Semistatic hedging and pricing American floating strike lookback options

We price an American floating strike lookback option under the Black–Scholes model with a hypothetic static hedging portfolio (HSHP) composed of nontradable European options. Our approach is more efficient than the tree methods because recalculating the option prices is much quicker. Applying put–call duality to an HSHP yields a tradable semistatic hedging portfolio (SSHP). Numerical results indicate that an SSHP has better hedging performance than a delta-hedged portfolio. Finally, we investigate the model risk for SSHP under a stochastic volatility assumption and find that the model risk is related to the correlation between asset price and volatility.     

Hedging and pricing early-exercise options with complex fourier series expansion

We introduce a new numerical method called the complex Fourier series (CFS) method proposed by Chan (2017) to price options with an early-exercise feature—American, Bermudan and discretely monitored barrier options—under exponential Lévy asset dynamics. This new method allows us to quickly and accurately compute the values of early-exercise options and their Greeks. We also provide an error analysis to demonstrate that, in many cases, we can achieve an exponential convergence rate in the pricing method as long as we choose the correct truncated computational interval. Our numerical analysis indicates that the CFS method is computationally more comparable or favourable than the methods currently available. Finally, the superiority of the CFS method is illustrated with real financial data by considering Standard & Poor’s depositary receipts (SPDR) exchange-traded fund (ETF) on the S&P 500® index options, which are American options traded from November 2017 to February 2018 and from 30 January 2019 to 21 June 2019.     

如何计算认股权证的资本成本

认股权证作为一种长期资金的筹资方式 ,其资本成本必须予以考虑。但是使用传统资本成本计算方法不能反映其真实成本。本文尝试使用B -S和CAPM模型来计算其资本成本 ,并用实例说明     

规范劳动合同制是地勘单位用工制度改革的关键

文章认为,计划经济体制下形成的,地勘单位采用行政命令配合思想政治工作的方式,对固定职工进行各个用工环节的管理模式,已不适合市场经济条件和经济全球化的要求,地勘单位必须规范劳动合同制管理,进行用工制度改革。文章分析了地勘单位劳动管理现状,论述了实行劳动合同制管理的必然性和紧迫性,以及现今地勘单位在规范劳动合同管理方面存在的差距。最后提出了地勘单位规范全员劳动合同制管理的四项措施建议。     

员工关系管理理论综述

国内外企业经营管理实践证明，和谐的员工关系不仅能帮助企业赢得人才、留住人才，而且可以使企业管理和业务的运作效率大幅提升，从而更有效的实现企业的经营目标。文章对国内外员工关系管理的研究进展及成果进行了一定的综述，并在此基础上对符合我国国情的员工关系管理做出了一些探讨。最后，文章对员工关系管理需要进一步深入研究的问题提出了几点看法。     

Replacement Investment: Optimal Economic Life Under Uncertainty

Replacement investment is essentially a regenerative optimal stopping problem; that is, the key decision concerns when to terminate the life of existing plant – and hence when to start over again. This paper examines this optimisation problem within a continuous time framework and studies the qualitative and quantitative impact of uncertainty on the timing of new investment (and the criteria that should be used for terminating the life of existing plant).     

A Dynamic Analysis of Fixed- and Adjustable-Rate Mortgage Terminations

This paper provides a side-by-side comparison of loan-level statistical models for fixed- and adjustable-rate mortgages. Multinomial logit models for quarterly conditional probabilities of default and prepayment are estimated. We find that the estimated impacts of embedded option values for prepayment and default are generally quite similar across both FRM and ARM loans, providing additional empirical support for the basic predictions of the options theory. We also find that differences in estimates of conditional probabilities of prepayment and default associated with mortgage age, origination period, original LTV, and relative loan size, indicate the continued significance of these other economic and demographic factors for empirical models of mortgage terminations.     

股票期权的个人所得税问题探讨

股票期权制度是一种新型的薪酬激励制度。股票期权制度作为富有成效的激励制度之一，在发达国家得到了广泛的应用，已成为市场经济国家和地区的企业对员工进行长期激励的非常普遍的方式。近两年来，股票期权成为我国企业改革和发展的一个热门话题，并在部分企业开始实施。如何针对股票期权所得的特点，并借鉴国外经验，制定相应的税收政策，是我们迫切需要解决的问题。本对我国股票期权所得税目、纳税义务发生时间、计税依据、税收优惠及税收征管等作了较为详细的探讨。     

Option Trading and the Intervalling Effect Bias in Beta

Prior studies show that the beta coefficient of a security changes systematically as the length of measurement interval is varied. This phenomenon, which is called the intervalling effect bias in beta, has been attributed to the friction in the trading system that causes the delays in the price-adjustment process. This study shows that option listing is associated with a decline in the beta intervalling effect bias. The decline is most pronounced for small firms. We also find that our sample firms grow significantly after option listing. Since prior research indicates that market value is a major determinant of the magnitude of the intervalling effect, we re-examine our results using a subsample that controls for market value. The results indicate that the decline in the beta bias from the pre-listing to post-listing period is still prevalent after we control for the change in firm size. Overall, the evidence is consistent with the notion that option trading reduces the delays in the price-adjustment process, which in turn reduces the intervalling effect bias in beta.     

超市寄包的法律思考

本文试图对商业流通企业中存在的两种寄存包行为的行为性质进行法律分析,并对此引起的法律责任,产生的法律后果作一理论上的探讨,以求正确界定它们,保护消费者与商业企业的合法权益。