Analytical Valuation of American Options on Jump-Diffusion Processes

We derive analytic formulas for the value of American options when the underlying asset follows a jump-diffusion process and pays continuous dividends. They early exercise premium has a form very different form from that for diffusion processes, and this can be attributed to the discontinuous nature of the price paths. Analytical formulas are derived for several distributions of the jump amplitude.     

Pricing Discrete European Barrier Options Using Lattice Random Walks

This paper designs a numerical procedure to price discrete European barrier options in Black-Scholes model. The pricing problem is divided into a series of initial value problems, one for each monitoring time. Each initial value problem is solved by replacing the driving Brownian motion by a lattice random walk. Some results from the theory of Besov spaces show that the convergence rate of lattice methods for initial value problems depends on two factors, namely the smoothness of the initial value (or the value function) and the moments for the increments of the lattice random walk. This fact is used to obtain an efficient method to price discrete European barrier options. Numerical examples and comparisons with other methods are carried out to show that the proposed method yields fast and accurate results.     

The Valuation of American Options on Multiple Assets

In this paper we provide valuation formulas for several types of American options on two or more assets. Our contribution is twofold. First, we characterize the optimal exercise regions and provide valuation formulas for a number of American option contracts on multiple underlying assets with convex payoff functions. Examples include options on the maximum of two assets, dual strike options, spread options, exchange options, options on the product and powers of the product, and options on the arithmetic average of two assets. Second, we derive results for American option contracts with nonconvex payoffs, such as American capped exchange options. For this option we explicitly identify the optimal exercise boundary and provide a decomposition of the price in terms of a capped exchange option with automatic exercise at the cap and an early exercise premium involving the benefits of exercising prior to reaching the cap. Besides generalizing the current literature on American option valuation our analysis has implications for the theory of investment under uncertainty. A specialization of one of our models also provides a new representation formula for an American capped option on a single underlying asset.     

A TEST OF A GENERAL EQUILIBRIUM STOCK OPTION PRICING MODEL

An empirical version of the Cox, Ingersoll, and Ross (1985a) call option pricing model is derived, assuming execution price uncertainty in the options market. the pricing restrictions come in the form of moment conditions in the option pricing error. These can be estimated and tested using a version of the method of simulated moments (MSM). Simulation estimates, obtained by discretely approximating the risk-neutral processes of the underlying stock price and the interest rate, are substituted for analytically unknown call prices. the asymptotics and other aspects of the MSM estimator are discussed. the model is tested on transaction prices at 15-minute intervals. It substantially outperforms the Black-Scholes model. the empirical success of the Cox-Ingersoll-Ross model implies that the continuous-time interest rate implicit in synchronous transaction quotes of 90-day Treasury-bill futures contracts is an-albeit noisy-proxy for the instantaneous volatility on common stock. the process of the instantaneous volatility is found to be close to nonstationary. It is well approximated by a heteroskedastic unit-root process. With this approximation, the Cox-Ingersoll-Ross model only slightly overprices long-maturity options.     

Pricing Stock Options in a Jump‐Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods

Fast closed form solutions for prices on European stock options are developed in a jump‐diffusion model with stochastic volatility and stochastic interest rates. The probability functions in the solutions are computed by using the Fourier inversion formula for distribution functions. The model is calibrated for the S and P 500 and is used to analyze several effects on option prices, including interest rate variability, the negative correlation between stock returns and volatility, and the negative correlation between stock returns and interest rates.     

中国-欧盟农产品贸易结构分析

本文运用多项指标系统描述了1995-2003年中国-欧盟农产品贸易结构的特征。相对贸易优势测算结果显示中国在动物产品、蔬菜水果和烟草等劳动密集型产品上的竞争优势有所减弱,而在茶类产品、水产品加工产品和蔬菜水果制品上的竞争优势趋于增强;贸易互补性在波动中增强;出口相似性指数表明双方在出口结构上存在较大的差异;贸易强度指数显示中国与原欧盟以及扩大后的欧盟在农产品贸易方面有很大的发展潜力。最后得出结论,中国应该发挥高附加值农产品的出口优势,扩大对欧盟的出口。     

集体行动逻辑下的欧洲会计协调研究

欧洲会计协调是指欧盟为了协调各成员国的会计活动,通过制定和颁布一系列指令,对各国会计准则上的差异设定限度,以增加欧盟内各国会计实务和财务信息的统一性和可比性。从集体行动逻辑理论的观点看,这可视为一种两个以上的个人(此处指政府)形成的一项以会计准则为标的的特殊契约交易的集体行动。本文将对欧洲会计协调的分析与思考纳入集体行动逻辑的理论框架中,在解释其现已取得成就的基础上,重点对欧洲会计协调中出现的障碍加以深入的研究和剖析,并展望其未来的发展之路。     

以净资产减持国有股的可行性研究

国有股减持是国有控股公司改革的难题。国有股减持方案选择的关键是国有股定价问题。从国有股减持目标、国有股内在价值和我国证券市场融资能力三方面进行分析 ,可以看出 ,以净资产减持国有股即是必要的又具有可行性 ,以其确保国家长远利益的实现。