A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS

This paper gives a tree-based method for pricing American options in models where the stock price follows a general exponential Lévy process. A multinomial model for approximating the stock price process, which can be viewed as generalizing the binomial model of Cox, Ross, and Rubinstein (1979) for geometric Brownian motion, is developed. Under mild conditions, it is proved that the stock price process and the prices of American-type options on the stock, calculated from the multinomial model, converge to the corresponding prices under the continuous time Lévy process model. Explicit illustrations are given for the variance gamma model and the normal inverse Gaussian process when the option is an American put, but the procedure is applicable to a much wider class of derivatives including some path-dependent options. Our approach overcomes some practical difficulties that have previously been encountered when the Lévy process has infinite activity.     

THE JOINT ARRIVAL AND DEPARTURE PROCESS FOR THE M/M/l QUEUE

We consider the M/M/1-queue and derive an explicit expression for the joint distribution of the number of arrivals and the number of departures in [0, t), given the number of customers initially present. The derivation is almost purely combinatorial, it avoids the use of generating functions, and immediately yields a simple probabilistic interpretation of the result.     

Book production and the onset of modern economic growth

We provide a new data set on per capita book production as a proxy for advanced literacy skills, and assess this relative to other measures. While literacy proxies very basic skills, book production per capita is an indicator for more advanced capabilities. Growth theory suggests that human capital formation plays a significant role in creating the ‘wealth of nations.’ This study tests whether human capital formation has an impact on early-modern growth disparities. In contrast to some previous studies which denied the role of human capital as a crucial determinant of long-term growth, we confirm its importance.      

农民工社会认同的形成——基于建筑业农民工的考察

农民工的社会认同关系到这个群体城市融入的问题。依据对建筑业农民工群体实地考察和问卷调查,探讨社会结构和制度安排如何建构了农民工群体的归属感问题。对社会认同的研究不仅要关注宏观制度结构因素对群体的身份地位的作用和影响,还应从微观的角度,分析制度设置是如何建构成员对群体的依附、归属并建构出群体边界的问题。只有改善农民工的劳动条件,提高他们的保障水平,这个群体才有可能融入城市。     

基于模糊层次的商标价值评估方法研究

基于商标价值的时效性、不确定性和模糊性等特征,本文分析了影响商标价值的主要因素,在此基础上构建商标价值评估指标体系,应用层次分析法计算各指标的权重,再尝试将模糊综合评价法应用于商标价值评估,以期为企业商标价值评估提供一种新思路。     

我国收入差距扩大的影响因素及其实证分析——以行业收入变动为视角

笔者以传统行业收入决定理论为基础,运用2003年～2008年我国19个行业的面板数据构建模型,系统地分析了2002年至今各行业收入变动的影响因素及其影响效果.结果表明,生产效率仍然是决定收入变动的重要因素;垄断因素在行业收入差距扩大中扮演最重要的角色;人力资本水平对收入变动的作用有待于进一步提升.笔者还阐述了加入"世贸"组织后垄断行业暴利、高教扩招等社会现实问题对行业收入变动的影响.     

基于模糊层次分析法和聚类分析的突发事件分级研究

针对传统的突发事件分级缺乏对灾害事件救援和治理过程中的动态分析,难以准确的量化分级,难以为实际的工作提供科学的指导等问题。本文以某地区旱灾为例,采用模糊层次分析法结合聚类分析对突发事件进行分级,它能够有效整合专家共识,满足突发事件分级的要求和体现突发事件分级中的动态性。     

化工行业循环经济评价指标体系建立及应用研究

化工产业是循环经济建设的重点,循环经济评价指标体系建设是一项重要的工作。在已有的研究成果基础上,建立可以量化评价的化工行业循环经济评价指标体系,运用层次分析法,给出该指标体系的权重,通过案例分析,验证了其合理性。     

北戴河滨海旅游发展历程研究

北戴河作为中国近代旅游业的摇篮,已有百余年的发展历史,是中国滨海旅游发展的典型代表。本文在分析北戴河旅游开发历史的基础上,将北戴河旅游发展历程分为初始开发、发展繁荣和转型提升三个阶段,通过对各阶段发展特征的分析发现,北戴河滨海旅游发展在需求构成、旅游设施及产品形态、空间布局等方面表现出显著的时代特征。     

基于AHP的工程投标风险模糊判定模型研究

工程投标决策对提高施工企业风险管理水平,增强企业在建筑行业的竞争能力和企业的经济效益有着重要的作用,因此必须在工程投标时要认真研究分析工程投标风险。本文在企业拟投标的工程项目中分析各种风险因素的基础上,收集信息,建立投标决策的模糊判定矩阵,并运用AHP对模型进行求解,最后判定企业是否进行投标。