Arbitrage‐free call option surface construction using regression splines

In this work, we suggest a novel quadratic programming‐based algorithm to generate an arbitrage‐free call option surface. The empirical performance of the proposed method is evaluated using S&P 500 Index call options. Our results indicate that the proposed method provides a more precise fit to observed option prices than other alternative methodologies. Copyright © 2014 John Wiley & Sons, Ltd.     

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.     

技术创新与增长期权定价

本采用了净现值(NPV)和实物期权定价方法对一个实际的MMDS的发射放大器项目进行了定价，并对两种方法定价的结果进行了分析和对比。由于实物期权方法定价的结果包含项目中的增长期权和放弃期权的价值，因而实物期权方法定价的结果比NPV方法定价的结果更合理和更高。     

On two theorems for flat,affine group schemes over a discrete valuation ring

We include short and elementary proofs of two theorems that characterize reductive group schemes over a discrete valuation ring, in a slightly more general context.     

障碍平方期权的定价

本讨论了一种变异期权——收益结构为平方的障碍期权，在股票价格服从几何布朗运动的模型下，由带单侧吸收壁的布朗运动的密度和分布函数得到连续障碍平方期权的定价公式．     

Dubrovin赋值斜群环

本文中对一个斜群环为Dubrovin赋值环给出了一系列等价刻画,并且刻画了一个Dubrovin赋值斜群环的所有素理想.     

Calibration of a basket option model applied to company valuation

Applying real options thinking to company valuation seems theoretically and intuitively appealing. However, the real option analogy of a single European option as well as the compound option proxy perform poorly when applied to company valuation. We therefore suggest to rework the building blocks of real option applications to corporate valuation.  We introduce a framework to delineate the distribution of the underlying asset in the risk neutral world, which is important in order to value any derivative. This is achieved by an algorithm to calibrate a basket option model using real world data of observed share prices. The fitting takes account of the class of stable distributions. The index of stability of asymmetric α stable distribution serves as an over-all parameter to characterise the specific distribution.     

管理人因素对风险项目期权估值的影响

本基于对风险项目及其“孪生证券”风险和收益特性的分析，认为真正的“孪生证券”实际中很难存在，进而提出利用“近似孪生证券”与无风险证券构造资产组合来复制实物期权收益特征，利用无风险套利分析确定项目实物期权价值的方法。但考虑到管理人因素造成的实物期权内部风险特征的不可复制性，本进一步提出利用“确定性等值”将内部风险价值V1具体化，从而实现对“近似孪生证券”方法进行修正。     

The valuations of the near hexagons related to the Witt designs S(5,6,12) and S(5,8,24)

Valuations of dense near polygons were introduced in 16 . In the present paper, we classify all valuations of the near hexagons ??₁ and ??₂, which are related to the respective Witt designs S(5,6,12) and S(5,8,24). Using these classifications, we prove that if a dense near polygon S contains a hex H isomorphic to ??₁ or ??₂, then H is classical in S. We will use this result to determine all dense near octagons that contain a hex isomorphic to ??₁ or ??₂. As a by‐product, we obtain a purely geometrical proof for the nonexistence of regular near 2d‐gons, d ≥ 4, whose parameters s, t, t_i (0 ≤ i ≤ d) satisfy (s, t₂, t₃) = (2, 1, 11) or (2, 2, 14). The nonexistence of these regular near polygons can also be shown with the aid of eigenvalue techniques. © 2005 Wiley Periodicals, Inc. J Combin Designs 14: 214–228, 2006     

Allocating unfunded liability in pension valuation under uncertainty

This paper studied the cost allocation for the unfunded liability in a defined benefit pension scheme incorporating the stochastic phenomenon of its returns. In the recent literature represented by Cairns and Parker [Insurance: Mathematics and Economics 21 (1997) 43], Haberman [Insurance: Mathematics and Economics 11 (1992) 179; Insurance: Mathematics and Economics 13 (1993) 45; Insurance: Mathematics and Economics 14 (1994) 219; Insurance: Mathematics and Economics 14 (1997) 127], Owadally and Haberman [North American Actuarial Journal 3 (1999) 105], the fund level is modeled based on the plan dynamics and the returns are generated through several stochastic processes to reflect the current realistic economic perspective to see how the contribution changed as the cost allocation period increased. In this study, we generalize the previous constant value assumption in cost amortization by modeling the returns and valuation rates simultaneously. Taylor series expansion is employed to approximate the unconditional and conditional moments of the plan contribution and fund level. Hence the stability of the plan contribution and the fund size under different allocation periods could be estimated, which provide valuable information adding to the previous works.