供应链管理中期权的应用

通过分析供应链嵌入式期权机制,针对供应商与分销商,分别探讨了在单供应商、多分销商的供应链模型下的嵌入式期权机制;同时,分析了供应商如何通过期权降低经营风险、调整自身收益、影响分销商的决策,从而实现供应链利益的整体协调。     

垂直套利

垂直套利是通过买进一个期权,同时卖出一个相同类型(同属看涨或看跌期权)、相同品种、相同到期日,不同执行价格的期权,进行套利的篆略,其特点在于能将风险和收益度限制在一定范围内。垂直套利共有以下四种形式:1.牛市看涨期权套利:买进一个执行价格较低的看涨期权,同时卖出一个到期日相同但执行价格较高的看涨期     

房地产开发中的融资和放弃期权研究

一、房地产开发中的融资和放弃期权 实物期权是在金融期权的基础上发展起来的。自从Black、Scholes和Merton1973年在金融期权定价上取得突破性的成就以来，经济学家为期权理论开辟了许多新的应用领域。期权给予持有人做某事的一个机会而没有相应的义务，它分为看涨期权和看跌期权。看涨期权给予持有人以预先确定的价格（执行价格），在预先确定的日期购买基础资产的机会；持有人有机会选择是否执行期权，仅当基础资产的价值超过执行价格时才执行。看跌期权给予持有人以预先确定的价格在预先确定的时间出售基础资产的权利，仅当执行价格超过基础资产的价值时才会执行。不确定条件下的管理柔性同期权的概念相吻合，这就产生了实物期权的概念、理论和方法。     

实物期权理论对战略管理的重要性探析

文章主要探讨实物期权理论的起源与发展，概括了实物期权理论对于战略管理领域之所以重要的三个原因，导出了实物期权理论研究的一个重要框架。并且文章讨论了四个基本问题，这四个问题处于实物期权与战略的边界之处并且能够以重要的方式推进战略中实物期权研究。     

论期权定价理论

一、期权价值的形成机制 所耐期权,就是赋予其购买者在预先约定的时间以预先约定的价格买入或卖出某项基础资产的权利。为了获得这种权利,期权的购买者必须支付一定数量的权利金(也称为保证金或保险金),因此权利金则成为期权这一金融衍生品的价格。期权交易的类型很多。期权按交易方式可分为看涨期权、看跌期权和双重期权;按期权的执行时间不同可分为美式期权和     

实物期权在项目投资决策中的应用

文章首先分析了实物期权的几个影响因素,并从项目投资中的具体测度出发,推导出实物期权定价公式,然后利用实物期权定价理论对项目投资进行案例分析,体现出了实物期权方法的优势。     

基于不确定性和管理柔性框架的实物期权研究综述

对实物期权研究成果进行了综述,强调了实物期权的理论基础:不确定性和管理柔性。对于不确定性,主要分析了商品价格模型,包括单因素模型、二因素模型、三因素模型和其它模型。将管理柔性划分为投资阶段柔性、生产经营阶段柔性和退出阶段柔性。指出目前研究中存在的问题:缺乏综合和系统,国内研究中忽视对不确定的研究和模型的实证检验,忽视对项目的义务和责任的研究,忽视实物资产与金融资产的区别以及实物期权的管理属性。     

实物期权的价值特性研究

在实物期权的研究中,学术界忽视了对于实物期权价值的特殊性的研究,这在实际工作中很可能造成决策上的失误。本文通过对实物期权价值确定的机理进行分析研究,指出实物期权存在着执行价格的可变性,标的资产价格和执行价格对于实物期权价格的影响是不同的,并提出了提高实物期权价值的方法。     

