不确定市场下的期权定价理论综述

由于B-S定价公式是在完全市场条件假设下推导出来的,这与现实存在很大的出入,所以后来的学者就针对市场条件状况,研究了不同市场条件下的期权定价,其中以不确定性市场条件下的期权定价为主,这显然与事实更加吻合。不确定性市场下的期权定价研究主要有欧式期权定价的情形、美式期权定价的情形、二叉树期权定价的情形以及实物期权定价的情形。文章在此基础上,分析总结了在这个市场假设条件下的研究现状,并给出了未来值得深入研究的方向:主要是进一步放松B-S定价模型的假设条件,引入更多的现实因素,深入研究不同市场状况下的期权定价问题。     

实物期权理论中的数学基础

资产价值运动路径的模型的随机过程处理及关于随机过程函数的工具就是Ito引理和评价投资价值的基础方法即实物期权评价方法。设F(S t,t)为资产的价格,它是S t的函数。这两种效应之和就是随机微分dF(S t,t)令S t是连续型随机过程。     

期权理论在投资决策中的应用

本文通过期权理论在企业投资决策领域中应用的论述：指出期权理论可以弥补净现值法在决策中的不足。     

A comparative goodness-of-fit analysis of distributions of some Lévy processes and Heston model to stock index returns

In this paper, we investigate the goodness-of-fit of three Lévy processes, namely Variance-Gamma (VG), Normal-Inverse Gaussian (NIG) and Generalized Hyperbolic (GH) distributions, and probability distribution of the Heston model to index returns of twenty developed and emerging stock markets. Furthermore, we extend our analysis by applying a Markov regime switching model to identify normal and turbulent periods. Our findings indicate that the probability distribution of the Heston model performs well for emerging markets under full sample estimation and retains goodness of fit for high volatility periods, as it explicitly accounts for the volatility process. On the other hand, the distributions of the Lévy processes, especially the VG and NIG distributions, generally improves upon the fit of the Heston model, particularly for developed markets and low volatility periods. Furthermore, some distributions yield to significantly large test statistics for some countries, even though they fit well to other markets, which suggest that properties of the stock markets are crucial in identifying the best distribution representing empirical returns.     

用B-S期权定价模型评估存款保险的价格

存款保险定价是存款保险制度建设中的核心内容,保险定价效率直接影响制度的功效。碍于现金流贴现估价模型的局限性,本文从期权的角度阐述了存款保险的期权特性,指出存款保险合同实质上就是一份看跌期权,从理论和实证两方面论述了如何运用B-S期权定价模型确定存款保险价格的问题,对实践中存款保险的合理定价和制度建设具有重要的指导意义。     

The expected real yield and inflation components of the nominal yield curve

The term structure of real yields and expected inflation are two unobserved components of the nominal yield curve. The primary objectives of this study are to decompose nominal yields into their expected real yield and inflation components and to examine their behaviour using state-space and regime-switching frameworks. The dynamic yield-curve models capture three well-known latent factors – level, slope, and curvature – that accurately aggregate the information for the nominal yields and the expected real and inflation components for all maturities. The nominal yield curve is found to increase slightly with a slope of about 120 basis points, while the real yield curve slopes upward by about 20 basis points, and the expected inflation curve is virtually flat at slightly above 2 per cent. The regime-switching estimations reveal that the nominal yield, real yield and expected inflation curves have shifted down significantly since 1999.     

