基于期权定价理论的风险投资决策

项目评价的传统方法———净现值(NPV)法在应用于风险投资项目时,由于低估了投资价值,往往会使得投资者失去一些有价值的投资机会。结合风险投资的特性,将期权定价理论应用于风险投资决策中,并建立连续及离散两种状态下的决策模型     

试论营销策略中的期权因素

营销策略由产品、价格、地点和促销构成,产品由核心产品、有形产品和附加产品组成。附加产 品在产品构成中的作用越来越重要,附加产品的性质类似于期权。通过附加产品,企业和消费者之间存 在着契约关系,可以利用期权的分析方法对附加产品进行分析,并利用期权定价模型对其进行定价。     

Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models

In this paper we propose two efficient techniques which allow one to compute the price of American basket options. In particular, we consider a basket of assets that follow a multi-dimensional Black–Scholes dynamics. The proposed techniques, called GPR Tree (GRP-Tree) and GPR Exact Integration (GPR-EI), are both based on Machine Learning, exploited together with binomial trees or with a closed form formula for integration. Moreover, these two methods solve the backward dynamic programing problem considering a Bermudan approximation of the American option. On the exercise dates, the value of the option is first computed as the maximum between the exercise value and the continuation value and then approximated by means of Gaussian Process Regression. The two methods mainly differ in the approach used to compute the continuation value: a single step of the binomial tree or integration according to the probability density of the process. Numerical results show that these two methods are accurate and reliable in handling American options on very large baskets of assets. Moreover we also consider the rough Bergomi model, which provides stochastic volatility with memory. Despite that this model is only bidimensional, the whole history of the process impacts on the price, and how to handle all this information is not obvious at all. To this aim, we present how to adapt the GPR-Tree and GPR-EI methods and we focus on pricing American options in this non-Markovian framework.     

Real call options to enlarge foreign subsidiaries – The moderating effect of irreversibility on the influence of economic volatility and political instability on subsequent FDI

This paper develops a real option model to explain the decision of enlarging a new foreign subsidiary by subsequent investment. The model is tested on a panel of 1148 subsidiaries in 22 host countries. The findings complement the traditional process model of firm internationalization. Rather than abiding by an incremental pattern of investment, internationalizing firms seem to keep foreign investment strategies flexible and build up their subsidiaries contingent upon the interaction of economic volatility and irreversibility of investment. However, the moderating effect of irreversibility on the relationship between uncertainty and investment may not hold for downside risks such as political instability.     

一个实物期权例子求解方法的辨析

对注会教材《财务成本管理》关于时机选择期权例子中计算报酬率方法的错误进行了讨论,指出了应该采用的正确方法,并对该例进行了重新计算与分析。     

中国企业股票期权行权期限问题研究

行权期限作为股票期权激励机制的基本要素之一,是影响股票期权激励机制发挥作用的关键。股票期权行权期限在中国实际应用中存在法律法规不规范,证券市场不健全,职业经理人市场不完善及公司治理结构、生命周期不成熟等问题。因此,应加大研究力度,提高调研人员素质,规范法律法规,完善公司治理结构,建立健全市场体系,以实现合理的股票期权行权期限确定机制。     

风险与收益权衡的期权组合策略

本文对Papahristodoulou的风险中性模型进行了推广,提出了在希腊字母上具有可控制风险界的线性规划模型来确定最佳期权组合策略。在此模型中,风险界可以由投资者根据自己的个性和对市场风险的接受能力选择,然后通过风险与收益的权衡来进行调整。最后,应用本文的模型对爱立信看涨权和看跌权的组合策略进行了分析计算。     

The assignment of call option rights between partners in international joint ventures

We examine call option rights as a contractual clause in international joint ventures (IJVs) and propose that the assignment of the call option right in an IJV is determined by certain ex ante asymmetries between the partners. Results show that between the two partners in an IJV, the firm with greater complementarity with the venture and greater prior IJV experience is more likely to hold the call option right; in addition, the firm's contractual choice on the call option right and its ownership choice on a greater initial equity stake are substitutive. Our focus on explicit call options advances the real options theory of collaborative agreements, and our results also highlight that option rights be considered an important part of alliance design. Copyright © 2013 John Wiley & Sons, Ltd.     

The performance of insolvency prediction and credit risk models in the UK: A comparative study

Theoretically-driven, market-based contingent claims models have recently been applied to the field of corporate insolvency prediction in an attempt to provide the art with a theoretical methodology that has been lacking in the past. Limited studies have been carried out in order directly to compare the performance of these models with that of their accounting number-based counterparts. We use receiver operating characteristic curves to assess the efficacy of thirteen selected models using, for the first time, post-IFRS UK data; and investigate the distributional properties of model efficacy. We find that the efficacy of the models is generally less than that reported in the prior literature; but that the contingent claims models outperform models which use accounting numbers. We also obtain the counter-intuitive finding that predictions based on a single variable can be as efficient as those which are based on models which are far more complicated – in terms of variable variety and mathematical construction. Finally, we develop and test a naïve version of the down-and-out-call barrier option model for insolvency prediction and find that, despite its simple formulation, it performs favourably compared alongside other contingent claims models.     

Hedge fund seeding via fees-for-seed swaps under idiosyncratic risk

We develop a dynamic valuation model of the hedge fund seeding business by solving the consumption and portfolio-choice problem for a risk-averse manager who launches a hedge fund through a seeding vehicle. This vehicle, i.e. fees-for-seed swap, specifies that a strategic partner (seeder) provides a critical amount of capital in exchange for participation in the funds revenue. Our results indicate that the new swap not only solves the serious problem of widespread financing constraints for new and early-stage funds (ESFs) managers, but can be highly beneficial to both the manager and the seeder if structured properly.