Optimal Stopping and the American Put

We show that the problem of pricing the American put is equivalent to solving an optimal stopping problem. the optimal stopping problem gives rise to a parabolic free-boundary problem. We show there is a unique solution to this problem which has a lower boundary. We identify an integral equation solved by the boundary and show that it is the unique solution to this equation satisfying certain natural additional conditions. the proofs also give a natural decomposition of the price of the American option as the sum of the price of the European option and an "American premium."     

浅谈现代企业中有效实施“人本管理”的途径

人本管理是现代企业管理的新模式,其核心价值观是尊重人、关心人、实现人的价值。现代企业实施人本管理应开辟一些新的途径:通过组织结构变革来促进人本管理,做到唯才是用,使人尽其才成为人本管理的核心;塑造企业文化,凝聚团队力量;在企业中建立行之有效的人本管理机制。     

Pricing American Put Options on Defaultable Bonds

In the last two decades, the market of credit derivativeshas expanded rapidly, and the importance of pricing problemsfor credit derivatives has been recognized especially in the last decade.Among these securities, the pricing problems of credit derivativeswith an early exercise, such as American put options,have not received enough attention. In view of this need, this paper develops a continuous stochastic modelof American put options on defaultable bonds.The method of obtaining a solution is based on a new result of the optimalstopping problem for a diffusion process with a jump.Some characterizations of American put options are providedusing partial differential equations.     

学风建设应该坚持“以人为本”

针对目前高校学风建设普遍存在学生主体意识缺乏,教师主导的缺位,辅导员、班主任管理缺失的问题,提出学风建设应该坚持以人为本,充分发挥学生的主体作用、教师的主导作用和辅导员、班主任的主干作用。     

水排污税征收问题研究

本文从水排污费征收方法与存在问题着手,指出开征水污染税的必要性。并根据我国环保法规和现实国情,对我国开征水污染税给出一些建议。     

主成分回归在区域现金净投放分析中的应用

选取安徽省马鞍山市六项主要经济指标,利用主成分回归方法建立区域现金净投放预测模型。模型分析结果表明,第三产业增加值对现金净投放量变化影响最大,其次是贷款余额、GDP、存款余额和固定资产投资,而物价因素对其影响最小。     

搭建技能比武平台 提升员工队伍素质——乐滩水电厂工会开展员工队伍技能比武调查报告

文章通过对乐滩水电厂员工队伍基本状况和技能状况的调查研究,提出了多形式搭建技能比武平台,不断提升员工队伍素质的设想,强调了电力生产企业深入开展员工队伍技能比武对提升员工队伍素质的重要性和紧迫性,对日常工作具有较好的指导作用和借鉴意义。     

ON THE AMERICAN OPTION PROBLEM

We show how the change-of-variable formula with local time on curves derived recently in Peskir (2002) can be used to prove that the optimal stopping boundary for the American put option can be characterized as the unique solution of a nonlinear integral equation arising from the early exercise premium representation. This settles the question raised in Myneni (1992) and dating back to McKean (1965) .     

Dynamic asset allocation when bequests are luxury goods

Luxury bequests impart systematic effects of age to an investor's optimal allocation: the expected percentage allocation to equities rises throughout retirement. When bequests are luxuries the marginal utility of bequests declines more slowly than the marginal utility of consumption. This is essentially lower risk aversion. As a retiree approaches death, her expected remaining lifetime utility is increasingly composed of bequest utility, and thus generates progressively lower risk aversion. A retiree responds by increasingly favoring the higher-return risky asset. Compared to standard preferences, luxury bequests elevate a retiree's average exposure to the risky asset, but the difference is small in early retirement.