共查询到20条相似文献,搜索用时 984 毫秒
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以基本期权为起点,介绍了两类期权组合策略——标的资产与期权组合和多期权组合,总结了它们的特点和盈亏图。对相似的期权组合策略进行比较分析,归纳出它们的异同点以及在实务中所适用的情况,对于利用衍生产品中的期权开发新的金融工具有一定参考价值。 相似文献
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制造企业实施延迟策略的目的是为了塑造柔性的竞争优势。以过程自由度和过程知识量为维度,分析了延迟策略实施过程中客户订单分离点(CODP)存在的可能性,针对延迟策略CODP定位的特点,利用实物期权的思想,划分了延迟策略实施过程中存在的期权种类,构建了基于延迟期权的CODP投资决策模型,研究结果为实施延迟策略的制造企业定制时机提供了理论指导。 相似文献
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基于实物期权的房地产投资策略研究 总被引:3,自引:0,他引:3
马波 《当代经理人(中旬刊)》2006,(15)
与传统方法相比,应用实物期权理论对房地产投资进行决策,更多体现了投资未来风险及机会的价值,从而更全面的反映了投资的实质。本文在分析房地产投资期权特性的基础上,并利用B-S期权定价理论,对延期投资策略进行了研究。 相似文献
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作为一种重要的金融交易工具,期权在促进期货市场和实体经济发展方面发挥了越来越重要的功能。在国际期权市场上,期权呈现了交易量越来越大、增长率稳步上升、交易品种日渐丰富、参与期权交易的发展中国家越来越多的现象。文章针对我国期权产品的空白,从政策背景、国内外市场需求、交易所前期筹备、市场推广、国际期权发展状况五个方面出发,对我国开展期权的可行性进行了深入研究。 相似文献
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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。 相似文献
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伴随金融供给侧改革的推动,期权市场快速发展壮大起来,期权投资再次成为业内最热话题之一,越来越多的机构投资者与个人投资者进入期权市场,利用期权进行风险对冲。在成交量大幅萎缩的背景下,50ETF期权波动率也在迅速降低。本文结合当前的市场环境,针对不同类型的期权投资者,对比分析了多种期权策略在上证50ETF期权交易中的应用,提出相应的风险管理对策及建议,为广大期权投资者提供参考与借鉴。 相似文献
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After years of being blocked, UK entry to the Exchange Rate Mechanism now looks very probable either later this year or early next. But if the issue of entry is largely settled, the form of entry remains open. We examine the different dimensions of this question, and consider five separate options for entry. We consider two strategies driven largely by political considerations, but reject them as too high risk. We also reject the 'deep-discount' option as being far too inflationary. Instead we argue for entry at a relatively high exchange rate in line with or slightly above the current market rate. With entry next spring, we would favour a narrow band. But if entry is in the autumn, entry in the lower half of a broad band is more appropriate, leaving greater room for manoeuvre in interest rates. But a move to narrow bands in the course of next year would then be required to give maximum anti-inflation benefits. On this strategy ERM entry will provide appreciable benefits in bringing down inflation, but it will not be costless: as our forecast suggests, the economy will undergo several years of depressed growth of output. But this should lay the basis for steady growth combined with low inflation from 1993 onwards. 相似文献
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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. 相似文献
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现代铸造生产不断采用新方法、新工艺、新技术和新设备,不断优化合金性能,以满足民用及航空工业对铸件质量的要求。铸造生产中造型方法选择是否合理对铸件质量和成本有着重要影响,针对生产中常见的不同形状铸件,分析提出了具体的造型方法。 相似文献
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实物期权理论分析与应用 总被引:4,自引:0,他引:4
随着世界经济全球化的进程进一步加快,企业面临市场中不确定性越来越大,传统的投资决策理论(以净现值法为代表)已越来越不能适应公司投资决策的需要。本文首先指出传统的风险投资项目价值评估方法的局限性,然后对实物期权理论加以介绍,最后介绍实物期权的应用框架。 相似文献
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