A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS

This paper gives a tree-based method for pricing American options in models where the stock price follows a general exponential Lévy process. A multinomial model for approximating the stock price process, which can be viewed as generalizing the binomial model of Cox, Ross, and Rubinstein (1979) for geometric Brownian motion, is developed. Under mild conditions, it is proved that the stock price process and the prices of American-type options on the stock, calculated from the multinomial model, converge to the corresponding prices under the continuous time Lévy process model. Explicit illustrations are given for the variance gamma model and the normal inverse Gaussian process when the option is an American put, but the procedure is applicable to a much wider class of derivatives including some path-dependent options. Our approach overcomes some practical difficulties that have previously been encountered when the Lévy process has infinite activity.     

U.S. and Latin American stock market linkages

This paper examines to what extent the Latin American equity markets of Argentina, Brazil, Chile and Mexico have become more integrated with the US equity market. We empirically measure integration by finding the dynamic conditional correlation (DCC) between each market and that in the U.S. using a DCC multivariate GARCH model. We then track how these correlations evolve over time using a smooth transition model which not only shows when greater integration first occurred but also how long it took these correlations to transition to their new levels. Our sample period stretches from December 30th, 1988 to March 26th, 2004. Results show an increase in the degree of co-movement between these countries’ equity returns and those in the U.S. although the magnitude and speed of these increases greatly varies across these four countries.     

英美文学经典融入大学英语教学的路径

英美文学经典能够激发学生的阅读兴趣,提升学生的思辨能力,提高学生的伦理道德修养以及审美情趣.应修订大学英语教学大纲,增设与英美文学相关的拓展课程,有针对性地选编教材,改进教学模式,将文学经典融入大学英语教学.     

十年反恐对美国及世界政治的影响

2011年5月1日基地组织头目本.拉登被美国击毙。从某种意义上说,这标志着美国十年反恐之路的终结。文章通过比较9.11事件前后的反恐战略来分析十年反恐给美国及世界政治造成的深刻影响。9.11前的美国反恐主要针对其认定的某些＂支恐＂国家。9.11事件发生后,恐怖主义是美国国家安全的最大威胁,美国出台了反恐战略,发动了阿富汗和伊拉克两场战争。美国反恐付出了巨大经济代价,使中东更加动荡不安,也给新兴发展国家提供了崛起的历史机遇。     

试论美国钢铁保障措施及中国之应对

美国钢铁保护由来已久,美国总统3月5日宣布启动201条款实施钢铁保障措施的决定,引来世界各国注目。201条款带有贸易保护主义色彩且存在法律漏洞。此外,本文就WTO保障条款浅析美国保障措施的不合法之处,并就我国实际情况,针对美国钢铁保障措施做出应对之策,完善我国保障措施立法。     

国外企业激励管理经验对我国企业的借鉴价值

激励是人力资源开发的重要手段,激励管理是人力资源管理的重要内容.本文概述了美国企业实行用人激励、长期激励、福利激励和奖酬激励等经验和做法,同时介绍了日本企业实行发展激励、内与外结合激励、正与负结合激励以及挫折激励的经验和做法,在此基础上论述国外企业激励管理经验和做法对我国企业的借鉴价值.     

"美国梦" 的悲剧——《了不起的盖茨比》和《推销员之死》比较

通过比较阿瑟·米勒的作品《推销员之死》和菲茨杰拉德的《了不起的盖茨比》,对美国梦形成的政治、经济和社会的因素及美国梦造成的悲剧进行分析,我们可以认识到美国20世纪30年代的社会特点和社会环境给人的精神带来的影响,从而启迪人们对人生价值、人类命运和社会前途予以关注与思索,以期使人类走向完善境界.