股票价格服从纯生跳-扩散过程的期权定价模型

本文假定股票价格的跳过程为比Possion过程更一般的跳过程-纯生跳过程，建立了股票价格的纯生跳-扩散行为模型。在风险中性假设下推导出欧式期权定价公式。     

带Poisson跳的Black-Scholes模型的期权定价

主要讨论欧式期权的定价公式。首先给出一个B-S期权定价公式的简化方法,使具有一般微积分知识的读者就能理解;并假定股票价格过程遵循带Poisson跳的扩散过程,在股票预期收益率、波动率和无风险利率均为时间函数的情况下,得到欧式期权定价公式和买权与卖权之间的平价关系。     

服从多种形式跳过程的期权定价模型

股票价格过程包含跳跃和扩散两种随机运动，其中跳跃是重大信息到达对股票价格的冲击。本文将引起股票价格跳跃的重大信息按照相对重要程度分为l类，建立了多种形式跳的股票价格过程，运用无风险证券、股票和期权复制其他期权的方法，推导出期权价值方程和欧式期权定价公式，给出了引起股票价格跳跃的不可观测参数的确定方法。     

风险项目评估模型:B-S期权定价模型

目前,我国新兴的风险项目评估模型主要为运用有选择权的评价方法,其中以B-S期权定价模型为代表。 1973年,由Black和Scholes发表了股票的期权定价模型,该模型假设期权中标的资产价格服从对数正态分布,同时假设:(1)期权为欧式期权,即期权只有在合约到期日才执行;(2)不存在交易成本和税     

基于MATLAB的欧式期权定价的敏感性分析

本文以Black-Scholes-Merton期权定价公式为研究对象,利用MATLAB的求导功能求得了Black-Scholes-Merton期权定价敏感性指标的计算公式。在Notebook环境下调用金融衍生产品工具箱中相关命令编写了一个"Black-Scholes-Merton模型欧式期权敏感性指标通用计算模板",在Word中实现了欧式期权敏感性指标的快捷计算。绘制了敏感性四维网面图生动地展现了欧式期权敏感性指标随时间、股票价格、期权价格的动态过程。     

基于Lévy过程带模糊参数的欧式期权定价

在实际经济行为中，标的资产的价格会受到突发事件（如自然灾害、疾病等）的影响而产生跳跃，为了描述这个跳跃，文章以标的资产价格服从几何Lévy过程为基本模型研究欧式期权的定价问题。给出了欧式期权在0时刻和t (0 t T<≤时刻的定价公式。由于实际中我们不能精确地确定模型参数，需要将模型参数做模糊化处理，进而)可以得到参数是模糊数情形下的欧式期权定价公式。     

分数跳-扩散过程下两种新型期权定价

假设股票价格服从跳-扩散过程,建立了分数-跳扩散环境下的金融市场模型,利用保险精算方法和分数跳-扩散过程理论,获到了两种新型期权—C-Brick和A-Brick定价公式。     

不完全信息下的期权定价

本文讨论了不完全信息下的期权定价问题,采用风险中性估值原理对期权进行定价,将不完全信息引入到模型中去,构造投资者不完全信息集,利用马尔科夫性质、条件期望性质、Fubini定理等结论,给出了在不完全信息集下的欧式期权定价公式。     

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。     

基于股票收益的期权定价与实证分析

采用两种方法对传统的期权定价参数方法进行修正。一种是利用股票对数收益率的偏度与峰度对传统的期权定价方法计算出的期权价格进行修正,另一种是通过建立GARCH模型来预测股票收益的波动率,对传统定价方法中波动率为常数的假设进行修正。选取国电CWB1(580022)权证进行实证分析,结果表明修正得出的期权价格与实际的权证价格有很大的偏差,并对这样实证结果进行解释。     

基于分数布朗运动和跳过程的股本权证定价模型

考虑到金融市场中资产价格具有的记忆性和长期相关性,模型假设股本权证标的资产价格服从分数布朗运动过程;并考虑到市场存在不确定因素而引起的价格巨大的波动,在模型中又引入了一个跳过程。首先得出权证定价的一般公式,最后在考虑股本权证行权后产生的稀释效应,得出稀释调整后的股本权证定价公式,并将其延伸到支付红利情况下。     

Pricing American barrier options with discrete dividends by binomial trees

We are concerned with the problem of pricing plain-vanilla and barrier options with cash dividends in a piecewise lognormal model. In the plain-vanilla case, we offer a method with provides thin upper and lower bounds of the exact binomial price. In the barrier case, we provide an efficient algorithm based on suitable interpolation techniques. As by-product, we provide a new method for pricing American barrier options with continuous dividends.     

