基于Lévy过程带模糊参数的障碍期权定价

为描述由于突发事件引起的标的资产价格的跳跃,它以标的资产价格为几何Lévy过程为基本模型研究障碍期权的定价问题.给出了向上敲出看跌障碍期权在0时刻和t时刻的定价公式.由于现实中模型参数不能精确确定,我们将这些参数做模糊化处理,从而得到了参数是模糊数情形下的向上敲出看跌障碍期权定价公式.最后用Matlab软件通过对标的资产价格进行蒙特卡洛模拟得到了期权价格的数值结果。     

灾难与风险溢价之谜：最新研究进展评述

“风险溢价之谜”在资产定价理论中占有举足轻重的地位,自MehraandPrescott（1985）提出这个谜以来,尽管已有大量的研究,这个谜却一直没能得到很好的解释。而Rietz—Barro等将罕见灾难引入资产定价模型,不仅完美地解释了高风险溢价和低无风险利率之谜,而且学者们进一步引入广义预期效用和可变灾难．同时将灾难的解释范围扩展到股票、债券、期权等金融资产的定价和价格波动之谜,解决了传统金融理论所无法解释的众多宏观金融难题。更为重要的是,通过引入系统性风险,真实经济周期理论和资产定价理论有了新的突破,从而打开了一扇融合现代宏观经济学和金融学的大门。     

基于跳跃过程的指数期权模型

简单利用Black&Scholes公式对指数期权进行定价 ,会存在理论上的不一致性。本文抓住组成股票价格指数的个股运动变化相对独立的特点 ,引入跳跃过程描述股票价格的运动变化 ,并在一定的限制条件下得出指数期权的定价方程及定价模式。这一方法在很大程度上避免了采用扩散过程描述股票价格指数运动与描述个股价格变化的理论不一致性。     

股票价格服从不对称跳跃-扩散过程的期权定价模型

经典期权定价公式B—S模型假设股票价格服从连续的几何布朗运动,然而,经验研究表明股票价格常常发生跳跃式的变化,这主要是由于股市上常出现一些重大的事件导致的。通过对期权市场出现的“隐含波动率微笑”现象进行观察和研究,可以发现引起股票价格上升或者下跌的跳跃式变化往往是不对称的。为简单起见,在假设跳跃幅度服从均匀分布假设前提下,初步建立起股票价格服从不对称跳跃-扩散过程期权定价模型。     

对B-S模型与GARCH模型下的期权定价比较分析

权证具有一种理财和避险的功能。可同样的,期权又存在着风险,在对期权进行定价的过程中,最具影响的因素有:到期时间、股价波动率、无风险利率、期权合约到期目的股价、行权价、股票当前价格等等,这些因素的存在使得股票期权定价仍存在不确定性。为了理性地科学地对期权进行定价,20世纪七八十年代出现了两种比较经典的定价模型:B-S模型和GARCH模型。因此,本文通过对B-S模型与GARCH模型理论原理进行介绍,从而对两者的期权定价功效进行比较分析。     

基于Levy Copula的组合信用衍生品定价模型

信用衍生品是有效分散、转移以及对冲信用风险的重要工具.2007年以来,全面爆发的美国金融危机导致了金融资产价格的急剧下跌,致使现有的信用衍生品定价模型面临极大的挑战,因此,如何假设基础金融资产价格的变动过程,进而对信用衍生品进行准确定价成为学者们研究的焦点.本文假设资产服从Variance Gamma过程,利用Levy Copula直接将资产的跳跃进行关联,对组合信用衍生品进行定价.蒙特卡罗模拟结果显示,本文模型可以很好地对不同的参数设置下的组合信用衍生品进行定价.     

Libor市场模型及其CMS价差期权定价的文献述评

随着利率市场化进程的推进,利率衍生产品定价也越来越成为人们关注的问题。对现有利率模型缺陷进行修正,使其更贴近市场波动特征,是目前中国定价模型研究的重点。主要对国内外对于Libor市场模型及其CMS价差期权定价的现有研究进行文献述评,在此基础上,提出该研究领域的进一步研究方向。基于随机波动率机制转换的Libor市场模型将成为对Libor所服从随机过程建模的重要方向,同时该模型也是对CMS价差期权定价的基础。     

马尔可夫调制模型下交换期权的定价

在这篇文章中,假定市场经济状态由一个两状态马尔可夫链描述,风险资产满足一个两状态的马尔可夫调制过程。当市场处于高波动状态时,风险资产的价格满足跳扩散过程;当市场处于稳定状态时,风险资产的价格满足几何布朗运动.通过测度变换的技术,得到了交换期权的定价公式。最后,利用蒙特卡洛方法给出了期权价值的数值结果。     

由套利定理确定离散价格标的资产的期权定价模型

本文利用Black-Scholes公式、套利定理和风险中性概率分布,给出了离散价格标的资产的期权定价公式,揭示了这类标的资产期权价格的实际意义,同时也给出了利用结论指导期权实际投资的方法。     

信用价差变化的决定因素——一个宏观视角

基于从宏观角度研究信用价差变化的决定因素结果表明:短期利率、国债利率差和股票市场回报率时信用价差具有显著影响,但其影响的强度和持续性各不相同,其中短期利率对信用价差的解释能力最强,而股票市场回报率对信用价差的解释能力最弱;信用价差与国债利率差、股票市场回报率的负相关性可以解释为信用价差与宏观经济走势的负相关性,即信用价差在经济向好时变小,在经济衰退阶段增大.信用价差在一定程度上反映了经济周期的变化.     

