OPTIONS AND EFFICIENCY IN MULTIDATE SECURITY MARKETS

This paper extends the work of Ross (1976; Q. J. Econ. (90)1, 75–89) to multidate security markets. First, we show that if a primitive security separates states at the terminal date, then there exist multiperiod European options on that security generating dynamically complete markets. Second, we show that if a primitive security conditionally separates states at the terminal date, then there exist multiperiod European options on that security generating generically dynamically complete markets provided that certain conditions hold. Third, we show that there are economies for which the minimum number of multiperiod European options on a primitive security generating generically dynamically complete markets is relatively large. Finally, we show that in these economies, a relatively small number of multiperiod European options on possibly different portfolio strategies of primitive securities generates generically dynamically complete markets.     

A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS

This paper gives a tree-based method for pricing American options in models where the stock price follows a general exponential Lévy process. A multinomial model for approximating the stock price process, which can be viewed as generalizing the binomial model of Cox, Ross, and Rubinstein (1979) for geometric Brownian motion, is developed. Under mild conditions, it is proved that the stock price process and the prices of American-type options on the stock, calculated from the multinomial model, converge to the corresponding prices under the continuous time Lévy process model. Explicit illustrations are given for the variance gamma model and the normal inverse Gaussian process when the option is an American put, but the procedure is applicable to a much wider class of derivatives including some path-dependent options. Our approach overcomes some practical difficulties that have previously been encountered when the Lévy process has infinite activity.     

国际贸易中的技术性壁垒及我国对策

二十一世纪是全球经济一体化的知识时代 ,科学的巨大变革已经渗透于人类社会的方方面面 ,而国际贸易中的技术性壁垒则体现了贸易保护主义与科技相结合的作用。并且 ,这种非关税壁垒形式以其正义的外衣、巨大的影响力和借助科技的快速发展越来越成为国际贸易中不可忽视的保护手段。中国作为世界贸易组织的新成员更应在这方面进行研究 ,并制定相应的战略。     

Last resort gambles, risky debt and liquidation policy

This paper develops a real option model in which the interaction between debt, liquidation policy and risky investments is studied. We consider a manager who owns the firm and faces the opportunity to invest in risky projects which may boost current profits at the cost of bankruptcy if they turn out to be unsuccessful. These investments are “last resort gambles” in the sense that, if successful, they save the company from insolvency, while, if unsuccessful, they make liquidation unavoidable. It is shown that last resort gambles delay liquidation. We study how the liquidation trigger and the last resort investment decisions are affected by the firm's capital structure.     

CALL及其制约因素刍议

当今世界,计算机已被广泛应用于语言教学。计算机辅助语言教学经历了行为主义的计算机辅助语言教学、交际的计算机辅助语言教学和整体的计算机辅助语言教学三个主要阶段。运用计算机辅助语言教学有助于激发学生的学习动机,为学生提供真实的学习材料,促进学生进行更广泛的相互交流活动,提高学生的个体化学习能力,鼓励学生从单一信息源中脱离出来,促进全球化的共识等。但是,计算机辅助语言教学也有其制约因素,文章从财政困难、计算机软件和硬件的可利用性、技术与理论方面的障碍以及技术的接受等四个方面对此进行了阐述。     

基于价格指数的房地产实物期权嘈声滤波研究

房地产实物期权价值一般是建立在指数价格基础上的,基础资产具有不可交易性,物业价格与指数价格之间存在独立的嘈声过程。本文利用伊藤引理和滤波原理,对指数价格进行一定的折旧修正和嘈声滤波,使得物业价格动态方程具有可测性。采用欧式期权定价方法,研究房地产物业的实物期权价值。     

外在压力与内在激励：老龄化背景下地方政府的财政选择

在人口老龄化背景下,地方政府的财政支出选择存在外在压力和内在激励。在理论分析人口老龄化影响地方财政支出偏好的作用机制基础上,采用中国省级财政数据检验老龄化背景下地方财政选择偏好。研究结果表明：地方政府财政支出是提高社会福利支出的外在压力和增强地方财政可持续性的内在激励的多路径效应结果,这种影响效应具有财政自给率和老龄化程度的非对称性。为了实现地方财政可持续性和有效应对老龄化社会的公众诉求压力,有必要尽快完善地方政府考核体系,完善地方公共支出的需求表达机制,改善当前财政支出责任地方化的状态。     

应用期权方法构建商业银行贷款利率模型

以分析公司普通股所具有的看涨期权特性为出发点，以Black—Scholes看涨期权定价模型为基础，根据不同企业资本结构和资产回报风险的差别，构造了一个商业银行基本贷款利率模型。从期权角度来设计贷款利率模型，除考虑了企业的经营风险因责外，还同时考虑了企业融资结构所带来的财务风险，能更加全面地反映出商业银行贷款的保障程度。     

基于外汇期权方法的汇率预测研究

文章利用2004年芝加哥商品交易所的美元-欧元期货期权的信息,分析了其隐含偏度和隐含波动率在预测短期汇率中的效力。结果发现,隐含偏度、隐含波动率的偏度与每日汇率变化率有紧密的联系。