基于实物期权的土地转化开发决策研究

在几何布朗运动假设基础上利用实物期权方法分析了不确定环境下农业用地向城市用地转化问题,得到了地价结构函数,同时利用首次达到时间理论分析了这一问题的可达性,并进行了比较静态分析,最后通过在转化开发前后征收不同税率分析了税收对土地转化和地价的影响.研究加深了我们对土地转化开发中的各种经济现象的理解和认识,并为房地产开发中的科学决策提供了理论支持.     

实物期权定价与风险对冲方法研究

实物期权定价面临的一个主要问题是其基本资产不可交易问题，在这种情况下，通常的解决办法是在市场中寻找一个与该基本资产最为相关的可交易资产，利用可交易资产的价格信息来对特定实物期权进行定价和风险对冲．利用随机动态规划法，本文得到基本资产不可交易时实物期权的最优风险对冲策略，在一定条件下还可以得到近似定价．     

Time Charters with Purchase Options in Shipping: Valuation and Risk Management

Abstract

The article studies the valuation and optimal management of Time Charters with Purchase Options (T/C–POPs), which is a specific type of asset lease with embedded options that is common in shipping markets. T/C–POPs are economically significant and sometimes account for more than half of the stock market value of listed shipping companies.

The main source of risk in markets for maritime transportation is the freight rate, and we therefore specify a single-factor continuous time model for the dynamic evolution of freight rates that allows us to price a wide variety of freight rate-related derivatives including various forms of T/C–POPs using contingent claims valuation techniques. Our model allows for the derivation of closed valuation formulas for some simple freight rate derivatives, whereas the more complex ones are analysed using numerical (finite difference) procedures. We accompany our theoretical results with illustrative numerical examples as we proceed.     

实物期权方法在自主创新项目投资决策中的应用

传统的投资决策方法由于蕴含着不确定性和可逆转性的假设使其不适应于高风险、高收益并存的自主创新项目投资决策.将实物期权思想融入自主创新项目投资决策方法,考虑了项目由于柔性经营的期权价值,能更准确地反映项目的价值,从而提高投资决策的科学性和合理性.从实物期权理论的基本原理出发,通过具体实例对比说明实物期权方法应用于自主创新项目投资决策的优势.     

美式期权定价中非局部问题的有限元方法

在本文中 ,我们关心的是美式期权的有限元方法 .首先 ,根据 [4 ]我们对所讨论的问题引进一个新奇的实用的方法 ,它涉及到对原问题重新形成准确的数学公式 ,使得数值解的计算可以在非常小的区域上进行 ,从而该算法计算速度快精度高 .进而 ,我们利用超逼近分析技术得到了有限元解关于 L2 -模的最优估计 .     

合作竞争条件下R&D项目投资决策分析

R&D项目的成功会为高新技术企业带来巨大收益,但是其研发过程中存在着技术风险、商业风险和突发风险等所带来的多种不确定性。为了应对这些不确定性,一些高新技术企业往往结成追求联盟整体利益最大化的成本共享联盟来进行R&D项目投资,然而由于不进行技术共享并争夺研发成功后的收益,联盟中的企业又会在合作的同时进行竞争,这就需要企业对R&D项目的估值非常的精确,以便在合作竞争条件下做出收益最大的最优投资决策。市场中两个合作竞争的高新技术企业各自拥有四种投资决策:成为市场先行者或跟随者,立刻与另一企业共同投资,与另一企业共同选择先等待时机再进行投资。本文以这两个高新技术企业为例,利用欧式期权理论量化了多种不确定性,建立相应的R&D项目投资决策数学模型,对R&D项目的投资时机和决策收益进行评估。当成本共享联盟整体收益最大时,得到的两个高新技术企业做出的投资决策即为在合作竞争条件下R&D项目投资中各自的最优投资决策,最后通过Shapley值的计算可对联盟中企业各自的收益进行合理分配。     

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.     

