A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks

We propose a nonparametric method for estimating the pricing formula of a derivative asset using learning networks. Although not a substitute for the more traditional arbitrage-based pricing formulas, network-pricing formulas may be more accurate and computationally more efficient alternatives when the underlying asset's price dynamics are unknown, or when the pricing equation associated with the no-arbitrage condition cannot be solved analytically. To assess the potential value of network pricing formulas, we simulate Black-Scholes option prices and show that learning networks can recover the Black-Scholes formula from a two-year training set of daily options prices, and that the resulting network formula can be used successfully to both price and delta-hedge options out-of-sample. For comparison, we estimate models using four popular methods: ordinary least squares, radial basis function networks, multilayer perceptron networks, and projection pursuit. To illustrate the practical relevance of our network pricing approach, we apply it to the pricing and delta-hedging of S&P 500 futures options from 1987 to 1991.     

A Complete Nonparametric Event Study Approach

Event studies have been used to examine the direction, magnitude, and speed of security price reactions to various phenomenon. Concerns over the lack of normality in stock return distributions motivated the introduction of nonparametric test statistics in the event study literature. A parametric procedure (OLS), however, has been extensively employed in the estimation of parameters for the market model. This paper, in contrast, applies Theil's nonparametric regression in the estimation of abnormal returns; an approach which is distribution free and provides a complete nonparametric approach for the detection of abnormal performance. Simulation results indicate Theil's estimation procedure offers a slight improvement in power in the detection of abnormal performance over the traditionally employed methodology. The results suggest employing Theil's nonparametric estimation procedure combined with the rank statistic. This complete nonparametric combination offers similar power with fewer underlying assumptions.     

Valuation Approach与Valuation Method

评估方法是资产评估中重要的基础性概念,从本辑开始将陆续介绍有关评估方法的相关术语和用法. 在国外早期的经典评估理论书籍及评估报告中,多将评估方法表示为valuation method,然而在现代英文评估书籍和评估报告中,使用Valuation Approach的趋势日渐增多.一方面,在许多场合这两个词不作区别,可互相替代,都可用来表示"评估方法".(在我国早期从国外引进评估理论和概念时,还曾将Cost Approach中的Approach理解为动词,进而形象地译为"成本逼近法",并沿用至今.)另一方面,目前在专业文献中越来越多地有意将Valuation Approach和Valuation Method予以区别,虽然缺乏明确的定义,但前者往往是指一种总的评估思路或途径,而后者往往是指其中的一种具体方法.     

A Simple and Numerically Efficient Valuation Method for American Puts Using a Modified Geske-Johnson Approach

Geske and Johnson (1984) develop an equation for the American put price and obtain accurate prices using a method requiring quadrivariate normal integrals evaluated over an interval containing four equally spaced exercise points. We show that a modification of their method which uses optimal placement of exercise points yields in most cases accurate values using nothing more than bivariate normals. In the more difficult (deep-in-the-money) cases, trivariate normals suffice.     

市场呼唤完善评估方法

面对知识经济时代的到来,完善资产评估方法是我国资产评估业的迫切需要.我们惯用的成本法将受到很大局限,要研究采用什么方法才能把知识经济时代的企业价值反映出来,特别是要研究如何使用国际上通行的市场法及其他投资估价方法.     

A Fundamental Analysis Approach to Oil and Gas Firm Valuation

Most fundamental analysis studies have focused on fundamentals selected by a data-driven approach on large samples of firms from numerous industries. This paper reports the results of a fundamental analysis of a single industry, the US oil and gas exploration and production industry, using variables identified by industry financial analysts. The results demonstrate a significant relationship between a number of the fundamentals with both the market value of equity and cumulative stock return. The results also suggest that the fundamentals provide incremental information beyond earnings, change in earnings, and book value of equity when explaining equity values and stock returns.     

