CEV模型下有交易成本和随机波动率的亚式期权定价问题的文献综述

随着金融衍生品的发展,对其进行定价成为理论和实务操作中的重点。亚式期权作为一种强依赖路径的衍生品,在金融市场中有套期保值作用,在管理中有经理股票期权激励作用。因此,设计出更加切合市场实际的定价模型非常重要。本文选取了相比较B-S模型更加实际的CEV模型作为标底资产的路径过程,加入随机波波动率服从有限Markov链的情况下有交易成本的亚式期权定价公式。在已有的相关文献参考下,可以得出其偏微分方程。并且通过二叉树算法,实现定价计算。     

CEV模型下两值期权的数值解

假设标的股价服从不变方差弹性（CEV）模型下，推导出两值期权的定价公式。利用有限差分格式，给出具体的数值算法，并将其应用于实例中，通过对此算例做的一系列数值实验，验证了算法的有效性。     

工商银行A股股票虚拟BS期权定价与最优Delta对冲的构造

文章立足于金融期权衍生品构造和对冲的基本方法对现实中工商银行的A股股票进行6个月欧式期权的构造以及对构造的期权进行包含无交易成本、绝对交易成本以及相对交易成本下的最优对冲成本探寻,并在运用广义维纳过程对未来6个月内股价进行合理预测的基础上根据期权的Delta值测算出有交易成本下的平均最优对冲间隔为19.25天。文章通过研究,为今后我国股票期权的构造以及成本的合理对冲提供思路。     

土地定价的实物期权方法:以中国土地交易市场为例

本文试图采用期权定价方法来研究中国房地产市场的土地定价问题。土地被理解成一种以房屋价格为标的资产的美式期权,土地出让过程中的定价不仅要考虑其种植收入的折现之和,更要考虑土地所拥有的其他用途的期权价值,土地价格被分解成种地的收益与开发溢价(实物期权值)之和。将期权定价模型应用于中国的房地产市场,在定性和定量两个层面都取得了比较好的效果,模型能够较好解释市场化改革以来中国土地价格波动率以及增长率高于房价这一经验事实,并对当前中国不断完善的土地出让定价,农地征用补偿等工作具有重要参考价值。     

论农产品定价方式中的交易条件和交易成本

论农产品定价方式中的交易条件和交易成本李含琳林柯（兰州大学经济系，兰州，７３００００）问题的提出从经济学研究的结果和实际情况来看，农产品价格的定价方式不外乎有以下三种：第一，按成本价格＋平均利润＋地租＋补贴的市场定价方式。这种定价方式的理论依据是完全...     

探究金融数学技巧在期权定价中的应用

随着国内期权市场不断完善,金融数学对于期权市场的发展发挥着重要的作用。金融数学在金融市场中的应用,为金融投资风险分析与控制发挥着不可替代的作用,同时为国际金融领域分析金融风险提供了技术支持。而金融数学技巧在期权定价中的应用,有助于加强对期权收益与风险进行分析评估,为金融学的发展发挥着积极的促进作用。本文主要对金融数学与期权定价理论的概括、金融数学技巧在期权定价中的应用作出了全方位分析,并对国内期权市场发展的优势和劣势作出了论述。     

上市公司可转换债券价值确定的实证研究

由于转换和赎回债券具有期权的性质,因此,本文将可转换债券的定价纳入Black-Scholes期权定价的框架下,根据可转换债券的有关条款, 并利用微分方程的数值技术来计算可转换债券的价值,从而对选择可转换债券提供建议.     

股票价格具有时滞的双币种期权定价研究

本文借鉴Arriojas、Hu和Mohammed等提出的股票价格满足的随机时滞微分模型,假设汇率过程和股票价格过程的漂移项和扩散项均具有时滞,并得到了在风险中性概率测度下他们满足的随机泛函微分方程。利用Girsanov定理、鞅表示定理等随机分析理论和无套利原理、风险中性定价原理等期权定价理论对国外证券国外支付价格的双币种期权进行了定价研究。     

基于Black—Scholes期权定价模型下若干假设的修正与研究——以交易成本假设和支付红利假设为例

期权定价问题是金融工程学的核心问题之一1973年,美国著名的金融数学家Black和Scholes发表了关于期权定价的开创性论文．文中以有效市场和股票价格满足几何布朗运动等为假设条件,利用无套利原理和Ito公式推出了著名的Black--Scholes模型．该模型是期权定价发展史上的里程碑,它为期权乃至其他为定价权益的定价打下了坚实的基础,使得原本空洞的期权定价在理论上有了依据．     

我国可转债二叉树法定价研究

本文通过分析我国可转债复杂条款和所嵌期权特性,确定采用数值方法求解。在进一步讨论我国可转债条款中包含的特别向下修正权对定价问题复杂化的基础上,构造嵌套二叉树图法解决路径依赖问题对可转债定价。以招行转债为例实证分析,总结定价结果与市场价格差异的主要原因。     

Transaction Costs and the Present Value “Puzzle” of Farmland Prices

The present study introduces a theoretical land pricing model that allows for proportional transaction costs, and a corresponding kernel regression test. The model is tested with farmland returns data for 20 individual states, and also with two aggregate U.S. level series. The constant discount rate (CDR) present value model (PVM) of farmland prices is strongly rejected. However, it is found that the behavior of land prices and rents is consistent with the CDR-PVM in the presence of empirically observed values of transaction costs. Findings are very robust in that they apply to both individual state-level data and the U.S. aggregate-level series.     

