基于TSOPM模型的两状态期权定价

文章主要阐述了基本两状态期权定价模型(Two-State Option Pricing Model, TSOPM)。该模型在数学上是比较简单的,但能运用到很多复杂的期权定价问题中去。TSO PM没有使用随机微分方程的求解,而是从代数方法中得到结论。首先,文章给出模型的数学表达,并阐述其在简单形式期权定价问题中的运用;其次,讨论了模型的统计特征,说明了模型中的参数如何估计并运用于实际问题的求解;最后,将模型运用于无分红、有分红股票的欧式与美式看涨期权、看跌期权的定价问题。此外,文章还将模型运用于其他估值问题:一个含有息票支付债券的公司,对其股权和债券进行估值;债务证券的期权估值;固定利率银行贷款承诺的定价。在附注中,还运用两状态接近法推导了Black-Scholes公式。     

基于实物期权的创业投资资本资产定价模型

创业投资的特质与实物期权方法有实质的契合性,表现在创业投资的风险水平同实物期权的波动率之间。创业投资的分期投资与实物期权的期权价值之间有着密切的关联性。这种内在契合性是运用实物期权方法研究创业投资定价研究的基础。基于Black-Scholes偏微分方程的实物期权模型构造的多期创业投资的实物期权定价模型,更具现实解释力。     

保险精算方法在新型期权定价中的应用

本文利用公平保费原则和价格过程的实际概率测度-保险精算方法给出了欧式新型期权的定价公式,包括欧式双向期权、外汇期权以及可转换债券的定价.     

期权定价理论和倒向随机微分方程

近年来,期权定价理论的研究和应用受到越来越多人的重视。研究了这些问题的一个有力工具是倒向、正倒向随机微分方程,简明扼要地介绍了——倒向随机微分方程在不完全市场中期权定价理论研究中所起的作用,将其归结为求不同边界条件下正倒向随机微分方程的求解问题。特别地,用它们导出了Bhck—Sccholes期权定价公式。     

流动收益期权票据及其在我国的发展展望

流动收益期权票据是零息、可转换、可赎回、可回售的债券 ,作为一种复杂的债券衍生品 ,具有一系列优异的收益 /风险特征 ,是西方典型的金融创新。文章介绍了流动收益期权票据的概念、收益 /风险特征、定价、优缺点等 ,并论述了在我国发展流动收益期权票据的意义和展望。     

分数布朗运动的一类具有违约风险的房产期权定价

假定房产价格服从分数布朗运动，本文应用偏微分方程的方法求出具有违约风险的一类房产期权价格显示解，并与不具有违约风险的期权价格进行比较，最后分析Hurst参数、房产价格对期权价格的影响。     

认股权证的定价计算

目前，我国在股权分置改革的实践中，发行了许多的认股权证，事实上，这些权证是期权的一种。期权是一种衍生品，它是由股票，债券，外币等标的资衍而来。一般地，这些的资产价格S的变动过程可用一个马可夫随机过程来描述，它满足以下随机微分方程。     

选择权的价值--复杂定价模型优于简单方法吗?

将金融市场中期权的理念引入投资项目决策，产生了期权决策法及实物期权的概念。然而期权决策法在应用中也存在一些问题，其中的关键在于实物期权的定价。本探讨了B—S模型用于实物期权定价中的问题以及建立实物期权定价模型的难题，认为应当化繁为简。在决策中贯彻期权理念。而不一定非要用严密的数学模型来为实物期权定价。     

论可转换债券的概念、价值及应用

债券和股票作为最常见的融资工具已被大众熟知。然而可转换债券在我国还只能算作初级阶段 ,许多人对它的性质、作用、定价还很陌生 ,本文将对可转换债券引进一些基本概念后 ,就其性质、价值、作用进行探讨 ,以期达到抛砖引玉的效果。一、可转换债券的基本概念可转换债券是指依法定程序发行 ,在一定期间内 ,依约定的条件可以转换成公司股票的公司债券。可转换债券作为一种融资手段 ,它实质是一种特殊的期权工具 ,可转换债券给投资者一定数目的利息收入 ,此外投资者还拥有关于该公司普通股票的期权。可转换债券必须具有以下构成要素 :可转换债…     

机遇：加入WTO和我国股指期货交易的推出

加入WTO后，中国对外开放金融市场是不可避免的，因此市场将会面临着更大的市场波动风险。发展金融衍生产品是市场推动的结果，按照市场需求和市场化程度，我国金融衍生产品的推出顺序是：股指期货、期权，利率期货，债券期货，利率调期，债券期权，利率期权，外汇期货和期权。     

Option implied beta and option return

We study the information content of option-implied betas for future equity option returns, using data on the S&P 500 index options and all of the component stock options. We find a significantly strong relation between option-implied betas and option returns cross-sectional. The paper presents evidence that call (put) option returns increase (decrease) with the option-implied betas of the underlying stock. A trading strategy of buying high (low) implied beta call (put) option portfolio and selling low (high) implied beta call (put) option portfolio generates a statistically and economically significant return. Our results are robustly persistent even after controlling for various cross-sectional effects and are not explained by the risk factors in asset pricing.     

实物期权定价理论及其在中国的适用性分析

实物期权作为西方新兴的价值评估方法在中国拥有广阔的应用前景，但在应用时也应充分注意到这一方法本身的局限性，以及它在中国特殊情况下可能产生的一些问题。本文介绍了两种金融期权定价方法在实物期权中的应用，以及实物期权定价理论在中国的适用性分析。     

Modelling the dependency between currency and debt crises: An option based approach

The interrelation between currency and debt crises is considered in a model relying on option pricing theory. By capturing uncertainty and time aspects in this stochastic and dynamic framework we analyze parameters that determine the probabilities and dependencies of these crises.     

