内部渠道结构内生性选择下的要素定价研究

文章研究垂直市场结构,其中上游要素市场为垄断市场,下游为古诺寡头市场,下游企业同时需要选择它们的内部渠道结构。利用古诺数量博弈模型,采用逆向法求解子博弈完美纳什均衡,得到两个主要结论:第一,垄断要素供给者采用单一定价比采用差别定价获得的总福利要高;第二,对垄断要素供给者来说,采用单一定价比差别定价获利更多。     

下游市场存在竞争的企业集团转移定价研究

基于企业集团面临下游竞争，研究了企业集团的中间产品的转移定价问题。研究结果表明，集团的中间产品的转移价格大干中间产品的边际成本。与Hirshkifer提出的边际成本转移定价策略相比，本文提出的转移定价策略为优。     

Black-Scholes模型在我国权证市场的运用——基于宝钢权证价格运动的实证分析

权证作为我国金融市场上的一个崭新交易品种,其定价备受关注。在国外权证实务中,权证的定价广泛采用Black-Scholes模型。本文对我国第一只权证产品——宝钢权证的价格运动进行实证研究,分析了Black-Scholes模型中影响权证价格的因素及我国当前权证价格变动的模型之外的影响因素,认为该模型在我国目前的资本市场条件下实际运用的可行性较差。     

基于网状供应链定价的逆向牛鞭效应研究

关于牛鞭效应的研究大多是基于订单信息的由供应链下游向上游传导的研究，而对于供应链资金流中的价格波动的反向放大传导机制是一个被忽略的领域。文章根据经济学的最优化原理结合序贯博弈模型，以企业成本定价为基础，建立网状结构的供应链定价模型．分析了供应链中上游采购价格波动对下游零售价格的影响，进一步界定了确定性需求条件下，价格的逆向牛鞭效应产生的条件。     

Black—Scholes模型在我国权证市场的运用——基于宝钢权证价格运动的实证分析

权证作为我国金融市场上的一个崭新交易品种,其定价备受关注,在国外权证实务中,权证的定价广泛采用B1ack—Scholcs模型。本文对我国第一只权证产品——宝铜权证的价格运动进行实证研究,分析了Black—Scholes模型中影响权证价格的因素及我国当前权证价格变动的模型之外的影响因素,认为该模型在我国目前的资本市场条件下实际运用的可行性较差．     

闭环供应链回收渠道的选择——以价格为决策变量的博弈分析

基于单一制造商和单一零售商构成的闭环供应链系统，以产品批发价和回收转移价格为制造商的决策变量，市场回收价为回收方的决策变量，对不同回收模型进行了博弈分析，得到闭环供应链成员的最优定价策略和最终利润，并进一步对不同回收成本下制造商的最优选择进行了分析。     

政府补贴下再制造逆向供应链产品回收定价策略研究

运用博弈论的思想研究了政府补贴背景下单一制造商和单一零售商组成的二级再制造逆向物流系统的定价问题,建立了非合作博弈Stackelberg模型,对该模型进行了求解得到了最优产品回收价格,并且分析了各个因素对回收价格和利润的影响。该模型的建立对于实施再制造具有指导意义。     

基于售后服务水平的产品动态定价策略

分析了在垄断竞争条件下,不同售后服务竞争水平的产品最优定价的策略。在不仅考虑了当期价格和售后服务水平,而且也考虑了上一期的价格和售后服务水平情形的基础上,构建了一个学习型的竞争性需求模型,针对对称性的双垄断性企业,提出一个竞争性的动态定价策略。然后运用多周期动态博弈理论推导出了最优均衡价格和最优均衡售后服务水平,分析了不同状态下的竞争性动态定价策略。结果表明,垄断竞争性企业有五种可选择的动态定价策略,即提高价格、降低价格、振荡收敛于一常数、发散定价和维持原价。     

政府补贴下再制造逆向供应链产品回收定价策略研究

运用博弈论的思想研究了政府补贴背景下单一制造商和单一零售商组成的二级再制造逆向物流系统的定价问题,建立了非合作博弈Stackelberg模型,对该模型进行了求解得到了最优产品回收价格,并且分析了各个因素对回收价格和利润的影响.该模型的建立对于实施再制造具有指导意义.     

按订单装配企业产品族定价策略研究

文章通过构建利润最大化、产品族市场占有率最大化及单一产品市场占有率最大化等不同决策目标下的按订单装配企业定价模型,研究了产品族生产企业的最优定价策略,并得出了最优解的寻优算法。研究发现,当企业以市场占有率最大化为目标时,可采用成本加成定价法来确定产品价格上下限,并以此作为最优价格;产品族市场占有率最大化将导致企业利润的一定损失;单一产品市场占有率最大化则不仅导致利润的损失,还会损失其它产品的市场份额。     

Behavior‐ and characteristic‐based price discrimination

We develop a model of behavior‐ and characteristic‐based discriminatory pricing where consumers are heterogeneous both in tastes and in price sensitivity. Each firm is able to distinguish between the consumers that have bought from it and those that have bought from the rival. Furthermore, each firm learns the price sensitivity of their own consumers. We show that using this additional information may yield higher profits than uniform pricing provided that consumers are heterogeneous enough with respect to price sensitivity. We also discuss consumer surplus implications of such behavior‐ and characteristic‐based price discrimination, and we show that the impact of price discrimination depends on both the consumer type and the level of consumers’ heterogeneity.     