碳交易背景下考虑公平关切的双渠道闭环供应链定价决策

考虑到碳交易政策和公平偏好会影响双渠道闭环供应链定价决策，分别构建碳交易背景下公平中性、零售商公平关切信息对称与不对称时双渠道闭环供应链进行最优决策的Stackelberg动态博弈模型。通过求解各个均衡解，研究各个均衡解与制造商和零售商公平关切的关系。通过数值算例分析，着重考虑零售商公平关切信息对称与不对称时制造商和零售商公平关切对双闭环供应链最优定价决策的影响，并进行对比分析。研究结果表明：无论零售商公平关切信息对称还是不对称，新产品的销售价格与制造商和零售商公平关切都成正比，再制品的销售价格不受公平关切的影响；新产品的市场需求与制造商和零售商公平关切都成反比，再制品的市场需求与制造商和零售商的公平关切都成正比；公平关切会降低企业利润，公平关切信息不对称会加剧这一现象。     

农产品电子商务平台定价策略研究——基于双边市场理论

电子商务平台的参与是我国农产品流通模式创新的必要要求，它联结了农产品供需双方，能够减少市场信息不对称，降低交易成本和提高流通效率。基于双边市场理论视角，构造垄断和竞争型的农产品电子商务平台，分析在两部制收费情况下，农产品电子商务平台的定价机制及其影响因素。结论显示，平台对某边用户的定价水平受到直接网络外部性、交叉网络外部性、交易费用、平台匹配技术及平台差异化水平的综合影响。根据分析结果，提出两点平台规制方面的建议。     

Renting Goodwill in International Marketing Channels: An Analysis of Pricing Strategies and Bargaining Power

This paper investigates the pricing decisions of foreign manufacturers in international markets within a bargaining framework with asymmetric information and the rental of goodwill. The key findings are: first, the foreign manufacturer follows a mark-up pricing strategy in which its gross margin and the quality premium over the domestic product are shared with the importer. Second, a manufacturer–importer contract occurs only when the manufacturer’s bargaining power is within an admissible range which shrinks as transaction costs increase. Third, the domestic consumer will only purchase the foreign product if the importer’s goodwill in the domestic market is sufficiently large to signal quality. The paper contributes to the literature on exchange relationships between foreign manufacturers and importers.     

二手车市场制度成本分析

文章认为,我国二手车市场制度不是来源于市场对提高交易效率、降低交易成本的制度需求,而是一种自上而下的制度安排。文章通过分析这种制度安排对交易成本的影响,指出了二手车市场制度变革的方向。     

'Successes' and 'Failures' in the Markets for Technology

Market-mediated contracts for technology trade are bound byseveral transaction costs. This paper argues that as these transactioncosts become less severe, markets for technology can help improvethree market failures: (i) R&D duplications; (ii) externalitiesin potentially public R&D outcomes; and (iii) deviationsfrom marginal cost pricing in the downstream product markets.In addition, with larger markets of potential users, the technologysuppliers will have incentives to produce more ‘general’technologies which span a wider number of firms or industries.Markets for technology also produce new failures. In particular,they induce deviation from marginal cost pricing in the saleof the technology, and they generate externalities associatedwith complementary R&D and other investments made by theindependent buyers and suppliers that operate in them. The paperconcludes by discussing policy implications.     

Regional Mc parity: do common pricing points reduce deviations from the law of one price?

This paper analyses price differences of McDonald’s products in four different countries. I show that pricing at pricing points in different currencies may contribute to explaining deviations from the law of one price. Observing strictly equal prices is more probable if prices are set at psychological and fractional pricing points in a common currency. The latter is also found to reduce the size of price deviations. Additionally, price differences increase as transaction costs increase. Based on this data set there is no evidence that the euro has reduced price deviations.     

Two-Part Pricing with Costly Arbitrage

This paper considers the optimal two-part pricing strategy of a monopolist whose customers collude when they purchase the firm's product. In contrast to the sentiment in the existing price discrimination literature, I find that a monopolist's profit can actually increase when consumers share its good. When transaction costs for collusion are zero the firm can extract the full consumer surplus through two-part prices. When transaction costs are positive or there are a substantial number of consumers without access to resale, the firm may be hurt by arbitrage.     

An empirical analysis of market performance in the car industry

This article focuses on the determinants of market performance in the car industry. Trade and market patterns are studied using firm-level international data. Econometric models are developed and evaluated for a sample of firms from the major producing countries for the period 1970–1985. Among the factors responsible for the market shares of the different firms are international differences in unit labor costs, income levels, the European Community (EC) and locally based production scales, and transaction costs in the form of trade barriers.