A comparison of pricing and hedging performances of equity derivatives models

This article investigates the pricing/hedging conundrum, i.e. the observation of a mismatch between derivatives models’ pricing and hedging performances, that has so far been under-emphasized as the literature tends to focus on increasingly complicated option pricing models, without adequately addressing hedging performance. Hence, we analyse the ability of the Black–Scholes, Practitioner Black–Scholes, Heston–Nandi and Heston models to Delta-hedge a set of call options on the S&P500 index and Apple stock. We extend earlier studies in that we consider the impact of asset dynamics, apply a stringent payoff replication strategy, look at the impact of moneyness at maturity and test for the robustness to the parameters’ calibration frequency and Delta-Vega hedging. The study shows that adding risk factors to a model, as stochastic volatility, should only be considered in light of the data dynamics. Even then, however, more complicated models generally fare poorly for hedging purposes. Hence, a better fit of a model to option prices is not a good indicator of its hedging performance, and so of its ability to describe the underlying dynamics. This can be understood for reasons of over-fitting. Those findings hint to a potentially appealing hedging-based calibration of models’ parameters, rather than the standard pricing-based one.     

Some evidence in the trading and pricing of equity LEAPS

This paper documents some evidence in the trading and pricing of equity Long-term Equity AnticiPation Securities (LEAPS). The main findings on trading are that LEAPS open interest, trading volume, and put/call ratio are seasonal on a yearly basis possibly due to the impact of the “melding” process that is unique to equity LEAPS. This paper also finds that the Black–Scholes Option Pricing Model, in general, overprices or underprices out-of-the-money (OTM) or in-the-money (ITM) equity LEAPS calls, respectively, and the model tends to overprice when the options are very deep in-the-money (VDITM). Furthermore, the evidence indicates that the deviations of the Black–Scholes prices from the observed option market prices are more pronounced in equity LEAPS than in standard options, suggesting that the Black–Scholes Option Pricing Model is less well suited to the pricing of equity LEAPS than to the pricing of standard options.     

Applying the Model Order Reduction method to a European option pricing model

This paper presents a European option pricing model by applying the Model-Order-Reduction (MOR) method. A European option pricing theorem based on Black–Scholes' equation is implemented by the Finite-Difference Method (FDM). However, the numerical models generated by the FDM could be simplified through the MOR technique, which is based on the concept of an Arnoldi-based Model-Order Reduction algorithm. In terms of computational cost, the MOR models are at least 2 orders of magnitude faster than the original FDM models with a negligible compromise in accuracy.     

The tax (dis)advantage of a firm issuing options on its own stock

It is common for firms to issue or purchase options on the firm's own stock. Examples include convertible bonds, warrants, call options as employee compensation, and the sale of put options as part of share repurchase programs. This paper shows that option positions with implicit borrowing—such as put sales and call purchases—are tax-disadvantaged relative to the equivalent synthetic option with explicit borrowing. Conversely, option positions with implicit lending—such as warrants—are tax-advantaged. I also show that firms are better off from a tax perspective issuing bifurcated convertible bonds—bonds plus warrants—rather than an otherwise equivalent standard convertible.     

征地补偿标准的实物期权分析

我国的征地制度具有国家垄断的性质,现行的征地补偿费标准缺乏合理性,导致了实际征地中给予农民的补偿费偏低,侵害了农民的合法权益。农民拥有的土地承包权实际上是一个实物期权,从实物期权的定价方式出发,可以建立农地征用补偿费的新标准和新思路。如果采用货币补偿的形式,就应依照期权价格给予农民足额补偿。对征地双方都更有利的是混合补偿的形式,能够在保障农民利益的同时解决他们的生存就业问题。因此只有建立更合理的农地征用补偿费标准和方法,才能提高土地资源的利用效率,推进城市化快速健康发展。     

Exploiting volatility movements in the Sydney futures exchange's bank bill contract

An appropriate stochastic model was fitted to one year of data on the implied volatility of options on 90 day bank accepted bill futures contracts traded in the Sydney Futures Exchange. The model used was ARIMA augmented with day of the week variables, an option time to maturity variable, and recent values of historic volatility. The high ex-post predictive accuracy of the model was then employed as the central element of a strategy of buy low/sell high volatility.We employed two trading schemes with suitably constructed Delta neutral portfolios comprising bill futures and call and put options on those futures over a period of six months, to test whether speculative trading profit could be earned. The existence of trading profits before transaction costs validated the potential of the buy low/sell high volatility strategies to generate speculative profits. The absence of any such trading profits after transaction costs however, showed that the market pricing of these securities is such that the dependencies within implied volatility cannot be profitably exploited.This result may be interpreted as evidence supporting an hypothesis of a semi-strong form of market efficiency.     

Pricing and Hedging Credit Derivatives with Copulas

In this paper, we apply a copula function pricing technique to the evaluation of credit derivatives, namely a vulnerable default put option and a credit switch. Also in this case, copulas enable one to separate the specification of marginal default probabilities from their dependence structure. Their use is based here on no–arbitrage arguments, which provide pricing bounds and easy–to–implement super–replication strategies.
At a second stage, we specify the copula function to be a mixture one. In this case, we obtain closed form prices and hedges, which we calibrate on real market data. For the sake of comparison, we add a Clayton calibration.
(J.E.L: G11, G12).