Pricing and hedging power options

In this paper we study the pricing and hedging of options whose payoff is a polynomial function of the underlying price at expiration; so-called ‘power options’. Working in the well-known Black and Scholes (1973) framework we derive closed-form formulas for the prices of general power calls and puts. Parabola options are studied as a special case. Power options can be hedged by statically combining ordinary options in such a way that their payoffs form a piecewise linear function which approximates the power option's payoff. Traditional delta hedging may subsequently be used to reduce any residual risk.     

Do executive stock option grants have value implications for firm performance?

Consistent with predictions of agency theory, we find direct evidence that executive stock option grants have value implications for firm performance. This inference is drawn from evaluation of various motivations for the use of such grants in executive compensation: value enhancement, risk taking, tax benefit, signaling and cash conservation. We find consistent evidence for the value enhancement motivation to reduce agency costs. As well, they signal for positive price sensitive information. Our results reject the tax benefit and cash conservation motivations. This finding is robust after controlling for the endogenous character of executive stock option grants and other equity-based grants. JEL Classification G32 • J33 • M52     

Entry in the presence of dueling options

This paper investigates the influence of industry uncertainty on the decision by established firms to enter a new industry. Specifically, we examine the tension between the option to defer , which discourages entry in the presence of uncertainty, and the option to grow , which may encourage entry in the presence of uncertainty when there are early mover advantages. Empirical analysis on data from a broad array of industries revealed that the effect of uncertainty on entry is not monotonic. Our findings are the first to find support for the nonmonotonic effect of uncertainty that has only recently emerged in theoretical treatments of real options theory, and amplify the importance of considering both the option to defer and the option to grow when contemplating entry. Furthermore, we found evidence that the relationship between uncertainty and entry is moderated by: (a) irreversibility, which influences the value of the option to defer; (b) the total value of growth opportunities; and (c) early mover advantages, which magnify the value of growth options. Copyright © 2003 John Wiley & Sons, Ltd.     

浅谈煤制甲醇项目的煤气化技术选择

石油是一种不可再生资源,必须要寻求新能源的制造方法,其中,甲醇的大规模生产也受到了各个国家有关部门的高度重视。本文主要从原料、产品与投资方面几个方面对多喷嘴对置式水煤浆气化技术、Shell技术、BGL煤熔渣气化工艺进行分析,得出最优的生产技术。     

Relevance of the disposition effect on the options market: New evidence

A moneyness‐based propensity to sell (MPS) measure, at the aggregate level, determines the propensity of option holders to exercise their winning relative to losing positions. Using data on individual stock and S&P 500 Index options, we find that the MPS measure has significant predictive power over the cross section of delta‐hedged option returns. We test the disposition effect in the options market based on a long–short strategy that exploits price distortions induced by the disposition bias. More pronounced evidence of the disposition bias is found for individual at‐the‐money call options than put options where the significance of abnormal returns remains robust across different subsamples even after we control for the portfolio option greeks and market‐based risk factors. The profitability of the long–short strategy is related to limit‐to‐arbitrage proxies suggesting that behavioral explanations help explain the positive relation between the MPS measure and delta‐hedged option returns.     

基于量子三叉树的量子Black-Scholes期权定价

将量子概率引入到期权定价是最近几年一个新的研究趋势,也称为量子金融.为了期权定价更方便,文章建立了量子三叉树模型,同时利用量子概率建立了连续量子Black-Scholes(B-S)模型。实例应用和Matlab期权敏感性分析都验证了量子B-S优于经典B-S,从而为连续期权定价提供量子决策的途径。     

REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING

In this paper, we examine irreversible investment decisions in duopoly games with a variable economic climate. Integrating timing flexibility, competition, and changes in the economic environment in the form of a cash flow process with regime switching, the problem is formulated as a stopping‐time game under Stackelberg leader‐follower competition, in which both players determine their respective optimal market entry time. By extending the variational inequality approach, we solve for the free boundaries and obtain optimal investment strategies for each player. Despite the lack of regularity in the leader's obstacle and the cash flow regime uncertainty, the regime‐dependent optimal policies for both the leader and the follower are obtained. In addition, we perform comprehensive numerical experiments to demonstrate the properties of solutions and to gain insights into the implications of regime switching.     

Masculinity,Testosterone, and Financial Misreporting

We examine the relation between a measure of male CEOs’ facial masculinity and financial misreporting. Facial masculinity is associated with a complex of masculine behaviors (including aggression, egocentrism, riskseeking, and maintenance of social status) in males. One possible mechanism for this relation is that the hormone testosterone influences both behavior and the development of the face shape. We document a positive association between CEO facial masculinity and various misreporting proxies in a broad sample of S&P1500 firms during 1996–2010. We complement this evidence by documenting that a CEO's facial masculinity predicts his firm's likelihood of being subject to an SEC enforcement action. We also show that an executive's facial masculinity is associated with the likelihood of the SEC naming him as a perpetrator. We find that facial masculinity is not a measure of overconfidence. Finally, we demonstrate that facial masculinity also predicts the incidence of insider trading and option backdating.     

近44年关中夏季分级雨日及降水量的变化特征

[目的]通过对关中地区夏季雨日(量)进行分级研究,更深入地了解关中夏季降水变化特征及各级雨日(量)对关中夏季降水变化的贡献大小。[方法]利用1970~2013年关中地区44个气象站逐日降水资料,采用趋势分析法,Mann-Kendall检验,t-检验和GIS技术等方法对关中夏季不同等级雨日和雨量变化特征进行分析。[结果](1)关中多年平均夏季雨日空间分布均为西多东少,西北部塬区和山区丘陵多于平原,各等级雨日和对应雨量空间分布特征及变化趋势相似。(2)近44年关中夏季总雨日、小雨日(量)和大雨日(量)均呈减少趋势,夏季降雨总量、中雨日(量)和暴雨日(量)均呈增加趋势,但线性变化趋势均不显著。其中小雨日(量)和大雨日(量)分别在1989年和1985年发生突变性减少,中雨日(量)在1978年发生突变增加。(3)单站分析表明关中夏季总雨日除咸阳大部外多数呈负趋势,夏季降雨量除渭南大部外普遍为正趋势。其中大部分站点小雨日(量)和大雨日(量)为负趋势,减少显著的站点分布在宝鸡地区;中雨日(量)和暴雨日(量)普遍为正趋势。[结论]夏季总雨量的增加主要贡献者是中雨量增加,总雨日减少主要是小雨日减少引起。从长期趋势变化看,关中夏季降水强度有增加趋势。