试论经理期权制在中国的实行

目前我国的企业经营体制正在向纵深方向推进,而改革的关键是如何建立良好的激励机制。经理股票期权制度是大家注意力的焦点,围绕着这一制度的执行,人们众说纷纭,观点不一。但在综合分析下,它对我国企业制度的改革还是利大于弊的。然而由于我国证券市场仍然处于发展和完善的过程中,这就决定了股票期权在我国必然要经历一个摸索的阶段。只要我们大胆探索、不懈努力,股票期权制度必将成为现代企业管理制度的重要组成部分。     

基于期权理论的证券市场完全化研究

一、期权理论期权是一种选择权,是以合约或合同形式存在的权利,期权持有人,即合同买方,通过支付期权购买费(权利金)向合同卖方取得一种权利,有权决定在未来某一时刻按约定价格向期权卖方买卖某种标的物。这里的标的物是指执行期权权利的对象,也就是合约商品,在本文中限定为风险资产。按权利的行使时间不同,期权可分为欧式期权和美式期权。欧式期权只有在期权到期日才能履约交易,美式期权则在期权有效期限内的任何一天都可以行使权力。     

The valuation of American barrier options using the decomposition technique

In this paper, we propose an alternative approach for pricing and hedging American barrier options. Specifically, we obtain an analytic representation for the value and hedge parameters of barrier options, using the decomposition technique of separating the European option value from the early exercise premium. This allows us to identify some new put-call ‘symmetry’ relations and the homogeneity in price parameters of the optimal exercise boundary. These properties can be utilized to increase the computational efficiency of our method in pricing and hedging American options. Our implementation of the obtained solution indicates that the proposed approach is both efficient and accurate in computing option values and option hedge parameters. Our numerical results also demonstrate that the approach dominates the existing lattice methods in both accuracy and efficiency. In particular, the method is free of the difficulty that existing numerical methods have in dealing with spot prices in the proximity of the barrier, the case where the barrier options are most problematic.     

Exchange options for catastrophe risk management

In this paper, we investigate the pricing issue and catastrophe risk management of exchange options. Exchange options allow the holder to exchange its stocks for another at maturity and can be seen as an extended version of catastrophe equity put options with another traded asset price as strike prices. Since option holders have to issue new shares to exercise the option, we illustrate the differences between option prices calculated using pre-exercise and post-exercise share prices. The effects of default risk on option prices and risk management are also considered. Finally, risk management analysis shows that exchange options can effectively hedge catastrophe risk.     

Non-transferable non-hedgeable executive stock option pricing

To value non-transferable non-hedgeable (NTNH) contingent claims and price executive stock options (ESOs), we use a replication argument to translate portfolios with NTNH derivatives into portfolios of primary assets (only) with stochastic portfolio constraints. By identifying stochastic discount factors and finding subjective prices of NTNH European and American ESOs, for block and continuous partial exercise, we derive executives׳ optimal exercise policies, and use these to find objective prices/costs of ESOs to firms. Through numerical simulations, we obtain policy implications regarding ESOs׳ incentivizing efficiency. For the first time, we demonstrate that, unlike under block exercise, subjective prices under continuous partial exercise may be higher than objective ones. Moreover, volatility regimes and executives׳ “other wealth” are important in ESO pricing, and are thus essential to empirical executive compensation studies.     

Exploring the Impact of Agricultural Price and Trade Policy Reform under Transition in Albania

Agricultural policy decision making in economies undergoing transition to market is in need of empirical tools for assessing the impact of alternative policy options. The econometric means available for such exercise, however, are limited for lack of data and structural breaks in economic behaviour. Synthetic, partial equilibrium, multi-market models offer a potential alternative. Such models have been used extensively, even in advanced economies, to offer valuable insights on the impact of alternative policy options. This paper shows the use of such a partial equilibrium, multi-market, synthetic-type model as a tool for agricultural policy analysis in a country in transition. The model is applied for Albania, a predominantly agricultural country that, after a period of centralism and autarky, aims to re-join the international economic system. The model, albeit its many limitations, offers some useful insights on the impact of alternative options available for agricultural price and trade policy. This revised version was published online in July 2006 with corrections to the Cover Date.     

