期权定价的“有限理性”视角：基于投资者情绪的研究

2013年的种种迹象表明我国金融市场将进入期权时代。期权价值的确定是期权功能发挥的前提和基础。本文从行为金融学的角度出发,在传统二叉树期权定价模型的基础上,通过引入投资者情绪变量构建基于投资者情绪的欧式看涨期权定价模型。模型表明,投资者情绪不仅通过行为随机折现因子直接影响期权价值,而且通过影响标的证券的价值运行概率间接影响期权的最终价值;投资者情绪与期权价格之间呈现正相关关系。最后,基于长虹CWB1的实证研究也表明了传统期权定价模型存在的缺陷,通过求解权证实际交易价格与理论价格之间的偏差,可以反算出投资者情绪,进而预测权证的行为价值。     

An options-based approach to analyze auction guarantees in the art market

Auction-house guarantees are becoming a common feature in the art market. We analyze these guarantees within the framework of financial options. This approach allows us to derive analytical (closed-form) expressions to value these positions, considering both, the case in which the painting is sold, and the case in which the painting goes unsold (“bought in”). In addition, we present several risk metrics that are useful to describe from an intuitive viewpoint the exposure of the auction house, and that of a third party (in case the auction house decides to layoff, fully or partially, the risk associated with offering such guarantees). We demonstrate that the expressions we derive satisfy the put-call parity relationship, and we further validate these formulas with a Monte Carlo simulation applied to a realistic example. We also show that the risk associated with such guarantees is lower than what is commonly believed by market practitioners, and we expose the dangers of relying on the Black-Scholes model to value such guarantees. Finally, having explicit expressions to assess the risk involved in these guarantees helps to bring more transparency to a notoriously opaque segment of the art market.     

Enforcement of Optimal Disclosure Rules in the Presence of Moral Hazard

Abstract

This paper analyzes the role of disclosure enforcement mechanisms (such as SEC enforcement teams and corporate governance systems) in directing the disclosure practices of managers when the information is used by shareholders to monitor the manager. The paper establishes a role for a disclosure enforcement system by showing that in its absence it is impossible to simultaneously induce a manager to adopt the desirable disclosure strategy and use the disclosure efficiently to monitor him. The paper shows how the effectiveness of the disclosure enforcement system and the cost of disclosure influence (i) the economic viability of the disclosure enforcement system, (ii) the disclosure policy of the manager, and (iii) the value of including stock options in the manager's compensation package.     

Risk management of climate impact for tourism operators: An empirical analysis on ski resorts

The aim of this paper is to analyze the performance of hedging strategies based on snow and temperature options developed by ski operators to protect their profitability under adverse changes in climatic conditions. The setup is based on a joint non-parametric model for snow and temperature aimed at providing a modelling support for the assessment of the impact of these weather variables on the number of visitors at the ski resort. The analysis is carried out considering the case of Austrian Alps, and examines: i) the ability of the proposed approach to provide a realistic representation of the true data-generating process; ii) the variability reduction in the Profit and Loss of the ski operator offered by the suggested strategies; and iii) the tradeoff between the budget earmarked for hedging and profitability protection.     

The values and incentive effects of options on the maximum or the minimum of the stock prices and market index

In this study, we employ the certainty equivalent principle to investigate cost efficiency and incentives of the options on the maximum or the minimum of the stock prices and market index levels. In addition, the options with averaging features are also considered. Numerical results show that options on the maximum are more cost efficient and incentive-efficient than traditional ones. As for options on the minimum, they are more cost efficient than traditional ones only when the weight in the options is not very large. However, options on the minimum also provide stronger incentives to increase stock prices than traditional ones.     

The option to stock volume ratio and future returns

We examine the information content of option and equity volumes when trade direction is unobserved. In a multimarket asymmetric information model, equity short-sale costs result in a negative relation between relative option volume and future firm value. In our empirical tests, firms in the lowest decile of the option to stock volume ratio (O/S) outperform the highest decile by 0.34% per week (19.3% annualized). Our model and empirics both indicate that O/S is a stronger signal when short-sale costs are high or option leverage is low. O/S also predicts future firm-specific earnings news, consistent with O/S reflecting private information.     

Exact solutions for bond and option prices with systematic jump risk

A variety of realistic economic considerations make jump-diffusion models of interest rate dynamics an appealing modeling choice to price interest-rate contingent claims. However, exact closed-form solutions for bond prices when interest rates follow a mixed jump-diffusion process have proved very hard to derive. This paper puts forward two new models of interest-rate dynamics that combine infrequent, discrete changes in the interest-rate level, modeled as a jump process, with short-lived, mean reverting shocks, modeled as a diffusion process. The two models differ in the way jumps affect the central tendency of interest rates; in one case shocks are temporary, in the other shocks are permanent. We derive exact closed-form solutions for the price of a discount bond and computationally tractable schemes to price bond options.     

Information flow between the stock and option markets: Where do informed traders trade?

This paper investigates the flow of information between the equity and options markets. We argue that informed traders, in deciding where to place their trades, are not entirely indifferent to option moneyness, degree of information asymmetry, and option liquidity. Unlike some previous studies that find information to flow unilaterally from equity to options markets, we control for the above factors and discover feedback relations between trades in out-of-the-money (OTM) options and the underlying equities. The finding is consistent with the pooling equilibrium hypothesis, which asserts that informed traders trade in both the equity and options markets. Some informed traders are probably attracted to the out-of-the money options because of their higher liquidity, lower premiums, and higher delta-to-premium ratios, hence, lending support to the liquidity and leverage hypothesis.     

American stochastic volatility call option pricing: A lattice based approach

This study presents a new method of pricing options on assets with stochastic volatility that is lattice based, and can easily accommodate early exercise for American options. Unlike traditional lattice methods, recombination is not a problem in the new model, and it is easily adapted to alternative volatility processes. Approximations are developed for European C.E.V. calls and American stochastic volatility calls. The application of the pricing model to exchange traded calls is also illustrated using a sample of market prices. Modifying the model to price American puts is straightforward, and the approach can easily be extended to other non-recombining lattices.