基于实物期权法对R&D项目价值评估的研究——对布莱克-舒尔斯定价模型的改进

针对R&D项目投资的特点,探讨了采用布莱克一舒尔斯期权定价模型对R&D项目价值评估可能存在的缺陷,并提出一种改进方法,即将决策树和布莱克一舒尔斯定价模型结合运用,因为决策树能够模拟研发项目的阶段性决策过程,考虑到多个离散型不确定性因素的相关性,模拟并计算出对决策路径依赖的现金流,因此能克服纯粹使用布莱克一舒尔斯公式的不足,在考虑多个不确定性因素的影响下,实现对多阶段R&D项目价值的评估,作出正确的投资决策。     

基于无套利对冲原理的信用风险期权定价

文章拓展了Klein假设中关于固定违约门槛的假设,构造可变违约门槛,根据无套利对冲原理,通过偏微分方程这种数学工具,推导出含信用风险的欧式脆弱期权价格波动的偏微分方程组和期权定价模型,进而求其显示解,得到类似于Black-Scholes公式的定价公式,该公式的推导过程比使用鞅理论推导更加浅显易懂。     

An examination of estimation and specification error biases in estimates of option prices generated by Black-Scholes and Cox-Ross models

In this paper the author identifies and examines the estimation and specification error biases of the Black-Scholes and Cox-Ross models by using both analytical and monte-carlo simulation techniques. Several hypotheses are tested. The central hypothesis is whether or not the estimation error bias in the correctly specified model is large enough to make researchers mistakenly pick the “wrong” model as being the “correct” one. The findings in this study support this hypothesis. It is shown that there is a bias toward accepting the Cox-Ross model as correct, even if the Black-Scholes is assumed to be the true model for pricing options.     

An effective hybrid variance reduction method for pricing the Asian options and its variants

In this paper, we propose a variance reduction method that combines importance sampling and control variates to price European Arithmetic Asian options and its variants (i.e., Asian options plus knock-in or knock-out options) under the Black-Scholes model. The numerical results show that the proposed methods are especially efficient under the following scenarios: in the money, low volatility, more sampling dates, and higher barrier thresholds.     

实物期权在投资决策中的运用

本文通过引入实物期权的思想为投资决策评价,运用布莱克—舒尔斯和二叉树期权定价模型,给战略投资隐含的实物期权定价,使用蒙特卡罗方法来消除关键因素的不确定带来的影响。     

The raise method. An alternative procedure to estimate the parameters in presence of collinearity

Recently, Feng-Jeng (Qual Quant 42:417–426, 2008) has proposed the nested estimation procedure as another alternative from the practical point of view of the problem of multicollinearity. Although the nested estimation procedure can promise to avoid multicollinearity, it can also avoid important information by eliminating variables. We are presenting another alternative called the raise method, which keeps all the information which could be highly recommended in some cases. We apply our proposal to a known example and compare the results with the nested estimation procedure, the ridge regression and the principal components.     

基于KMV方法的农业类上市公司信用风险度量研究

文章以35家农业类上市公司为样本,根据Black-Scholes期权定价理论构建KMV模型,利用2008年财务数据,通过运行Eviews,计算31家公司2009年的违约概率,以期为商业银行选择贷款对象提供理论依据。     

基于布莱克-斯科尔斯模型的扩张期权案例分析

本文首先介绍实物期权理论兴起的背景,在此基础上对实物期权进行分类。主要阐述了布莱克-斯科尔斯期权定价模型(简称B-S模型)。通过实例对比说明使用B-S模型对投资的扩张期权进行估价比传统的折现现金流量法更合理。     

基于KMV方法的农业类上市公司信用风险度量研究

文章以35家农业类上市公司为样本,根据Black-Scholes期权定价理论构建KMV模型,利用2008年财务数据,通过运行Eviews,计算31家公司2009年的违约概率,以期为商业银行选择贷款对象提供理论依据。     

Options and earnings announcements: an empirical study for the European Options Exchange

In this paper we give an introduction in option pricing theory and explicitly specify the Black-Scholes model. Although market participants use this and similar models to price options, they violate one of the fundamental assumptions of the model. They do not set a constant value for the volatility of the underlying asset over time, but change the volatility even during a day. By means of event study methodology we investigate the volatility of the underlying asset and the volatility implicit in option prices around earnings announcements by firms. We find that the volatility in option prices increases before the announcement date and drops sharply afterwards. The volatility of the underlying stocks is higher only at the announcement dates and we do not observe a higher volatility around these dates. Hence, the constant volatility of the underlying asset, which is one of the assumptions in the Black-Scholes model, does not hold. However, the market seems to correctly anticipate the change in volatility, by correcting option prices.     

