American option valuation in a stochastic volatility model with transaction costs

In the present paper we analyse the American option valuation problem in a stochastic volatility model when transaction costs are taken into account. We shall show that it can be formulated as a singular stochastic optimal control problem, proving the existence and uniqueness of the viscosity solution for the associated Hamilton–Jacobi–Bellman partial differential equation. Moreover, after performing a dimensionality reduction through a suitable choice of the utility function, we shall provide a numerical example illustrating how American options prices can be computed in the present modelling framework.     

基于汇率回报厚尾性的外汇期权定价模型

主要研究汇率回报呈厚尾分布的外汇期权定价问题。本文利用t-分布能捕获汇率回报序列厚尾特征的优势，推导出基于t-分布外汇期权定价模型的解析表达式，即对外汇期权定价模型——BSGK模型进行了修正，同时应用矩估计法估计出的t-分布的自由度用于该定价模型的计算，最后基于t-分布的外汇期权定价模型和BSGK外汇期权定价模型进行了比较分析。     

Properties of game options

A game option is an American option with the added feature that not only the option holder, but also the option writer, can exercise the option at any time. We characterize the value of a perpetual game option in terms of excessive functions, and we use the connection between excessive functions and concave functions to explicitly determine the value in some examples. Moreover, a condition on the two contract functions is provided under which the value is convex in the underlying diffusion value in the continuation region and increasing in the diffusion coefficient.Mathematics Subject Classification (2000) Primary 91A15, Secondary 60G40, 91B28     

Representative Agent Pricing of Financial Assets Based on L��vy Processes with Normal Inverse Gaussian Marginals

The aim of the paper is to test the assumption of normal inverse Gaussian returns from speculative investments. We construct an asset pricing model where price processes are pure jump processes having associated returns with marginal distributions of this particular type. The resulting model is not complete, and we employ a partial equilibrium framework with a representative agent. The model is confronted with some stylized facts, like the equity premium puzzle, and the results seem promising.     

玻璃体切除联合眼内异物摘出术24例报告

目的：分析闭合式玻璃体切除术治疗眼内异物的临床疗效，方法：对24例眼外伤合并眼内异物患者施行玻璃体切除加异物取出术。结果：所有病例的眼内异物均一次性取出，术后视力多数有不同程度提高。结论：闭合式玻璃体切除术取出眼内异物效果好，有利于及时处理并发症，提高视功能。     

拟蒙特卡罗法在亚洲期权定价中的应用

亚洲期权是场外交易中几种最受欢迎的新型期权之一,但它的价格却没有解析表达式,到目前为止,亚洲期权的定价仍是个公开问题.本文采用拟蒙特卡罗法中的Halton序列来估计它的价格,数值结果表明当观察点的个数N13时,它比蒙特卡罗法要好.本文还利用MATLAB程序生成了随机Halton序列,并将它与控制变量法结合起来估计亚洲期权的价格,估计值标准差的比较表明它在大多情况下比相应的蒙特卡罗法的估计效果要好.     

On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr''s approximation for American puts

This paper provides a general framework for pricing options with a constant barrier under spectrally one-sided exponential Lévy model, and uses it to implement of Carr's approximation for the value of the American put under this model. Simple analytic approximations for the exercise boundary and option value are obtained.     

基于复傅里叶级数展开的最低身故利益保障寿险产品的定价

本文利用复傅里叶级数展开方法(CFS)对最低身故利益保障(GMDB)寿险产品进行定价,其主要的思想是对辅助函数进行傅里叶级数展开.本文考虑了两种剩余寿命密度函数的形式,即联合指数形式和分段常数死亡率形式,并通过运用已知的Levy模型的特征函数来估计级数的系数.我们将主要考虑看涨期权和看跌期权下GMDB产品的定价问题,在数值实验部分我们还通过与余弦级数展开方法(COS)和蒙特卡洛方法(MC)进行比较来说明CFS在计算精度和运行时间方面的优势.     

石油勘探项目分阶段投资的最优时机选择

针对一次性投资决策理论与方法在石油勘探项目分阶段投资决策中应用的局限性,运用实物期权中的序列投资决策理论与方法,假设勘探储量转让价格服从跳跃扩散过程,构建了石油勘探项目分阶段投资的最优时机选择模型,逆序求解得出各阶段最优投资时机临界值的解析表达式,在此基础上通过案例演算对比分析了一次性投资和分阶段投资的最优时机决策规则.研究结果表明:一次性投资下的最优时机临界值高于分阶段投资下的最优时机临界值,且各阶段的最优投资时机临界值随勘探进程的不断深入呈现逐渐下降的趋势.