”下的中国企业实物投资机理研究

在我国市场经济发展的过程中,某些具有不确定性和投资不可逆性的产业市场容易出现投资过热问题.这时政府往往频繁出台一系列宏观调控政策以规范市场,但效果不佳.为此从研究该类市场的投资主体—企业的投资决策机理的角度出发,通过引入实物期权的理论,给出了在完善和平稳发展的市场条件下及在政府政策冲击的市场条件下,价格分别服从单纯的几何布朗运动及混合的几何布朗运动/泊松跳跃过程的企业最佳投资规则及其临界价格,并进行了比较,结果表明:“政策市”下的企业投资更富“冒进性”.     

委托代理冲突下的企业投融资决策

采用实物期权与均衡定价理论,研究委托-代理冲突下的企业投融资决策问题.考虑管理者拥有企业投融资决策权时,其如何同时选择投资时机、投资规模及资本结构.分析了管理者持股与项目风险(不确定性)对企业非效率投融资的影响.数值分析表明:给定资本结构下,杠杆企业管理者决策的投资时机与投资规模变化呈现出负相关;对比于纯股权融资企业,杠杆企业管理者加速了投资期权的执行并增大了投资规模;财务杠杆率是管理者持股比例的U形函数,且管理者持股比例的增大,会加速投资期权的执行、增大投资规模与债务融资规模,并降低代理成本;项目风险的增大会导致企业投资时机、投资规模、债务融资规模和代理成本增大及财务杠杆率降低.     

An interval portfolio selection problem based on regret function

Recent mergers in the banking industry have often generated disappointing shareholder returns. Delays in implementing potential operating savings and realizing benefits of scale economies may be one reason these mergers have disappointing returns. Using data envelopment analysis (DEA), we analyze a 200-branch network formed in a merger of four banks. The operating efficiency of each branch is benchmarked against “best-practice” branches in the combined merged bank as well as “best practice” branches within each pre-merger bank. This analysis identified opportunities to reduce branch operating costs by 22 percent for the entire merged bank. In contrast, the cost savings opportunity is under seven percent when analyzed within each pre-merger bank.These findings suggest benchmarking across the entire merged bank to identify the best practices bank-wide can generate added savings. However, in this bank merger, these merger benefits were not realized until four years after the merger. Interviews with key players in the merged bank indicate that the bank deferred realizing these benefits because of political pressures, personnel integration issues, system integration issues, and financial components of the merger such as restructuring reserves and the purchase price. These causes suggest areas where shareholders can and should demand more rapid improvement in performance of bank mergers and areas for future corporate merger research.     

不完全信息下考虑效率和规模的多时点并购决策

针对企业并购过程中存在不完全信息和多时点信息的问题,提出了一种考虑效率和规模的企业并购决策方法. 通过证据推理集结并购双方的不完全的、多时点的评价信息,利用\,DEA\,方法判断合并企业规模是否过大,并筛选出可行并购方案,再根据合并企业竞争型并购交叉效率高低决策最佳并购目标. 最后算例分析说明了方法的有效性和实用性.     

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。     

HETEROGENEOUS INFORMATION ARRIVAL AND R＆D OPTION PRICING

The paper models the arrival of heterogeneous information during R&D stages as a doubly stochastic Poisson process(DSPP). The new product market introduction is considered as a timing option(an American perpetual option). Investment in R&D can be thought of as option on an option(a compound option). This paper derives an analytic approximation valuation formula for the R&D option, and demonstrates that the accounts for heterogeneous information arrival may reduce the pricing biases. This way, the gap between real option theory and the practice of decision making with respect to investment in R&D is diminished.     

海外区域技术平台投资的时机选择模型及实证研究

基于后发企业海外区域技术平台(RTP)投资中“成熟技术产品推广”和“新技术产品开发”两个阶段,本文构建了两阶段实物期权模型。进一步,利用中国制造业对外直接投资(OFDI)的上市公司样本,考察了RTP投资时机选择的决定因素及影响效果。研究发现,第一阶段外生不确定性越低、第二阶段内生不确定性越高、新技术产品项目的增长期权越大,企业越倾向于尽早地RTP投资于海外市场;在两阶段内外生不确定性的不同条件下,RTP投资时机相应地对企业创新增长产生了显著的差异影响。     

Earnouts in mergers and acquisitions: A game-theoretic option pricing approach

This paper presents a valuation approach for merger and acquisition (M&A) deals employing contingent earnouts. It is argued that these transactions have option-like features, and the paper uses a game-theoretic option approach to model the value of such claims. More specifically, the paper examines the impact of uncertainty on the optimal timing of M&A using earnouts, and it also investigates the impact of uncertainty on the terms of the earnout. Optimal earnout and initial payment combinations are endogenously derived from the model, and testable hypotheses are developed. The theoretical contribution of this paper is a dynamic decision-making model of the invest-to-learn option generated upon investment in an acquisition. The paper also offers practical implications for the design of acquisitions employing earnouts.     

Model‐based quantification of the volatility of options at transaction level with extended count regression models

In this paper, we elaborate how Poisson regression models of different complexity can be used in order to model absolute transaction price changes of an exchange‐traded security. When combined with an adequate autoregressive conditional duration model, our modelling approach can be used to construct a complete modelling framework for a security's absolute returns at transaction level, and thus for a model‐based quantification of intraday volatility and risk. We apply our approach to absolute price changes of an option on the XETRA DAX index based on quote‐by‐quote data from the EUREX exchange and find that within our Bayesian framework a Poisson generalized linear model (GLM) with a latent AR(1) process in the mean is the best model for our data according to the deviance information criterion (DIC). While, according to our modelling results, the price development of the underlying, the intrinsic value of the option at the time of the trade, the number of new quotations between two price changes, the time between two price changes and the Bid–Ask spread have significant effects on the size of the price changes, this is not the case for the remaining time to maturity of the option. Copyright © 2006 John Wiley & Sons, Ltd.     

Formulation and analysis of horizontal mergers among oligopolistic firms with insights into the merger paradox: a supply chain network perspective

In this paper, we consider oligopolistic firms with supply chain networks who are involved in the production, storage, and distribution of a homogeneous product to demand markets and explore what has become known in the literature as the “merger paradox.” We present the oligopolistic supply chain network equilibrium model associated with the competing firms before the horizontal mergers and also develop the supply chain network optimization model post the complete merger. In addition, we develop the model in which only a subset of the firms in the industry merge. The governing concept of the competing firms is that of Cournot–Nash equilibrium. We utilize finite-dimensional variational inequality theory for the formulation, analysis, and solution of both the pre and the post-merger supply chain network problems. We provide numerical examples for which we compute the total costs, the total revenues, as well as the profits obtained for the firms pre and post the mergers for a variety of distinct oligopoly problems. The generality of the network models and the flexibility of the computational approach, which yields closed form expressions for the product flows at each iteration, allows us to obtain deeper insights into the merger paradox.     

竞争型“以旧换再”闭环供应链策略选择及生产决策研究

针对两阶段闭环供应链系统,研究了古诺竞争型闭环供应链中的“以旧换再”策略选择问题。研究发现:(1)企业如何及何时实施“以旧换再”策略取决于自身及竞争企业的再制造水平。再制造水平不仅影响了企业的“以旧换再”数量,同时还会影响产品市场份额及利润。(2)“以旧换再”策略可以提高企业竞争力,增加企业产品市场份额和提高收益;(3)提高 “以旧换再”补贴及再制造产品接受度, 降低“二手市场”价格,均可以降低企业实施“以旧换再”策略和提高企业的“以旧换再”数量。