A social choice function implementable via backward induction with values in the ultimate uncovered set

We prove the existence of a social choice function implementable via backward induction which always selects within the ultimate uncovered set. Whereas the uncovered set is the set of maximal elements of the covering relation, the ultimate uncovered set is the set obtained by iterative application of this covering operation. Dutta and Sen (1993) showed that any social choice function which is the solution of a generalized binary voting procedure is implementable via backward induction. Our result follows from Dutta and Sen's theorem, in that we construct a binary voting procedure always selecting within the ultimate uncovered set. We use the classical multistage elimination procedure, which always selects an alternative within the uncovered set. When this procedure is also used to select among all of the possible agendas or orderings of alternatives within the procedure, the alternative selected (from the agenda selected) will be within the uncovered set of the uncovered set. Our result follows from repeated application of this construction. Intuitively, the procedure constructed consists of requiring agents to vote on how they should vote and so on. Received: 7 April 1997 / Accepted: 15 October 1998     

民营科技企业价值评估中的实物期权方法

企业价值是企业在市场中交易的定价基础,现行企业价值评估方法大多仅考虑企业资产现值和未来收益现值,而忽视未来投资时机的最优选择问题。实物期权方法是对传统的企业价值评估方法的有益补充和完善。本文通过对典型的期权模型的分析,说明如何运用该模型对民营科技企业价值进行评估。从而为民营科技企业价值评估提供一种新的思路和方法。     

保本年金内置期权定价及实证研究

研究了一种企业年金产品——保本年金。先从理论上分析了保本年金的特性是一种内置期权,并运用Black-Scholes公式推导出这种内置期权的价格公式;分析了远期利率和人口生存率如何影响期权价格:期权价格随着远期利率的降低而增大,反之亦然;人口生存率越高,年金期权价格越高。     

基于双指数跳扩散过程的亚式期权的解析定价

研究了双指数跳-扩散模型下亚式期权的定价,得到了这些期权定价得解析公式。在风险中性下,亚式期权的值在恰当的边际条件和终值条件下满足广义Black-Scholes方程;我们提出一种在跳扩散模型下亚式期权定价的新方法。该方法在于为亚式期权所满足的偏积分——微分方程指定恰当的边际条件和终值条件;然后,利用拉普拉斯变换求解该方程,得到了亚式期权的解析定价公式。     

R&D项目投资评估的实物期权方法初探

本文分析了传统的NPV法在R&D项目投资评估中的缺陷,指出R&D项目投资本质上所具有的期权特性。在此基础上引入了实物期权方法,包括Black-Scholes期权定价方法和Geske期权定价模型。     

陷入财务困境企业的价值评估

陷入财务困境的企业价值的评估具有一定的特殊性,本文针对企业不同的经营状况,分别介绍了暂时处于财务困境的公司和陷于财务困境无力自拔的公司所分别适用的不同的价值评估的方法。     

Identifying Structural Breaks in Cointegrated Vector Autoregressive Models*

This article suggests an alternative formulation of the cointegrated vector autoregressive (VAR) model such that the coefficients for the deterministic terms have straightforward interpretations. These coefficients can be interpreted as growth rates and cointegration mean level coefficients and express long‐run properties of the model. For example, the growth rate coefficients tell us how much to expect (unconditionally) the variables in the system to grow from one period to the next, representing the underlying (steady state) growth in the variables. The estimation of the proposed formulation is made operationally in GRaM, which is a program for Ox Professional. GRaM can be used for analysing structural breaks when the deterministic terms include shift dummies and broken trends. By applying a formulation with interpretable deterministic components, different types of structural breaks can be identified. Shifts in both intercepts and growth rates, or combinations of these, can be tested for. The ability to distinguish between different types of structural breaks makes the procedure superior compared with alternative procedures. Furthermore, the procedure utilizes the information more efficiently than alternative procedures. Finally, interpretable coefficients of different types of structural breaks can be identified.     

Pricing currency options with scheduled and unscheduled announcement effects on volatility

It is well documented that exchange rate volatility is time-varying and that it can be affected by scheduled events such as money supply announcements and unscheduled ones such as spot market interventions and interest rate changes. This study provides a European event model (E model) for currency call options that explicitly addresses the volatility effects of these two classes of events. Managers who are concerned with hedging in an environment of changing volatility may find the E model useful. The E and modified Black-Scholes (MBS) models have similar average errors in predicting option price changes across event windows and do better than a naive no-change prediction. The E model tends to reduce the underpricing of convex, short-term out-of-the-money options and the mispricing of most classes of convex options.     

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。     

浅析期权定价理论及其组合投资策略

本文从期权的发展历史开始追溯,简述了期权在发展过程中的变化趋势,对期权定价理论Black-Scholes模型的意义及缺陷做了深入分析,最后介绍了标的资产与期权组合,总结了它们的特点和盈亏图,为金融衍生产品的期权投资组合策略发展提供一些借鉴。