对上证指数波动性的实证分析

股票价格频繁波动是股票市场中最明显的特征之一。ARCH类模型可以成功的预测金融资产收益的方差。通过对我国股价指数的统计描述,表明我国金融资产收益率存在自回归条件异方差,并表现出非正态性。并且应用GARCH、TARCH、EGARCH模型理论,进一步分析了日收益率波动的条件异方差性、非对称性。     

A Bayesian approach to excess volatility,short-term underreaction and long-term overreaction during financial crises

In this paper, we introduce a new Bayesian approach to explain some market anomalies during financial crises and subsequent recovery. We assume that the earnings shock of an asset follows a random walk model with and without drift to incorporate the impact of financial crises. We further assume the earning shock follows an exponential family distribution to accommodate symmetric as well as asymmetric information. By using this model setting, we develop some properties on the expected earnings shock and its volatility, and establish properties of investor behavior on the stock price and its volatility during financial crises and the subsequent recovery. Thereafter, we develop properties to explain excess volatility, short-term underreaction, long-term overreaction, and their magnitude effects during financial crises and the subsequent recovery. We also explain why behavioral finance theory could be used to explain many of the asset pricing anomalies, but traditional asset pricing models cannot achieve this aim.     

TS模糊模型在个股股价预测中的应用研究

个股价格短期内的变化量一般可通过股票技术指标间接反映出来,且这些指标间有着一定的相关性;另外,股票价格模型具有Takagi-Sugeno(TS)模糊模型所研究问题的非线性、时变性特点,基于此,本研究将TS模糊模型与分析出的股票常用技术指标相结合进行股价预测。结果显示预测出的价格与股票实际价格近似一致,精度高,因此研究具有一定的实用价值。     

Asset pricing with loss aversion

The use of standard preferences for asset pricing has not been very successful in matching asset price characteristics, such as the risk-free interest rate, equity premium and the Sharpe ratio, to time series data. Behavioral finance has recently proposed more realistic preferences such as those with loss aversion. Research is starting to explore the implications of behaviorally founded preferences for asset price characteristics. Encouraged by some studies of Benartzi and Thaler [1995. Myopic loss aversion and the equity premium puzzle. The Quarterly Journal of Economics 110 (1), 73–92] and Barberis et al. [2001. Prospect theory and asset prices. Quarterly Journal of Economics CXVI (1), 1–53] we study asset pricing with loss aversion in a production economy. Here, we employ a stochastic growth model and use a stochastic version of a dynamic programming method with an adaptive grid scheme to compute the above mentioned asset price characteristics of a model with loss aversion in preferences. As our results show using loss aversion we get considerably better results than one usually obtains from pure consumption-based asset pricing models including the habit formation variant.     

计算机在股票定价方法方面的应用——以中国石化(600028)为例

股票买卖的定价问题,是关系到股票投资者投资效益的最直接、最关键、最根本性的问题。本文的目的就是提供一种能指导股票投资者如何在最好的时机买卖股票的好方法。本文的研究课题是运用计算机的快速计算功能为股票二级市场上的任何股票作出合理买卖定价的方法问题,从中国石化股票2012、2013年的大量历史资料入手,采用数据挖掘技术运用计算机中的电子表格进行大量股票价格数据的运算,找出股票价格的变化规律性,制定出股票买卖定价模型,并通过后期实际验证,得出这种定价方法的合理性和可行性的结论。     

股权分置改革前后会计信息有用性比较分析

本文运用Ohlson（1995）剩余收益股票定价模型及其扩展模型,对中国股票市场股权分置改革前后会计信息有用性进行检验后发现,股权分置前衡量基础资产的会计信息与股价有较强的相关性,而股权分置改革后衡量企业盈利性会计信息与股价有较强的相关性;衡量企业成长性会计信息在股权分置改革前后均与股价没有相关性;总体上会计信息在股权分置改革后与股价的相关性较股权分置改革前有较大提高。     

Learning from experience in the stock market

New evidence suggests that individuals “learn from experience,” meaning they learn from events occurring during their lives as opposed to the entire history of events. Moreover, they weigh more heavily recent events compared to events occurring in the distant past. This paper analyzes the implications of such learning for stock pricing in a model with finitely lived agents. Individuals learn about the rate of change of the stock price and of dividends using a weighted decreasing-gain algorithm. As a result of waves of optimism and pessimism, the stock price exhibits stochastic fluctuations around the rational expectations equilibrium. Conditional on the historical path of dividends, the model produces a price–dividend ratio which is in line with the evidence for the last century, except for the “dot-com” bubble in the 1990s.     

Option pricing with stochastic volatility models

A general class of models for derivative pricing with stochastic volatility is analyzed. We include the possibility of jumps for the paths of the asset's price and for those of its volatility. We also consider the case of correlation between the process of the asset's price and that of its volatility. In this way we are able to give a unifying view on most of the models studied in the literature. We will examine theoretical issues related to the market price of volatility risk, the equivalent martingale measures and the possibility of obtaining a numerically tractable formula for contingent claim pricing. Finally, we propose some methodologies to test the behavior of stochastic volatility models when applied to market data.