Valuation in Emerging Markets: A Simulation Approach

Most of the foundations of valuation theory have been designed for use in developed markets. Because of the greater, and in some cases different, risks associated with emerging markets (although recent experience might suggest otherwise), investors and corporate managers are often uncomfortable using traditional methods. The typical way of capturing emerging-market risks is to increase the discount rate in the standard valuation model. But, as the authors argue, such adjustments have the effect of undermining some of the basic assumptions of the CAPM-based discounted cash flow model. The standard theory of capital budgeting suggests that estimates of unconditional expected cash flows should be discounted at CAPM discount rates (or betas) that reflect only “systematic,” or “nondiversifiable,” market-wide risks. In practice, however, analysts tend to take what are really estimates of “conditional” expected cash flows—that is, conditional on the firm or its country avoiding a crisis—and discount them at higher rates that reflect not only systematic risks, but diversifiable risks that typically involve a higher probability of crisis-driven costs of default. But there is almost no basis in theory for the size of the increases in discount rates. In this article, the authors propose that analysts in emerging markets avoid this discount rate problem by using simulation techniques to capture emerging-market risks in their estimates of unconditional expected cash flows—in other words, estimates that directly incorporate the possibility of an emerging-market crisis and its consequences. Having produced such estimates, analysts can then discount them using the standard Global CAPM.     

A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities

This paper sets up a model for the valuation of traditional participating life insurance policies. These claims are characterized by their explicit interest rate guarantees and by various embedded option elements, such as bonus and surrender options. Owing to the structure of these contracts, the theory of contingent claims pricing is a particularly well-suited framework for the analysis of their valuation.The eventual benefits (or pay-offs) from the contracts considered crucially depend on the history of returns on the insurance company's assets during the contract period. This path-dependence prohibits the derivation of closed-form valuation formulas but we demonstrate that the dimensionality of the problem can be reduced to allow for the development and implementation of a finite difference algorithm for fast and accurate numerical evaluation of the contracts. We also demonstrate how the fundamental financial model can be extended to allow for mortality risk and we provide a wide range of numerical pricing results.     

A Simple Approach to Valuing Risky Fixed and Floating Rate Debt

We develop a simple approach to valuing risky corporate debt that incorporates both default and interest rate risk. We use this approach to derive simple closed-form valuation expressions for fixed and floating rate debt. The model provides a number of interesting new insights about pricing and hedging corporate debt securities. For example, we find that the correlation between default risk and the interest rate has a significant effect on the properties of the credit spread. Using Moody's corporate bond yield data, we find that credit spreads are negatively related to interest rates and that durations of risky bonds depend on the correlation with interest rates. This empirical evidence is consistent with the implications of the valuation model.     

Assessing the Least Squares Monte-Carlo Approach to American Option Valuation

A detailed analysis of the Least Squares Monte-Carlo (LSM) approach to American option valuation suggested in Longstaff and Schwartz (2001) is performed. We compare the specification of the cross-sectional regressions with Laguerre polynomials used in Longstaff and Schwartz (2001) with alternative specifications and show that some of these have numerically better properties. Furthermore, each of these specifications leads to a trade-off between the time used to calculate a price and the precision of that price. Comparing the method-specific trade-offs reveals that a modified specification using ordinary monomials is preferred over the specification based on Laguerre polynomials. Next, we generalize the pricing problem by considering options on multiple assets and we show that the LSM method can be implemented easily for dimensions as high as ten or more. Furthermore, we show that the LSM method is computationally more efficient than existing numerical methods. In particular, when the number of assets is high, say five, Finite Difference methods are infeasible, and we show that our modified LSM method is superior to the Binomial Model.     

专有技术的收益法评估

随着知识经济时代的到来,专利和专有技术等技术型资产的重要性在企业的发展过程中迅速凸显出来.而在以专有技术投资或专有技术转让的价值评估中,收益法是国际通行的评估方法.收益法的主要评估参数是收益额、折现率和收益期.而每一个主要评估参数下还有许多具体的分析指标.这些分析指标都需要根据专有技术的属性和特征,进行准确的分析.     

收益法在企业价值评估中的应用研究

收益法在企业价值评估中的应用研究是当前评估行业发展过程中的一项重大课题.本文在阐明收益法是一种相对科学的企业价值评估首选方法的基础上,针对我国企业价值评估的现状及存在的问题,就收益法评估中参数的选择与确定方法提出了自己的观点.     

对路线价估价法的再认识

路线价估价法是市场比较法的派生方法,特别适用于城市商业街道两侧土地的估价,正确运用路线价估价法的前提是掌握路线价及深度指数的含义、确定方法及变化规律.不同国家及地区路线价所对应标准宗地的条件是不一样的,深度指数的含义及类型也有差别.本文就路线价法的基本原理、路线价及深度指数的确定思路和确定方法进行了一定的分析和研究,同时提出了用临街地价格差来确定袋地评估价值的方法,并分析了用该方法与用袋地深度指数评估结果差异的原因.     

