ON THE TIMING OPTION IN A FUTURES CONTRACT

The timing option embedded in a futures contract allows the short position to decide when to deliver the underlying asset during the last month of the contract period. In this paper we derive, within a very general incomplete market framework, an explicit model independent formula for the futures price process in the presence of a timing option. We also provide a characterization of the optimal delivery strategy, and we analyze some concrete examples.     

VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM-STRUCTURE MODELS

Turnbull (1995) as well as Navatte and Quittard-Pinon (1999) derived explicit pricing formulae for digital options and range notes in a one-factor Gaussian Heath–Jarrow–Morton (henceforth HJM) model. Nunes (2004) extended their results to a multifactor Gaussian HJM framework. In this paper, we generalize these results by providing explicit pricing solutions for digital options and range notes in the multivariate Lévy term-structure model of Eberlein and Raible (1999) , that is, an HJM-type model driven by a d -dimensional (possibly nonhomogeneous) Lévy process. As a byproduct, we obtain a pricing formula for floating range notes in the special case of a multifactor Gaussian HJM model that is simpler than the one provided by Nunes (2004) .     

The Determinants of Implied Volatility: A Test Using LIFFE Option Prices

This paper presents and tests a model of the volatility of individual companies' stocks, using implied volatilities derived from option prices. The data comes from traded options quoted on the London International Financial Futures Exchange. The model relates equity volatilities to corporate earnings announcements, interest-rate volatility and to four determining variables representing leverage, the degree of fixed-rate debt, asset duration and cash flow inflation indexation. The model predicts that equity volatility is positively related to duration and leverage and negatively related to the degree of inflation indexation and the proportion of fixed-rate debt in the capital structure. Empirical results suggest that duration, the proportion of fixed-rate debt, and leverage are significantly related to implied volatility. Regressions using all four determining variables explain approximately 30% of the cross-sectional variation in volatility. Time series tests confirm an expected drop in volatility shortly after the earnings announcement and in most cases a positive relationship between the volatility of the stock and the volatility of interest rates.     

The Timing of Technology Adoption by a Cost-minimizing Firm

Received December 7, 1999; revised version received July 26, 2001     

ON THE ERROR IN THE MONTE CARLO PRICING OF SOME FAMILIAR EUROPEAN PATH-DEPENDENT OPTIONS

This paper studies the relative error in the crude Monte Carlo pricing of some familiar European path-dependent multiasset options. For the crude Monte Carlo method it is well known that the convergence rate   O ( n ^−1/2)  , where n is the number of simulations, is independent of the dimension of the integral. This paper also shows that for a large class of pricing problems in the multiasset Black-Scholes market the constant in   O ( n ^−1/2)  is independent of the dimension. To be more specific, the constant is only dependent on the highest volatility among the underlying assets, time to maturity, and degree of confidence interval.     

A hyperbolic diffusion model for stock prices

In the present paper we consider a model for stock prices which is a generalization of the model behind the Black–Scholes formula for pricing European call options. We model the log-price as a deterministic linear trend plus a diffusion process with drift zero and with a diffusion coefficient (volatility) which depends in a particular way on the instantaneous stock price. It is shown that the model possesses a number of properties encountered in empirical studies of stock prices. In particular the distribution of the adjusted log-price is hyperbolic rather than normal. The model is rather successfully fitted to two different stock price data sets. Finally, the question of option pricing based on our model is discussed and comparison to the Black–Scholes formula is made. The paper also introduces a simple general way of constructing a zero-drift diffusion with a given marginal distribution, by which other models that are potentially useful in mathematical finance can be developed.     

股票期权对自主创新企业人力资本激励的必要性研究

以人力资本股票期权激励的实质为切入点,从创新活动的特性、人的行为特征和人力资本的特性、提升人力资本价值和实现企业绩效四个角度,对自主创新企业实施股票期权激励人力资本的必要性进行深入分析,不难发现,在人力资本的投资和使用的过程中,必须要解决激励机制的问题,而激励问题在本质上是产权安排问题。从我国自主创新企业特定的角度看,对人力资本的有效激励就是实现人力资本所有者对企业控制权和经营索取权的分享。     

经理股票期权制在美、日的发展及对我国的启示

经理股票期权制是公司所有者赋予经理人的一项长期薪酬激励机制。美国是经理股票期权制的发源地 ,而日本的初始条件与我国相似之处。经理股票期权制在美国、日本的产生、发展的社会背景及现实条件对我国具有指导和借鉴意义     

MULTI‐ASSET STOCHASTIC LOCAL VARIANCE CONTRACTS

Variance swaps now trade actively over‐the‐counter (OTC) on both stocks and stock indices. Also trading OTC are variations on variance swaps which localize the payoff in time, in the underlying asset price, or both. Given that the price of the underlying asset evolves continuously over time, it is well known that there exists a semirobust hedge for these localized variance contracts. Remarkably, the hedge succeeds even though the stochastic process describing the instantaneous variance is never specified. In this paper, we present a generalization of these results to the case of two or more underlying assets.     

非对称信息下实物期权投资经理人的最优薪酬激励机制

在经理人努力水平和项目经营成本两种信息不对称的情况下．研究实物期权投资经理人的最优激励机制,综合应用实物期权理论和委托代理理论,在非对称信息为连续分布（区间上的均匀分布）的情况下建立了最优激励机制模型,并具体分析求解最优分成制合约,分析信息不对称对企业拥有者制定经理人最优激励合同的影响。