A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries

Abstract

We consider in this article the arbitrage free pricing of double knock-out barrier options with payoffs that are arbitrary functions of the underlying asset, where we allow exponentially time-varying barrier levels in an otherwise standard Black–Scholes model. Our approach, reminiscent of the method of images of electromagnetics, considerably simplifies the derivation of analytical formulae for this class of exotics by reducing the pricing of any double-barrier problem to that of pricing a related European option. We illustrate the method by reproducing the well-known formulae of Kunitomo and Ikeda (1992 Kunitomo, N. and Ikeda, M. 1992. Pricing options with curved boundaries. Mathematical Finance, 2: 276–298.  [Google Scholar]) for the standard knock-out double-barrier call and put options. We give an explanation for the rapid rate of convergence of the doubly infinite sums for affine payoffs in the stock price, as encountered in the pricing of double-barrier call and put options first observed by Kunitomo and Ikeda (1992 Kunitomo, N. and Ikeda, M. 1992. Pricing options with curved boundaries. Mathematical Finance, 2: 276–298.  [Google Scholar]).     

风险投资估值调整协议的实物期权价值及其应用

为了分析风险投资估值调整协议的合理应用对于风险投资活动的重要意义.本文以蒙牛与大摩等投资机构签订的估值调整协议为现实背景,凝练出了估值调整协议的特点:规避风险、达到双赢是估值调整协议的目标;不确定性是估值调整协议的基础;绩效考核是约束手段、股权是激励筹码;合理估值是实现双赢的必备条件.基于上述特点,本文构建了估值调整协议的实物期权模型,证明给出估值调整协议的实物期权价值及双赢后风险投资主体退出的最佳时机解析解,并通过算例进行了验证,最后得出了风险投资估值调整协议是以双赢和规避风险作为其目标,并当项目价值大于约定临界值后,风险投资主体并不会长时间的等待而是及时选择合适时机退出的结论.     

基本资产不可交易的实物期权定价方法研究

实物期权定价面临的一个主要问题是其基本资产不可交易问题，在这种情况下，通常的解决办法是在市场中寻找一个与该基本资产最为相关的可交易资产，利用可交易资产的价格信息来对特定实物期权进行定价和风险对冲。本应用随机动态规划法，确定实物期权的最优风险对冲策略所满足的偏微分方程。利用无套利原理，同时还可以得到实物期权的近似市场定价。     

需求随机下房地产开发商最优进入-退出与能力扩张决策模型

在租赁市场上,房地产开发商常常需要同时决定进入-退出时机及开发能力扩张的的时机.然而这一研究在已往的房地产投资有关文献中有所忽视.鉴于此,在需求随机的条件下,通过一两阶段决策模型同时研究了房地产开发商在租赁市场的进入-退出及能力扩张问题.指出了进入、退出决策的隐式解并给出了扩张决策的阀值及扩张投资额度.研究同时得出结论:不确定性与成本的提高会增大了开发商进入-退出的决策刚性,并同时抑制了开发商的扩张投资.文章同时在行文中分析了结论的经济含义与政策含义.     

美式期权定价中非局部问题有限元方法的整体超收敛与后验估计

我们利用积分恒等式与插值后处理技术 ,讨论美式期权非局部问题有限元方法关于 H 1-模的整体超收敛与后验估计 .     

不确定性、实物期权与企业价值—基于简约Schwartz-Moon模型的分析

将实物期权理论引入传统现金流量折现法的应用框架,在不确定性条件下运用实物期权定价法来评估企业价值,提出了简约的Schwartz-Moon(2001)实物期权定价模型,并在此基础上运用蒙特卡罗模拟方法来计算了百度公司的价值.     

