共查询到20条相似文献,搜索用时 15 毫秒
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可转换债券是一种混合金融衍生工具,它把相应的股票看涨期权内嵌在传统的公司债券之中,具有债券和股票的双重性质,因而可转债的定价问题逐渐为企业和投资者所关注。本文借助Black—Scholes定价模型研究定价理论,对Black-Scholes定价模型进行修正,体现了红利发放对可转换债券定价的影响。 相似文献
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Yong-Jin Kim 《Asia-Pacific Financial Markets》2002,9(1):23-44
Using daily data of the Nikkei 225 index, call option prices and call money rates of the Japanese financial market,a comparison is made of the pricing performance of stock option pricing modelsunder several stochastic interest rate processes proposedby the existing term structure literature.The results show that (1) one option pricing modelunder a specific stochastic interest ratedoes not significantly outperformanother option pricing model under an alternative stochasticinterest rate, and (2) incorporating stochastic interest ratesinto stock option pricing does not contribute to the performanceimprovement of the original Black–Scholes pricing formula. 相似文献
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中国是遭受地震灾害最严重的国家之一,青海玉树地震将巨灾风险管理的课题再次摆到了研究者和决策者的面前。本文在剖析中国地震巨灾期权发展现状的基础上,借鉴并改进了海内外相关研究结论,构建了中国地震巨灾期权的定价模型,并对其进行了实证计量和讨论。通过对其定价机制的实证研究,本文对推动中国地震巨灾期权的发展提出了必要的政策建议。 相似文献
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Substantial progress has been made in developing more realistic option pricing models. Empirically, however, it is not known whether and by how much each generalization improves option pricing and hedging. We fill this gap by first deriving an option model that allows volatility, interest rates and jumps to be stochastic. Using S&P 500 options, we examine several alternative models from three perspectives: (1) internal consistency of implied parameters/volatility with relevant time-series data, (2) out-of-sample pricing, and (3) hedging. Overall, incorporating stochastic volatility and jumps is important for pricing and internal consistency. But for hedging, modeling stochastic volatility alone yields the best performance. 相似文献
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In this paper, we propose an empirically-based, non-parametric option pricing model to evaluate S&P 500 index options. Given the fact that the model is derived under the real measure, an equilibrium asset pricing model, instead of no-arbitrage, must be assumed. Using the histogram of past S&P 500 index returns, we find that most of the volatility smile documented in the literature disappears. 相似文献
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An Analysis of Covariance Risk and Pricing Anomalies 总被引:2,自引:0,他引:2
This article examines the link between several well-known assetpricing "anomalies" and the covariance structure of returns.I find size, book-to-market, and momentum strategies exhibita strong, weak, and negligible relation to covariance risk,respectively. A size factor helps predict future volatilityand covariation, improving the efficiency of investment strategies.Moreover, its premium rises following increases in both itsvolatility and covariation with other assets. These effectsare amplified in recessions. No such relations exist for book-to-marketor momentum. These findings may shed light on explanations forthese premia and present a challenging set of facts for futuretheory. 相似文献
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Assessing Asset Pricing Anomalies 总被引:3,自引:0,他引:3
The optimal portfolio strategy is developed for an investorwho has detected an asset pricing anomaly but is not certainthat the anomaly is genuine rather than merely apparent. Theanalysis takes account of the fact that the parameters of boththe underlying asset pricing model and the anomalous returnsare estimated rather than known. The value that an investorwould place on the ability to invest to exploit the apparentanomaly is also derived and illustrative calculations are presentedfor the Fama and French SMB and HML portfolios, whose returnsare anomalous relative to the CAPM. 相似文献
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PETER H. RITCHKEN 《The Journal of Finance》1985,40(4):1219-1233
The purpose of this article is to compare the Perrakis and Ryan bounds of option prices in a single-period model with option bounds derived using linear programming. It is shown that the upper bounds are identical but that the lower bounds are different. A comparison of these bounds, together with Merton's bounds and the Black-Scholes prices in a lognormal securities market, is presented. 相似文献
