NONCONVEXITY OF THE OPTIMAL EXERCISE BOUNDARY FOR AN AMERICAN PUT OPTION ON A DIVIDEND‐PAYING ASSET

We prove that when the dividend rate of the underlying asset following a geometric Brownian motion is slightly larger than the risk‐free interest rate, the optimal exercise boundary of the American put option is not convex.     

Basket CDS pricing with interacting intensities

We propose a factor contagion model for correlated defaults. The model covers the heterogeneous conditionally independent portfolio and the infectious default portfolio as special cases. The model assumes that the hazard rate processes are driven by external common factors as well as defaults of other names in the portfolio. The total hazard construction method is used to derive the joint distribution of default times. The basket CDS rates can be computed analytically for homogeneous contagion portfolios and recursively for general factor contagion portfolios. We extend the results to include the interacting counterparty risk and the stochastic intensity process. The authors thank two anonymous referees for several suggestions which have helped to improve the earlier versions. The authors thank Sheng Miao for help in implementation with C++, Huiqi Pan for help in implementation with Fortran, and Xiaozhou Cao for help in implementation with MAPLE. Harry Zheng thanks the London Mathematical Society for its collaborative grant support (Grant 4544 and Grant 4707).     

我国A股市场定向增发定价的实证研究

本文以2006—2008年6月实施定向增发的200家上市公司为样本,利用多元线性回归模型对定向增发定价的影响因素进行了实证分析。结果表明,如果发行公司的控股股东、实际控制人或其控制的关联人参与定向增发,则定向增发的发行折价率较大,其认购比例越大,折价率越大;在发行过程中,发行对象关注的是上市公司的发展能力和拟投资项目的风险,发行前公司的财务状况对定价的影响不显著;公司的股本规模有着稳定发行价格的作用。     

CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET

We show that the optimal exercise boundary for the American put option with non-dividend-paying asset is convex. With this convexity result, we then give a simple rigorous argument providing an accurate asymptotic behavior for the exercise boundary near expiry.