居民家庭耐用消费品的消费时机选择:实物期权的方法

针对当前居民家庭消费的特点，为了合理地选择耐用消费品的最佳购买时机，本分析耐用品的价格和性能具有实物期权的属性，建立了一个关于“性价比”变量的随机微分方程，并且求出了购买时机临界值的解析公式。最后对日常生活中发生的购买时间现象给予了解释。     

货币政策、非国有企业投资与R&D项目中的共享型复合实物期权价值预期

如何合理评估货币政策对R&D项目中的共享型复合实物期权价值的影响已成为非国有企业决策者面临的重要问题。本研究根据非国有企业决策者的认知偏差和分子动力学理论,在分析R&D项目中的实物期权特征及价值相互作用的基础上,构建了共享型复合实物期权价值预期模型,研究表明:当货币扩张程度增强时,项目价值预期增大;当货币扩张程度减弱时,项目价值预期减小。另外,货币扩张强度对期权价值的上、下限和预期值具有非线性影响;货币政策的变化范围对期权价值预期的解释程度不同;货币扩张系数与期权价值的上下限成正比,但与期权价值的预期值不完全成正比。最后通过仿真实验检验了该影响的变化机理和效果,从而为非国有企业决策者提供经验参考。     

Real Estate Appraisal: A Double Perspective Data Envelopment Analysis Approach

This paper proposes a new methodology for the assessment of the value range for real estate units. The theoretical basis of the methodology is built on the Data Envelopment Analysis—DEA approach, which has its original concept adapted to the case where the units under assessment consist of transactions among sellers and buyers. The proposed approach—christened Double Perspective-Data Envelopment Analysis (DP-DEA)—is applied to a database comprising the prices and features of the units under assessment. It is shown that the DP-DEA presents some specific advantages when compared to the usual regression analysis method employed in real estate value assessment.     

Analysis of Open Discrete Time Queueing Networks: A Refined Decomposition Approach

This paper deals with approximate analysis methods for open queueing networks. External and internal flows from and to the nodes are characterized by renewal processes with discrete time distributions of their interarrival times. Stationary distributions of the waiting time, the queue size and the interdeparture times are obtained using efficient discrete time algorithms for single server (GI/G/1) and multi-server (GI/D/c) nodes with deterministic service. The network analysis is extended to semi-Markovian representations of each flow among the nodes, which include parameters of the autocorrelation function.     

Numerical Methods for the Pricing of Swing Options: A Stochastic Control Approach

In the natural gas market, many derivative contracts have a large degree of flexibility. These are known as Swing or Take-Or-Pay options. They allow their owner to purchase gas daily, at a fixed price and according to a volume of their choice. Daily, monthly and/or annual constraints on the purchased volume are usually incorporated. Thus, the valuation of such contracts is related to a stochastic control problem, which we solve in this paper using new numerical methods. Firstly, we extend the Longstaff–Schwarz methodology (originally used for Bermuda options) to our case. Secondly, we propose two efficient parameterizations of the gas consumption, one is based on neural networks and the other on finite elements. It allows us to derive a local optimal consumption law using a stochastic gradient ascent. Numerical experiments illustrate the efficiency of these approaches. Furthermore, we show that the optimal purchase is of bang-bang type.      

多种风险下研发项目投资决策博弈分析

研发项目代表了高新技术企业的核心竞争力,但是其投资和研发的过程所包含的多种风险可能会造成企业经济上的损失。为了保证竞争优势和收益最大化,企业投资前需要对项目的估值非常的精确,以便在竞争中做出最优投资决策。本文以市场中的两个竞争性企业为例,利用欧式复合期权理论与博弈论,量化了技术风险、商业风险和突发风险等不确定性,在经过了信息披露过程之后,分析了市场中企业自身和竞争者的投资决策,建立相应的研发项目投资决策数学模型,对企业的研发项目投资时机和决策收益进行评估,通过博弈得到纳什均衡下的企业最优投资决策。     

A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options

We propose a general framework to model equity volatility for a firm financed by equity and additional non-equity sources of funds. The stochastic nature of equity volatility is endogenous, and comes from the impact of a change in the value of the firm's assets on the financial leverage. We first present the basic model, which is an extension of the Black-Scholes model, to value corporate securities. Second, we show for the first time in the option literature, that instantaneous equity volatility is a solution of a partial differential equation similar to Black-Scholes', although it is non-linear and in general does not have any analytical solution. However, analytical approximations for equity volatility are proposed for different capital structures: (1) equity and debt, (2) equity and warrants, and (3) equity, debt and warrants. They are shown to be very accurate.