期权定价模型及在技术商品定价中的应用

本文在介绍期权定价理论和分析技术商品期权特性的基础上,提出了技术商品的期权定价法,从而为技术商品的定价提供了一条新的途径。     

用期权定价模型评估企业并购的价值

针对传统企业并购价值评估模型的局限性,本文从期权的角度阐述了企业并购的期权特性,指出企业并购实质上相当于取得了一个看涨期权;并以连续支付红利的美式期权定价理论为基础,建立了企业并购价值评估的期权定价模型。最后,通过实例论述了如何应用该模型来评估企业并购价值,对实践中企业并购价值的合理确定具有重要的指导意义。     

银行间市场中期票据信用利差的影响因素研究

基于Longstaff和Schwartz的公司债定价模型,从信用风险度量的角度对我国中期票据信用利差的影响因素进行实证分析,回归结果表明：股票市场波动率、无风险利率、利率期限结构的斜率等结构化模型变量对中期票据信用利差产生显著的影响,但基于低频数据的流动性衡量指标在模型中不显著。引入宏观、发行主体和债券构成要素等因子后的回归结果表明：产出指标、债券评级与信用利差负相关;债券新增供给量、久期及发行主体的权益乘数与中期票据的信用利差正相关。     

经理人股票期权的会计计价

股票期权会计计价是股票期权制度的核心。股票期权费用化已为学界所接受,争论的焦点集中在方法的选择上。当前,应尽快明确计价方法,因为股票期权会计计价不仅是用来反映和核算股票期权经济行为的工具,更是调节各方利益的手段。因此,笔者建议采用"股利贴现模型"和"库藏股法"来分析不同计价方法对股权稀释的影响。     

改进的ENPV法在项目投资评价中的应用

本文通过对传统的项目投资决策方法的分析,引入了期权理论和贝叶斯理论,提出了一种改进的ENPV法。     

Goodness-of-fit testing for varying-coefficient models

We construct an empirical process-based test to examine the adequacy of varying-coefficient models. A Monte Carlo approach is applied to approximate the null distribution of the test. Due to the use of the Monte Carlo test procedure, beyond the desired features that are shared by the existing empirical process-based tests, our test is self-invariant, which overcomes the difficulty of estimating the variance of the test. Simulations are provided to illustrate our methodology.     

实物期权方法在果木林权流转中的应用

文章以实物期权理论为基础,结合林权的期权特性,将实物期权的方法应用到林权流转中去,为果木林权的流转和果品的出售分别设计一个欧式看跌期权,以减少林权投资风险,增强经营的灵活性。同时,利用实物期权定价模型中的二叉树模型,对看跌期权的价值进行估值,以解决林权流转中价值评估的问题,为林权投资者的决策提供一定的价值参考。     

基于实物期权法的风险投资项目估价方法——一个文献综述

本文理清了实物期权及其在风险投资项目估价中应用的发展脉络,并提出了实物期权在风险投资项目估价应用中需要发展的地方。     

Unlocking the business outsourcing process model

Outsourcing has emerged as a prevalent business practice that is having a transformational impact on how many organizations manage their global supply chains. Despite this prominence, anecdotal reports from multiple reputable organizations suggest that many businesses fail to realize the benefits anticipated from their outsourcing initiatives. Motivated by these observations, this study investigates those management practices during the outsourcing process that are key drivers of outsourcing performance. Specifically, detailed data from 198 sourcing executives and managers responsible for outsourcing initiatives are used to investigate the influence that strategic evaluation, contractual completeness, and relationship management practices have on achieving projected outsourcing results. The results offer strong empirical evidence that outsourcing performance is significantly influenced by extensive strategic evaluation and proactive relationship management practices. Moreover, the impact strategic evaluation has on outsourcing performance is not direct, but rather is partially mediated by the relationship between the parties. Finally, the results show that contractual completeness does not distinguish between successful and unsuccessful outsourcing efforts, and can be considered qualifying activity.     

企业并购中人力资本价值评估模型研究

人力资本是实现企业价值创造的关键因素,企业并购会对人力资本价值产生重大影响。由于企业并购对人力资本价值的影响具有特殊性,因此在界定企业人力资本内涵的基础上,论文分析了现有定价模型的缺陷,通过阐析并购过程中人力资本价值变化与实物期权的相关特性,引入实物期权模型对并购过程中的人力资本价值变化进行评估分析。