Hedging of the European option in discrete time under proportional transaction costs

In the paper hedging of the European option in a discrete time financial market with proportional transaction costs is studied. It is shown that for a certain class of options the set of portfolios which allow to hedge an option in a discrete time model with a bounded set of possible changes in a stock price is the same as the set of such portfolios, under assumption that the stock price evolution is given by a suitable CRR model.     

LD泵浦腔外倍频高转换效率Nd3+∶GdVO4固体激光器

通过合理设计精密调控各元件和温控电流，得到了平均功率为70 mW，脉冲宽度为22 ns，重复频率为14 kHz，峰值功率高达230 W的Nd3+∶GdVO4/Cr4+YAG红外脉冲激光器.先采用双凸透镜组合成的望远镜系统对1 063 nm的红外激光进行扩束，再对该光束聚焦，最后经双轴晶体LBO倍频后，得到了平均功率为40.6 mW，脉冲宽度为16 ns，重复频率为14 kHz，峰值功率高达181 W的绿光激光输出，1063 nm→532 nm的转换效率高达58%.测量了532 nm的光谱线宽曲线.解释了该聚焦方法比单一薄透镜效果明显好的原因，并指出了这种聚焦方法的使用对象.     

复合冷凝空调机组的分析

以家用分体式空调作为节能改造对象,将传统单一冷凝改进为复合冷凝,即在压缩机排气管路上串联一个水冷冷凝器,吸收部分冷凝热制备生活热水。并在此基础上建立了分析模型。模拟计算结果表明,复合冷凝空调的目的效率得到了大大的提高,当空调的蒸发温度为0℃、冷凝温度为30℃时,空调目的效率由单一冷凝时的52%上升到70%。     

Regret aversion and annuity risk in defined contribution pension plans

The high value of the implicit option to choose a retirement date at which interest rates are particularly high and life annuities relatively cheap, leads to the possibility to introduce regret aversion in the retirement investment decision of defined contribution plan participants. As a remedy for regret aversion in retirement investment decisions, this paper develops and prices a lookback option on a life annuity contract. We determine a closed-form option value under the restriction that the option holder invests risklessly during the time to maturity of the option and without the guarantee that the exact amount of retirement wealth is converted into a life annuity at retirement. Thereafter the investment restriction is relaxed and the guarantee of exact conversion is imposed and the option is priced via Monte Carlo simulations in an economic environment with a stochastic discount factor. Option price sensitivities are determined via the pricing of alternative options. We find that the price of a lookback option, with a maturity of three years, amounts to 8%–9% of the wealth at the option issuance date. The option price is highly sensitive to the exercise price of the option, i.e. pricing alternative options (e.g. Asian) substantially lowers the price. Time to maturity and interest rate volatility are other important option price drivers. Asset allocation decisions and initial interest rates hardly affect the option price.     

Effect of polarization on two-dimensional carrier distribution in nitride quantum wells

Wide band-gap group-III nitrides are important for the design of optical devices in the blue and blue–green region. Owing to their wurtzite structure, these materials have a strong inherent polarization field that affects carrier distribution, exciton stability and hence influences the optical properties of the devices. So far, carriers have been assumed to have a sheet-like character. In this paper a non sheet-like distribution function for these quasi two-dimensional carriers is proposed that incorporates the effect of the polarization field. Here GaN/InGaN/GaN and AlGaN/GaN/AlGaN quantum wells have been studied. The polarization field causes the electron and hole wave functions to separate out, thus causing decrease of emission strength and strong reduction of exciton binding energy. This treatment explains well the qualitative nature of carrier distribution in the well. The polarization field changes with GaN mole fraction present in the tertiary nitride layer. The effect of mole fraction on carrier distribution has also been studied. It is found that, inside the well, the hole distribution changes a little more with change in mole fraction than the electron distribution, but for all practical purposes the net change in the distribution pattern is negligible.     

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.     

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.