汇率连动欧式幂型期权鞅定价及避险

研究了汇率连动选择权中执行价是本国货币的外国股票权证的欧式幂型期权的鞅定价问题,推导了其看涨、看跌定价公式,并求出了其相应的避险参数.     

分数布朗运动下几何平均亚式权证的定价

假设股票价格变化过程服从几何分数布朗运动,建立了分数布朗运动下的亚式期权定价模型.利用分数-It-公式,推导出分数布朗运动下亚式期权的价值所满足的含有三个变量偏微分方程.然后,引进适当的组合变量,将其定解问题转化为一个与路径无关的一维微分方程问题.进一步通过随机偏微分方程方法求解出分数布朗运动下亚式期权的定价公式.最后利用权证定价原理对稀释效用做出调整后,得到分数布朗运动下亚式股本权证定价公式.<正>~~     

有限时区上的最优转换和停止问题

讨论了有限时区上的最优转换和停止问题,它是一类同时具备脉冲控制和最优停止特征的最优控制问题.问题的最优值以及最优转换和停止决策可以由具有混合障碍的多维反射倒向随机微分方程的解来刻画.接着考虑了形式更一般的反射倒向随机微分方程并证明了方程解的存在唯一性.     

基于实物期权的物流企业能力外购策略

探讨物流企业面临客户需求以及市场物流能力价格的双重不确定环境,物流企业的能力外购策略。通过引入实物期权的思想,构建物流企业能力外购模型,寻找使物流企业期望收益最大的能力预定量。分析表明,最优预定量随着期权价格和期权执行价格的增加而减小。最后,通过算例分析进一步探讨不同期权执行价格对物流企业最优外购策略选择的影响。     

固定汇率制度下的双币种交换期权

在固定汇率制度模型的基础上,利用计价单位变化以及风险中性概率测度,得到固定汇率制度下的双币种交换期权价格的闭式解．     

支付离散红利的交换期权定价

在标的资产支付离散红利的情形下,对交换期权定价问题进行了讨论,并采用Dai和Lyuu（2008）的股票支付离散红利的期权定价方法,给出了支付离散红利的交换期权的闭式解。     

随机利率下基于Tsallis熵分布的幂式期权定价

考虑到无风险利率的随机性以及股票收益率分布的尖峰厚尾和长期相依性,利用具有长程记忆及统计反馈性质的Tsallis熵分布建立股票价格的运动模型,在无风险利率服从Vasicek模型下,运用保险精算定价法得到了幂式期权的定价公式,推广了经典的Black-Scholes定价公式,扩展了已有文献的结论.     

Return distributions of strategic growth options

In this study, we develop implications of imperfect competition on the return distribution of strategic growth options. We integrate real option theory with a Cournot-Nash framework in which two firms choose output levels endogenously and may have investment-timing differences. Simulations show that traditional option variables are significant determinants for the moments of the return distribution. In addition, uncertain preemption may introduce discontinuities in the payoff of the option that increase skewness and kurtosis. When first-mover advantages are crucial and sustainable, investment-timing differences between competitors can result in bimodal return distributions, where the firm with the first-mover advantage has a high probability of generating high returns. The authors are greatly indebted to the editor, the seminar participants of the Real Option Conference 2003 and the anonymous reviewers for their insightful comments and guidance. All remaining errors are our own.     

Preemptive patenting under uncertainty and asymmetric information

This paper examines the investment behaviour of an incumbent and a potential entrant that are competing for a patent with a stochastic payoff. We incorporate asymmetric information into the model by assuming that the challenger has complete information about the incumbent whereas the latter does not know the precise value of its opponent’s investment cost. We find that even a small probability of being preempted gives the informationally-disadvantaged firm an incentive to invest at the breakeven point where it is indifferent between investing and being preempted. By investing inefficiently early to protect its market share, the incumbent gives up not only its option to delay the investment, but also reduces the value of the firm by an amount that increases with the investment cost incurred and the potential loss of market share.     

Super-replication under proportional transaction costs: From discrete to continuous-time models

In this paper, we study the problem of finding the minimal initial capital (i.e. super-replication value) needed in order to hedge (without risk) European contingent claims in a Markov setting under proportional transaction costs. The main result is that the cheapest (trivial) buy-and-hold strategy is optimal. Such a negative result has been derived previously in different contexts. First, we focus on discrete-time binomial models. We prove that the continuous-time limit of the super-replication value is the cost of the cheapest buy-and-hold strategy. Then, the result is proved in a multivariate continuous-time model with Brownian filtration. As a direct consequence, we obtain an explicit characterization of the hedging set, i.e. the set of all initial positions in the market assets from which the contingent claim can be hedged through some admissible portfolio strategy.