屏蔽数据情形下几何平均亚式期权定价模型

通常情况下,前人的工作都是连续情形下的结论,假定股票价格部分信息被屏蔽,只在有限的时刻点上股票价格是明确已知的.在此假设之下,尝试考虑几何平均型亚式期权定价问题.利用拟-鞅的方法,建立了分数布朗运动环境下亚式期权定价模型,获得了离散情形几何加权平均亚式期权价格的解析表达式.     

Gas storage valuation applying numerically constructed recombining trees

The liberalization of European natural gas markets forces market participants to base their decisions on market prices. For owners and operators of natural gas storage facilities it is therefore necessary to take market prices into account for their decisions. In this framework this paper provides a new approach for the valuation of natural gas storage facilities. Using stochastic dynamic programming on multinomial recombining trees, the optimal storage strategy and value are determined. For this we (i) estimate the deterministic and random impacts on natural gas prices, (ii) simulate gas prices considering the results of the first step, (iii) construct numerically the recombining tree using the simulation results, (iv) determine the optimal storage strategy and value. Besides the determination of the optimal storage value and operation schedule the value quantiles are calculated. Via the quantiles relevant risk measures like value at risk and conditional value at risk are determined.     

基于鞅方法下分数布朗运动欧式回望期权的定价

利用分数布朗运动研究了一种强路径依赖型期权—回望期权的定价问题.首先列出了有关的定义和引理;其次利用该定义和引理建立了分数布朗运动情况下的价格模型,通过鞅方法,得到了回望期权价格所满足的方程;最后分别给出了看跌回望期权和看涨回望期权的定价公式的显式解.     

基于不确定指数O-U过程带有浮动利率模型的亚式期权定价

不确定金融是不确定理论在现代金融领域的一种应用,在解决金融问题中发挥着越来越重要的作用。而利率是一个重要的经济指标,经常受到一些不确定因素的影响,在研究期权定价时,有必要考虑浮动利率。本文提出了一种新的不确定指数Ornstein-Uhlenbeck过程模型,假设利率服从不确定均值回复过程,研究了期权定价问题,运用α-轨道方法,分别推导了亚式看涨期权和看跌期权定价公式。最后,设计了计算期权价格的数值算法,并给出数值算例。     

美式回望期权定价问题的有限体积法

随着金融市场的不断发展, 期权作为一种能够规避风险的金融衍生产品越来越引起投资者的青睐, 成交量呈逐年上升的趋势, 期权定价问题已经成为金融数学领域中一个重要的研究课题. 本文主要研究Black-Scholes模型下美式回望期权定价问题的数值解法. 美式回望期权定价问题是一个二维非线性抛物问题, 难以直接应用数值方法进行求解. 通过分析该问题的求解难点, 本文给出解决该困难的有效方法. 首先利用计价单位变换将定价问题转换为一维自由边值问题, 并采用Landau's变换将求解区域规范化; 而后针对问题的非线性特点,利用有限体积法和Newton法交替迭代求解期权价格和最佳实施边界, 并对数值解的非负性进行了分析. 最后, 通过与二叉树方法进行比较, 验证了本文方法的正确性和有效性, 为实际应用提供了理论基础.     

面料服用性能优选的多属性模糊决策

织物面料服用性的优选对于服装市场的开发至关重要 .本文以一组丝绸面料为例 ,根据影响服用性能的主要因素 ,运用多属性模糊决策的方法 ,对不同品种的面料进行优选.     

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。     

Explicit portfolio for unit-linked life insurance contracts with surrender option

Introducing a surrender option in unit-linked life insurance contracts leads to a dependence between the surrender time and the financial market. [J. Barbarin, Risk minimizing strategies for life insurance contracts with surrender option, Tech. rep., University of Louvain-La-Neuve, 2007] used a lot of concepts from credit risk to describe the surrender time in order to hedge such types of contracts. The basic assumption made by Barbarin is that the surrender time is not a stopping time with respect to the financial market.The goal of this article is to make the hedging strategies more explicit by introducing concrete processes for the risky asset and by restricting the hazard process to an absolutely continuous process.First, we assume that the risky asset follows a geometric Brownian motion. This extends the theory of [T. Møller, Risk-minimizing hedging strategies for insurance payment processes, Finance and Stochastics 5 (2001) 419–446], in that the random times of payment are not independent of the financial market. Second, the risky asset follows a Lévy process.For both cases, we assume the payment process contains a continuous payment stream until surrender or maturity and a payment at surrender or at maturity, whichever comes first.     

Pilot-Wave Theory and Financial Option Pricing

This paper tries to argue why pilot-wave theory could be of use in financial economics. We introduce the notion of information wave. We consider a stochastic guidance equation and part of the drift term of that equation makes reference to the phase of the wave. In order to embed information in financial option pricing we could use such a drift. We also briefly argue how we could embed information in the pricing kernel of the option price. PACS: 03, 89.65.Gh.     

股票价格遵循几何分式Brown运动的期权定价

讨论了股票价格过程遵循几何分式B row n运动的欧式期权定价.由于该过程存在套利机会使得传统的期权定价方法(如资本资产定价模型(CAPM),套利定价模型(APT),动态均衡定价理论(DEPT))不可能对该期权定价.利用保险精算定价法,在对市场无其它任何假设条件下,获得了欧式期权的定价公式.并讨论了在有效期内股票支付已知红利和红利率的推广公式.