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1.
2.
The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims 总被引:2,自引:0,他引:2
We propose a new methodology for the valuation problem of financial contingent claims when the underlying asset prices follow a general class of continuous Itô processes. Our method can be applied to a wide range of valuation problems including complicated contingent claims associated with the term structure of interest rates. We illustrate our method by giving two examples: the valuation problems of swaptions and average (Asian) options for interest rates. Our method gives some explicit formulas for solutions, which are sufficiently numerically accurate for practical purposes in most cases. The continuous stochastic processes for spot interest rates and forward interest rates are not necessarily Markovian nor diffusion processes in the usual sense; nevertheless our approach can be rigorously justified by the Malliavin–Watanabe Calculus in stochastic analysis. 相似文献
3.
This paper studies the approximation accuracy of a singular perturbation method for option pricing up to the second order
under a stochastic volatility model. First, numerical experiments confirm that the first order approximation provides sufficiently
accurate option prices in a fast mean-reversion volatility case. On the other hand, it creates relatively large errors in
a non-fast mean-reversion volatility environment. Then, the second order approximation formula is derived and the improvement
of the approximation is investigated. 相似文献
4.
Akihiko Takahashi 《Asia-Pacific Financial Markets》1999,6(2):115-151
We propose a new methodology for the valuation problem of financial contingent claims when the underlying asset prices follow a general class of continuous Itô processes. Our method can be applicable to a wide range of valuation problems including contingent claims associated with stocks, foreign exchange rates, the term structure of interest rates, and even their combinations. We illustrate our method by discussing the Black-Scholes economy when the underlying asset prices follow the continuous diffusion processes, which are not necessarily time-homogeneous. The standard Black-Scholes model on stocks and the Cox-Ingersoll-Ross model on the spot interest rate are simple examples. Then we shall give a series of examples on the valuation formulae including plain vanilla options, average options, and other contingent claims. We shall also give some numerical evidence of the accuracy of the approximations we have obtained for practical purposes. Our approach can be rigorously justified by an infinite dimensional mathematics, the Malliavin-Watanabe-Yoshida theory recently developed in stochastic analysis. 相似文献
5.
Kenji Matsui 《International Journal of Production Economics》2011,134(2):375-387
This paper explores the economic roles of resale price maintenance (RPM) in supply chains for a specific product, when consumers have taste heterogeneity and the manufacturer faces demand uncertainty. Two transaction schemes within supply chains are compared: (1) RPM, and (2) decentralized pricing in a competitive market environment. With decentralized pricing, a manufacturer loses the incentive to produce a product in categories where the probability that the manufacturer fails to design the product as suitable to public tastes of consumers is high. However, RPM resolves the problem and induces the manufacturer to supply the good, bringing positive surplus to consumers. 相似文献
6.
Kenji Matsui 《International Tax and Public Finance》2012,19(6):800-818
This paper derives an appropriate standard price that can be used by the tax authorities of a country for auditing transfer prices in multinational firms (MNFs) for the purpose of social welfare maximization of the country. We assume that the corporate tax rate in the host country, where MNFs undertake foreign direct investment to locate their manufacturing divisions, is lower than that in the home country. Our conclusion is that the tax authorities of the home country should not always force MNFs to hold down the transfer price through a too strict audit standard if it aims to maximize social welfare of the country in the long-run equilibrium. This result implies that tax authorities face a trade-off between consumer welfare and tax revenue when determining the standard price used for auditing. One notable implication is that the tax authorities should raise the upper-limit price allowed for internal transfers as the elasticity of substitution between brands for consumers decreases. 相似文献
7.
Several studies have reported a 'V'-shaped relationship between short-term temperature and mortality rates, characterized by mortality rates that are higher when the temperature is extremely low or high than when the temperature is moderate. To quantify the effect of adaptation to a certain climate on this V-shaped short-term temperature-mortality relationship, we studied the prefecture-specific relationship between daily maximum temperature and mortality rates for 65+-years-old Japanese from 1972 to 1990. For both genders, the optimum daily maximum temperature (OT) category at which the mortality rate was minimum ranged from 23C-28 C to 33+C, and the OT level became lower when the climate became colder. The mean OT level was lower for women than for men by 1.7C. The mortality rate at the OT was almost constant across prefectures, regardless of the climate. From the results, we considered that the adaptation effect on the short-term temperature-mortality relationship is mainly described by the 'horizontal shift model': the V-shape moves horizontally according to the climate. This 'shift' should be taken into account in estimating the health effect of global warming, and the model would be useful for the estimation. 相似文献
8.
9.
Akihiko Ohno 《International Journal of Human Resource Management》2013,24(18):3742-3757
Industrial advancements in developing economies have brought with them the primacy of discretionary tasks over simple tasks in production. Differing characteristics of these separate types of tasks may require distinct incentive mechanisms to elicit work effort from employees. Using the data collected from 954 blue-collar production workers, this study examines changes in incentive mechanisms with industrial advances by testing the relative validity of major motivation models between low- and high-skill industries in Vietnam. Our results indicate that the gift exchange model gains ascendancy over the mainstream economic model as developing economies upgrade their industrial structures. 相似文献
10.
This paper examines the effect of a consumption tax on economic growth using an overlapping generations (OLG) model with money
holdings. We show that the neutrality of the consumption tax does not hold in the money-in-the-utility-function model, because
a change in consumption taxation induces the substitution of money holdings for consumption, and the money is the net wealth
within the OLG structure. An increase in the consumption tax rate lowers (raises) the growth rate under a low (high) monetary
expansion rate. On the other hand, in the cash-in-advance model and the money-in-the-production-function model, the neutrality
of consumption taxation holds even within the OLG structure, because in these models there is no substitution of consumption
and money holdings. 相似文献