Evaluation of American option prices in a path integral framework using Fourier–Hermite series expansions

In this paper we review the path integral technique which has wide applications in statistical physics and relate it to the backward recursion technique which is widely used for the evaluation of derivative securities. We formulate the pricing of equity options, both European and American, using the path integral framework. Discretising in the time variable and using expansions in Fourier–Hermite series for the continuous representation of the underlying asset price, we show how these options can be evaluated in the path integral framework. For American options, the solution technique facilitates the accurate determination of the early exercise boundary as part of the solution. Additionally, the continuous representation of the state variable allows the relatively accurate and efficient evaluation of the option prices and the delta hedge ratio.     

A two-step simulation procedure to analyze the exercise features of American options

Abstract In this contribution we propose a two-step simulation procedure that enables to compute the exercise features of American options and analyze the properties of the optimal exercise times and exercise probabilities. The first step of the procedure is based on the calculation of an accurate approximation of the optimal exercise boundary. In particular, we use a smoothed binomial method which effectively reduces the fluctuating behavior of a discrete boundary. In the second step the boundary is used to define a stopping rule which is embodied in a Monte Carlo simulation method. A broad experimental analysis is carried out in order to test the procedure and study the behavior of the exercise features. Mathematics Subject Classification (2000): 60G40, 60J60, 65C20 Journal of Economic Literature Classification: G13     

Valuation of callable accreting interest rate swaps: Least squares Monte-Carlo method under Hull-White interest rate model

Using the Hull-White interest rate model, this paper proposes a valuation method of callable accreting interest rate swap (CAIRS) and how it can be used for managing the risk of zero callable bonds (ZCBs). Firstly, CAIRS can be decomposed into accreting payer interest rate swaps and Bermudan options. Considering the financial valuation of both components, the former can be valued directly while the latter has no close-form due to its early exercise characteristics. Using the Least Squares Monte-Carlo method (LSM) proposed by Longstaff and Schwartz (2001), we find that the two options embedded in ZCB and CAIRS have the same exercise strategy since the terms of the swaps will include the bonds in practice. However, the cash flow of risk management in swaps and bonds can differ when considering the time value. Hence, CAIRS is not the best financial instrument for managing risks of ZCB under the current design.     

创设人在创设武钢权证中的套利机会

2005年11月23日,武钢认购权证和武钢认沽权证开始上市交易,继续延续着中国权证市场的火爆盛况。然而,根据欧式看涨期权和看跌期权的平价公式及不同执行价格的同类期权所必然具有的内在价值规律,我们发现通过适当地构造由武钢认购权证、武钢认沽权证、武钢股票及无风险债券所构成的套利组合,就可获得无风险利润。因此,权证市场对有创设权证资格的证券公司来说存在无风险套利机会,本文根据创设武钢权证的有关规定,具体给出了通过创设武钢认购权证并构造相应套利组合的套利方式。     

Institutional impact and quote behavior implications of the options penny pilot project

In this study, we expand the analysis of the impact of the options penny pilot project (PPP) using a sample that covers the first three phases of the project, a control group of options that were not part of the project, and options market specific control variables. We show that proportional national best bid offer spreads decrease significantly for the pilot securities, with the control sample demonstrating a general increase in relative spreads. Regression analysis indicates that a decrease in relative spreads can be explained by the switch to penny quoting. We find that the average quote size significantly declines and most pilot securities experience significant increases in quote traffic during the pilot period. For equity options in the pilot group we do not find a pattern of change in the average trading volume that can be attributed to the PPP. The average trading volume shows a general increase for the ETF options in the pilot group during the pilot period. Based on the findings derived from a sample of opening and closing “large” trades, we do not find conclusive evidence that trading in penny increments has a negative impact on the volume of institutional trading activity on the options exchanges during the first few months of Phase I. Our results for relative spreads, average quote size, quote traffic and trading volume are robust to Phases I–III of the PPP.