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An economy with agents having constant yetheterogeneous degrees of relative risk aversion prices assetsas though there were a single decreasing relative risk aversion``pricing representative' agent. The pricing kernel has fattails, and option prices do not conform to the Black-Scholesformula. Implied volatility exhibits a ``smile.' Heterogeneityas the source of non-stationary pricing fits Rubenstein's (1994)interpretation of the ``over-pricing' as an indication of ``crash-o-phobia'.Rubinstein's term suggests that those who hold out-of-the moneyput options have relatively high risk aversion (or relativelyhigh subjective probability assessments of low market outcomes).The essence of this explanation is investor heterogeneity. 相似文献
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MARK RUBINSTEIN 《The Journal of Finance》1983,38(1):213-217
This paper develops a new option pricing formula that pushes the underlying source of risk back to the risk of individual assets of the firm. The formula simultaneously encompasses differential riskiness of the assets of the firm, their relative weights in determining the value of the firm, the effects of firm debt, and the effects of a dividend policy with both constant and random components. Although this setting considerably generalizes the Black-Scholes [1] analysis, it nonetheless produces a formula via riskless arbitrage arguments that, given estimated inputs, is as easy to use as the Black-Scholes formula. 相似文献
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This paper investigates the relationship between portfolio choice and labor income risk in the National Longitudinal Survey of Youth 1979 Cohort. Permanent income risk (variability of shocks to income that have permanent effect) significantly reduces the share of risky assets in the household's portfolio, while transitory income risk (variability of shocks with no lasting effect) does not. This result provides strong evidence that households' portfolio choices respond to labor income risks in a manner consistent with economic theory. 相似文献
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银行理财产品是我国近年来最活跃的金融创新,凭借高收益率分流了大量存款。本文以2008年1月到2011年6月期间商业银行发放的投资方向为信贷资产和票据资产的理财产品为样本,对决定理财产品定价的因素进行了实证分析。结果表明,银行理财产品收益率突破了现行的存款利率管理政策,并且多数银行理财产品的定价体现了市场因素。在此基础上,论文分析了理财产品发展对利率市场化改革的推动作用。 相似文献
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Options on stocks are priced using information on index options and viewing stocks in a factor model as indirectly holding index risk. The method is particularly suited to developing quotations on stock options when these markets are relatively illiquid and one has a liquid index options market to judge the index risk. The pricing strategy is illustrated on IBM and Sony options viewed as holding SPX and Nikkei risk respectively. 相似文献
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Chen Guo 《The Financial Review》1998,33(4):81-92
This paper re-derives the finite mixture option pricing model of Ritchey (1990), based on the assumption that the option investors hold heterogeneous expectations about the parameters of the lognormal process of the underlying asset price. By proving that the model admits no riskless arbitrage, this paper justifies that the entire family of finite mixture of lognormal distributions is a desirable candidate set for recovering the risk-neutral probability distributions from contemporaneous options quotes. The parametric method derived from the model is significantly simpler than the nonparametric method of Rubinstein (1994) for recovering the risk-neutral probability distributions from contemporaneous option prices. 相似文献
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人民币远期汇率定价实证分析 总被引:1,自引:0,他引:1
Cui Mingchao Huang Yuncheng 《国际金融研究》2008,(10)
人民币远期结售汇是我国较早发展的最常用的规避汇率风险的产品之一。本文运用协整检验和格兰杰因果检验方法,对境内人民币远期定价的抵补和非抵补利率平价条件以及境内外远期汇率长期均衡关系和信息传导机制进行了实证分析。实证分析结果表明,利率平价条件在境内人民币远期汇率定价中起到基础性作用,受一些限制因素影响,汇率预期的非抵补利率平价条件不成立,远期汇率水平不能作为未来即期汇率的预期变量,境内外远期汇率存在一定的长期均衡关系,境内远期汇率对境外汇率有相对明显的引导作用,境外远期汇率的非理性人民币升值预期,也对境内远期汇率定价存在影响。 相似文献
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There is considerable evidence supporting the time-varying distribution of asset returns. There is also ample evidence that scheduled announcement events such as money supply announcements (in the case of foreign exchange), earnings announcements (in the case of stocks), and crop reports (in the case of commodities), as well as random unscheduled events, can affect the level and volatility of asset returns. This study provides an Event Model for European call options which explicitly addresses effects of these two classes of events. This specification requires estimation of more parameters, but it could provide a more accurate basis for pricing options than previous Poisson jump-diffusion models. Parametric analysis shows that the standard models under price the options relative to the Event Model. The Event Model may be particularly useful in pricing short-term deep out-of-the-money options when scheduled events are present in the market. 相似文献