The double exponential jump diffusion model for pricing European options under fuzzy environments

The interest rate and volatility may have different values in the different commercial banks and financial institutions. Moreover, the fluctuations of the underlying assets are rare events, and there are not enough historical data to estimate the jump intensity in a precise sense. This paper considers European option pricing problems with the fuzzy interest rate, fuzzy drift, fuzzy volatility and fuzzy jump intensity. We present the fuzzy pricing formula of European options based on the Kou's double exponential jump diffusion model. We also obtain the crisp possibilistic mean option pricing formula in fuzzy double exponential jump diffusion model by using the crisp possibilistic mean values of the fuzzy numbers. Comparing with B-S formula, numerical analysis and empirical results show that the fuzzy double exponential jump diffusion formula and the crisp possibilistic mean option pricing formula are reasonable and can be taken as reference pricing tools for the financial investors.     

Equilibrium asset pricing under the Lévy process with stochastic volatility and moment risk premiums

In this paper, we extend Zhang, Zhao and Chang's (2012) production-based equilibrium asset pricing model from a jump diffusion setting to a Lévy process with stochastic volatility. This paper is a further extension of Fu and Yang (2012), which is under a Lévy process with a constant volatility. Using newly developed closed-form formulas of equity premium and pricing kernel, we are able to price Schouten's (2005) moment swaps analytically. Numerical results show that our pricing formula performs very well. Our model explains Zhao, Zhang and Chang's (2013) empirical observations on moment risk premiums.     

The pricing and hedging of structured notes with systematic jump risk: An analysis of the USD knock-out reversed swap

Most of the interest rate derivative pricing models are jump-diffusion models, where the jump risk is assumed diversifiable. In this paper, we propose a Heath–Jarrow–Morton model with systematic jump risk to derive the no-arbitrage condition using Esscher transformation. Based on the Heath–Jarrow–Morton model with systematic jump risk, the dynamic process of the LIBOR market model with systematic jump risk is then developed. By decomposing the USD knock-out reversed swap into three derivative components, i.e., interest rate swap, interest rate digital call (IRDC) and cap, the pricing of the swap can be obtained from the dynamic process of the LIBOR market model with systematic jump risk. We show how the swap issuers/investors can hedge the swap risk using these three derivative components. The numerical analyses are conducted to show the impact of jump risk on the values of IRDC, cap and swap.     

Pricing Loans Using Default Probabilities

This paper examines the pricing of loans using the term structure of the probability of default over the life of the loan. We describe two methodologies for pricing loans. The first methodology uses the term structure of credit spreads to price a loan, after adjusting for the difference in recovery rates between bonds and loans. In loan origination, it is common practice to estimate the probability of default for a loan over a specified time horizon and the loss given default. The second methodology shows how to incorporate this information into the arbitrage free pricing of a loan. We also show how to derive an estimate of the credit spread due to liquidity risk. For both methodologies, we show how to calculate a break–even credit spread, taking into account the fee structure of a loan and the costs associated with the term structure of marginal economic capital. The break–even spread is the minimum spread for the loan to be EVA neutral in a multi–period setting.
(J.E.L.: G12, G33).     

Counterparty effects on capital structure decision in incomplete market

This paper builds a static contingent-claim model that allows for examining the optimal capital structure with the joint arguments of counterparty default risk and market incompleteness. A first-passage-time model with jump default barrier is adopted to capture the counterparty effects on the pricing of defaultable claims. Following the framework of Jarrow and Yu (2001), the jump in primary firm's bankruptcy barrier is designed as the loss on capital resulted from secondary firm's bankruptcy. The relevance of market incompleteness in the context of claim-pricing is considered using “good-deal asset price bound” method by Cochrane and Saa-Requejo (2000). We show that the effects of counterparty's default clearly diminish the uses of debt, which indirectly explains the so-called under-leveraged puzzle. We further find that counterparty effects on capital structure are sensitive to market incompleteness and firm's characteristics, such as tax rate and bankruptcy cost rate.     

Risk aversion,fanning preference and volatility smirk on S&P 500 index options

This article proposes a novel way of pricing S&P 500 index options in the presence of jump risk. Our analysis is built upon an equilibrium option pricing rule for a representative agent economy. In particular, we use the weighted utility’s certainty equivalent to specify agent’s risk preference, which displays a fanning-out characteristic. We find that the fanning effect captures a remarkably large portion of the total market risk premium implicit in options. As a result, the model with fanning effect generates pronounced volatility smirks.     

中国货币政策对资产价格波动反应的模拟分析

利用包含汇率波动和通胀预期的IS-Philips模型推导考虑资产价格的货币政策反应函数。在此基础上,分别以股价和房价作为资产价格的代理变量,模拟分析了资产价格波动对中国经济的影响。研究结果表明:考虑资产价格的货币政策在平抑产出和物价波动方面具有显著作用,但会增大利率波动幅度;考虑房价波动的货币政策比考虑股价波动的货币政策在平抑产出和物价波动方面具有更好的效果;与考虑股价波动的货币政策相比,考虑房价波动的货币政策对利率的冲击更小。     

Sentiment asset pricing model with consumption

We present an asset pricing model by incorporating investor sentiment. The sentiment equilibrium price could be decomposed to the rational term and the sentiment term, and the investor sentiment has a systematic and significant impact on the risky asset price. In the model, the sentiment term has a wealth-weighted average structure and the investor's wealth proportion could amplify the sentiment shock on the asset price. The model could offer a partial explanation of some financial anomalies in the stock market: the phenomenon of savings transfer to the stock market, pricing bubble and high volatility.