Strategic pricing of differentiated consumer durables in a dynamic duopoly: A numerical analysis

Under different modes of competitive pricing behavior, profit-maximizing price trajectories are derived for durable products in a dynamic duopoly. Open-loop co-operative and non-cooperative pricing behavior is analyzed within a comprehensive model where sales of differentiated products are described by interlocked diffusion processes with realistic demand characteristics. Because of analytic complexity, the optimal trajectories implied by the control and differential-game problems are derived numerically across an extensive set of plausible market scenarios. Manipulation of initial market conditions enables derivation of optimal competitive pricing as a function of timing of entry.     

巨灾保险费率精算模型及其应用研究

由于巨灾风险及其保险具有特殊性,风险可保性经典定义和大数法则不适用于巨灾保险及其费率精算。基于巨灾保险概念,在对巨灾事件离散模型、经济损失模型和保险损失模型研究的基础上建立了巨灾保险费率精算模型。以福建巨灾保险区划内住宅所面临的巨灾台风为例,利用实证数据资料对该模型及其矩阵化的应用方法进行了验证,结果表明该巨灾保险费率精算模型通用性强,易操作,结果较为可靠。     

Pricing catastrophe equity puts with counterparty risks under Markov-modulated,default-intensity processes

According to the observation of the catastrophic events with regime-switching phenomena and default rate varying with economic condition, we extend the results of Chang et al. (2011) and also take the default rate varying with economic condition into consideration by using the Markov-modulated reduced-form model. In order to value options under stochastic interest rates and a default intensity environment, we employ Girsanov’s theorem to obtain two different forward measures and to derive a pricing formula. We also conduct numerical analyses using Monte Carlo simulations to illustrate the influence of the recovery rate, the time to maturity, the frequency of catastrophic events, and the effect of counterparties’ default intensity on the catastrophe equity put price.     

Measuring the Value of Product Characteristics in the Presence of Price Dispersion

Modeling the price of multi‐attribute products generally requires an assessment of each attributes' market value. In the presence of price dispersion, when similar products are sold at different prices, hedonic pricing models provide users with biased estimates of attribute value. This paper develops the hedonic pricing literature by proposing data envelopment analysis as a prior means of identifying a sub‐sample of products which, after adjusting for attribute provision, display no price dispersion. These products then display a homogenous link between attributes and price, which can be modeled using hedonic pricing. This paper implements and evaluates this two‐stage approach using 1000 observations from the UK mortgage market. Copyright © 2014 John Wiley & Sons, Ltd.     

Can a stochastic cusp catastrophe model explain stock market crashes?

This paper is the first attempt to fit a stochastic cusp catastrophe model to stock market data. We show that the cusp catastrophe model explains the crash of stock exchanges much better than other models. Using the data of U.S. stock markets we demonstrate that the crash of October 19, 1987, may be better explained by cusp catastrophe theory, which is not true for the crash of September 11, 2001. With the help of sentiment measures, such as the index put/call options ratio and trading volume (the former models the chartists, the latter the fundamentalists), we have found that the 1987 returns are bimodal, and the cusp catastrophe model fits these data better than alternative models. Therefore we may say that the crash has been led by internal forces. However, the causes for the crash of 2001 are external, which is also evident in much weaker presence of bifurcations in the data. In this case, alternative models explain the crash of stock exchanges better than the cusp catastrophe model.     

股价波动源模型下欧式下出局期权的鞅定价

机游走模型(Random Walk)和对数正态分布模型是两种最常见的描述股票价格的模型,但是这两种都存在着一定的缺陷,距离实际上的波动还具有较大的差距。波动源模型更全面的考虑了大量散户交易者对股票价格的影响,以及其他的一些因素,能够更加接近实际的描述出股票的价格变动以及波动现象.在股票价格波动源模型下,利用Martingale Pricing方法推导出欧式下出局期权(买权)的定价公式.作为特例,同时得到了传统的对数正态分布模型下欧式下出局期权的定价公式。     

Weak convergence of tree methods,to price options on defaultable assets

Abstract We discuss a practical method to price and hedge European contingent claims on assets with price processes which follow a jump-diffusion. The method consists of a sequence of trinomial models for the asset price and option price processes which are shown to converge weakly to the corresponding continuous time jump-diffusion processes. The main difference with many existing methods is that our approach ensures that the intermediate discrete time approximations generate models which are themselves complete, just as in the Black-Scholes binomial approximations. This is only possible by dropping the assumption that the approximations of increments of the Wiener and Poisson processes on our trinomial tree are independent, but we show that the dependence between these processes disappears in the weak limit. The approximations thus define an easy and flexible method for pricing and hedging in jump-diffusion models using explicit trees for hedging and pricing. Mathematics Subject Classification (2000): 60B10, 60H35 Journal of Economic Literature Classification: G13     

Discriminatory input pricing and strategic delegation

This paper examines how discriminatory input pricing by an upstream monopolist affects the incentives that owners of downstream duopolists offer their managers. Regardless of the mode of competition (quantity or price), owners of downstream firms induce their managers to be more profit‐oriented and to behave less aggressively when the monopolist is allowed to price‐discriminate than when he charges a uniform price. If the monopolist price‐discriminates, managerial downstream firms always earn more than owner‐managed profit‐maximizing firms. However, if the monopolist charges a uniform price, managerial downstream firms earn more than profit‐maximizing counterparts under price competition and earn less under quantity competition. Copyright © 2009 John Wiley & Sons, Ltd.