公路收费权价值评估方法分析

通过对公路收费权属性的分析,说明可用收益法、市场法和成本法三种方法对公路收费权这一无形资产进行评估.最后提出,可对三种方法评估结果进行加权平均,以求评估结果更趋于合理化.     

A Simple Econometric Approach for Utility-Based Asset Pricing Models

Utility-based models of asset pricing may be estimated with or without assuming a distribution for security returns; both approaches are developed and compared here. The chief strength of a parametric estimator lies in its computational simplicity and statistical efficiency when the added distributional assumption is true. In contrast, the nonparametric estimator is robust to departures from any particular distribution, and it is more consistent with the spirit underlying utility-based asset pricing models since the distribution of asset returns remains unspecified even in the empirical work. The nonparametric approach turns out to be easy to implement with precision nearly indistinguishable from its parametric counterpart in this particular application. The application shows that log utility is consistent with the data over the period 1926–1981.     

收益法评估中的敏感性分析

一、敏感性分析的必要性 按照《企业价值评估指导意见（试行）》的规定,在采用收益法评估企业价值,对企业进行经营收益预测时,评估人员应准确反映企业的经营状况和企业特性,不能偏离企业的实际情况。特别是对于关系企业价值评估最终结果的敏感性因素,评估人员应进行重点的关注和分析。评估人员首先应在评估过程中发现影响企业收益的敏感性因素,通过对敏感性因素的分析把握敏感性影响的状况。     

成本法评估港口资产浅析

对于港口,无论是以其作为企业整体价值进行评估,还是以其作为单项资产进行评估,其基本思路与一般意义上的企业价值或单项资产评估并无二致。但港口作为一项资产来讲,确实具备其自身独有的特点。港口企业主要是为海(河)陆之间客货运输提供装卸服务的,本身不生产产品。这种特点决定了港口企业流动资产中的实物性存货较少,价值量较小,一般情况下主要是库存机械设备的备品备件和油料,几乎不会存在什么在产品、产成品之类的存货。同时,港口企业财务会计的核算也比一般意义上的产品加工、商业零售等行业要简单,因此,港口企业流动资产评估任务一般…     

Real Asset Valuation: A Back‐to‐basics Approach

Different valuation methods can lead to different corporate investment decisions, and the conventional “static, single discount rate” DCF approach in particular is biased against many of the kinds of decisions that corporate managers tend to view as “strategic.” Reducing the bias from valuations involves two main tasks: treating risk in a way that is consistent with observed market pricing, and accounting for the ability of companies to make decisions “dynamically” over time. The authors propose two separate tools, market‐based valuation and complete decision tree analysis, for accomplishing these two improvements in valuation. The authors also suggest working with the full distribution of future cash flows, one possible realization at a time, rather than working with the aggregate measure of expected cash flow. From a technical perspective, it is necessary to work with the full distribution to value real options properly. Valuing the cash flows one realization at a time also leads to a much better understanding of the interaction between economy‐level, systematic risks and local asset‐level, technical risks. Just as important, the proposed approaches support an effective division of labor between local asset managers, who are better positioned to model technical considerations and other asset specifics, and the central finance staff, who can ensure the consistent treatment of economy‐wide risk and to create the rules of engagement for evaluating opportunities. After presenting an overview of both the valuation and the organizational issues, the authors present a case involving a corporate investment in carbon capture and storage that illustrates both the application of the proposed methods and the various sources of bias in the typical DCF analysis.     

Liability Valuation and Debt Defeasance: A Cash-Flow Exit-Price (CaFE) Approach

This paper reviews the arguments of Chambers with respect to liability measurement in his continuously contemporary accounting (CoCoA) system and the views of his critics are summarized and discussed. The paper then examines the issue of laibility valuation and in-substance debt defeasance in the context of historic-cost accounting. A specific illustration is provided showing how an in-substance debt-defeasance arrangement would be reported under a CaFE system. It is concluded that stating debt at its exit price would provide useful information and could reduce the incentives for firms to enter into in-substance debt-defeasance arrangements.