建材交易的期权管理模式探究

涉及大宗建材交易,交易双方往往都要承担很大的价格风险,不同时点风险又过于集中到交易一方,基于期权理论提出建材交易的期权管理模式作为解决该问题的新思路。首先论证解决建材价格波动问题的必要性,接着介绍建材交易期权管理模式的框架构成,最后借助期权定价模型和Crystal Ball软件来计算建材期权的理论价格,并进行了实例验证。运作该模式的目的是统筹管理一定时域、地域上的建材交易业务,来实现交易双方持续、协调和稳定的发展。     

运用B-S模型对可转换债券评估应注意的几个问题

可转换债券的价值由纯债券价值及期权价值共同构成。文章通过引入Black -Scholes定价模型评估期权价值 ,对该模型在我国使用的前提条件、限制因素以及计算结果的调整进行了简单的分析 ,从理论上阐述了可转换债券的评估方法     

期权在企业财务管理中的应用

期权理论的发展和应用,拓展和更新了传统的企业财务理论。本文阐述了期权在企业财务管理几个方面的应用,希望能引起国内学者对期权研究的注意和重视,共同致力于期权理论及其应用研究的开拓与创新。     

分数金融市场中的下出局买权定价研究

布朗运动作为Black—Scholes模型的初始假定，一直受到金融异象的质疑。分数布朗运动虽然对此进行了补救，却因本质上不是半鞅给随机计算带来困难。本文假定标的资产价格服从几何分数布朗运动，利用风险中性测度下的拟鞅（quasi—martingale）定价方法解出了分数Black—Scholes公式，最后在分数布朗运动环境中对下出局买权进行了定价。结果表明，与标准期权价格相比，分数期权价格要同时取决于到期日和Hurst参数H。     

An analytical approximation to the option formula for the GARCH model

This article derives an analytical approximation to the option formula for a spot asset price whose conditional variance equation follows a nonlinear asymmetric GARCH (NGARCH) process. The approximate option formula, which is just a volatility adjustment in comparison to the Black-Scholes (BS) formula, is very simple and provides the volatility term structure of spot asset prices. Also, the formula shows that the most characteristic feature of an NGARCH model appears in the vega of a European option, which depends on both the spread between the long-run variance and the current one and a parameter reproduced from the stationary property of the conditional variance. This methodology can be easily extended to an option formula for the generalized GARCH process.     

Option pricing using a binomial model with random time steps (A formal model of gamma hedging)

This paper provides a new option pricing model which justifies the standard industry implementation of the Black-Scholes model. The standard industry implementation of the Black-Scholes model uses an implicit volatility, and it hedges both delta and gamma risk. This industry implementation is inconsistent with the theory underlying the derivation of the Black-Scholes model. We justify this implementation by showing that these adhoc adjustments to the Black-Scholes model provide a reasonable approximation to valuation and delta hedging in our new option pricing model.     

A General Fractional White Noise Theory And Applications To Finance

We present a new framework for fractional Brownian motion in which processes with all indices can be considered under the same probability measure. Our results extend recent contributions by Hu, Øksendal, Duncan, Pasik-Duncan, and others. As an application we develop option pricing in a fractional Black-Scholes market with a noise process driven by a sum of fractional Brownian motions with various Hurst indices.     

A Simple Option-Pricing Formula

A simple option-pricing formula based on the Weibull distribution is introduced. The simplicity of the algebraic form and ease of implementation are comparable to those of Black-Scholes. Application to S&P 500 options shows that the pricing biases present in the Black-Scholes model are eliminated. Prices produced by the presented model generally lie within or close to the bid-ask spread. For long-term options (over one year), the Weibull formula exhibits significantly higher precision than the Black-Scholes formula does. While a rigorous comparison of all available models is necessary, the simplicity and precision of the proposed model are its main advantages over the existing models.     

实物期权理论应用在公司理财中的先进性

近来财务理论的飞速发展大部分归功于实物期权理论于公司理财中的应用 ,实物期权能发挥如此大的作用一定有它的先进之处。但是由于数学原理的生涩难懂 ,给各界人士理解并探讨期权理论设置了障碍。目前广泛使用的传统公司理财工具 -现金流贴现方法有它的局限性 ,通过对实物期权的历史和原理的阐述 ,加以通俗易懂的例子 ,解释了它在财务理论中的突破性进步。