倒向随机微分方程在欧式期权中的应用

假设市场为无套利市场,而且市场上只有两种证券:一种是无风险债券;一种是有风险的股票。通过自筹资策略,得到期权价格所满足的倒向随机微分方程(BSDE),利用倒向随机微分方程给出欧式期权价格概率表示;并证明欧式期权的完全套期保值性。     

基于实物期权的军队油库设备投资改造决策模型研究

利用实物期权的投资决策理论对军事油库设备改造进行了探讨,针对投资项目所具有的时间选择期权和放弃期权的混合特征,根据决策树的思想,采用二项式期权定价理论和不确定规划方法,构造了一种以战略净现值最大化为投资目标的军队油库设备投资决策模型。该模型有效地评估了投资机会的价值,解释了投资者时机选择和投资期限决策行为,有助于提高油库资金的军事效益和经济效益。     

具有随机寿命的二维期权定价

由于期权合约在到期日之前可能被终止及标的资产的价格可能会因重大信息的到达而发生跳跃 ,文中在假设合约被终止的风险与重大信息导致的价格跳跃风险皆为非系统的风险情况下 ,应用无套利资本资产定价及Feynman kac公式 ,首先研究了标的资产服从连续扩散过程和跳—扩散过程具有随机寿命的交换期权定价 ,得到相应的定价公式 ;然后 ,研究了标的资产服从跳—扩散过程及利率随机变化具有随机寿命的期权定价 ,得到相应的定价公式     

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古代的债券就是现在所订立的合同，是一种契约。人们为了买卖或确立债权债务关系有所凭证，双方就要订立债券。债券用竹简做成，上面书写所要订立的内容，然后分为左右两片，双方各执其一，左片称为左券，由债主收执，作为以后索债的凭证，而右券则由借债人收执，作为偿还债务的凭证。     

随机利率情形下幂型期权定价问题

利用随机微分方程，鞅方法及测度变换等方法，讨论了随机利率情形下的幂型期权定价模型，并得到了随机利率情形下的幂型期权定价公式。     

战争债券与美国的战争筹资

战争债券作为战争动员的有效工具,在从独立战争到第二次世界大战期间为美国的战争筹资发挥了重要作用。战争债券筹资功能的演变与美国财政体制、经济实力和人民参战意愿的变迁密切相关。新世纪美国政府为激发民众的爱国热情重启战争债券的发行,但付出的财政代价高昂。     

武器装备研制投资决策方法研究

文章分别对武器装备研制投资决策的传统方法与实物期权方法进行研究，针对实物期权方法在武器装备研制投资决策中的应用研究现状，提出实物期权方法在武器装备研制投资决策中的应用问题需要进一步系统地研究。     

证券组合保险业务的兴衰

金融工程是一门将金融经济学、数学、计算技术及科学方法应用于金融资产的获得、运用和保护的学科。70年代初期,麻省理工学院的研究工作导致布莱克-舒尔茨-默顿期权定价公式的出现,标志着金融工程学的诞生。在麻省理工学院开展期权定价理论研究工作的同时,芝加哥大学、兰德公司、加州大学洛杉矶分校等单位的学者则在开展金融工程的另一个分支的研究工作──风险分析、证券     

实物期权思想在装备研制风险管理中的应用

本文研究了实物期权思想应用于装备研制风险管理的可能性 ,在给定了应用实物期权思想的基本假设后 ,通过示例说明了其应用方法。     

军人待遇期权制度研究

相对于传统的薪酬制度,军人待遇期权制度能向军事劳动力提供长期激励机制,将军事劳动力和国家(军队)利益更紧密地联系在一起,使其更注重国家(军队)价值和国家(军队)的长远发展。在激励资源稀缺的情况下,优化总体待遇资源结构,注重待遇期权对军人的长效激励功能,对减少军人短期机会主义行为,加强部队稳定性和凝聚力,提高部队战斗力极为必要。     

一类扩散过程的最优停止

金融数学中关于美式期权的定价理论最后归结为一个对扩散过程的最优停止问题,扩散过程是特殊的马氏过程,本文讨论了当报酬函数非负时的值函数性质及其最优停时的表示。特别对带折扣的报酬的讨论,更加符合金融数学的需要     

Auctions in the post‐change‐order period

A change order is frequently initiated by either the supplier or the buyer, especially when the contract is long‐term or when the contractual design is complex. In response to a change order, the buyer can enter a bargaining process to negotiate a new price. If the bargaining fails, she pays a cancellation fee (or penalty) and opens an auction. We call this process the sequential bargaining‐auction (BA). At the time of bargaining, the buyer is uncertain as to whether the bargained price is set to her advantage; indeed, she might, or might not, obtain a better price in the new auction. To overcome these difficulties, we propose a new change‐order‐handling mechanism by which the buyer has an option to change the contractual supplier after bargaining ends with a bargained price. We call this the option mechanism. By this mechanism, the privilege of selling products or services is transferred to a new supplier if the buyer exercises the option. To exercise the option, the buyer pays a prespecified cash payment, which we call the switch price, to the original supplier. If the option is not exercised, the bargained price remains in effect. When a switch price is proposed by the buyer, the supplier decides whether or not to accept it. If the supplier accepts it, the buyer opens an auction. The option is exercised when there is a winner in the auction. This article shows how, under the option mechanism, the optimal switch price and the optimal reserve price are determined. Compared to the sequential BA, both the buyer and the supplier benefit. Additionally, the option mechanism coordinates the supply chain consisting of the two parties. © 2015 Wiley Periodicals, Inc. Naval Research Logistics 62: 248–265, 2015     

有交易费的套期保值未定权益的最小债券价值量

讨论带交易费的多种股票的市场模型中未定权益的套期保值定价问题,提出折算函数作为总资产的一种较为合理的衡量方式,并来刻画套期保值策略,从而,利用鞅方法和折算函数的性质,得到带交易费套期保值未定权益的最小债券价值量结果。     

Timing of information acquisition in a competitive environment

This article investigates the impact of timing on sellers' information acquisition strategies in a duopoly setting. Market uncertainty is captured by a representative consumer who has a private taste for the product's horizontal attribute, and both sellers can acquire this information either before (ex‐ante acquisition) or after (ex‐post acquisition) observing their own product qualities. We identify several conflicting effects of information acquisition that vary significantly in its timing and market characteristics. In the monopoly scenario, information acquisition is unambiguously beneficial and ex‐ante acquisition is the dominant option, because it helps a seller not only design the proper product but also craft better pricing strategy. By contrast, when there is competition, information acquisition eliminates the buffer role of market uncertainty and leads to the fiercest production or pricing competition, which makes the subsequent effects of acquisition detrimental, and a seller's payoff is nonmonotonic in terms of its acquisition cost. Moreover, compared with the ex‐ante information acquisition, ex‐post information acquisition normally generates higher sellers' equilibrium payoffs by postponing the timing of acquisition and maintaining product differentiation. Nonetheless, ex‐post information acquisition also provides the seller with greater acquisition incentive and occasionally makes him worse off than that in the ex‐ante scenario. Thus, in a competitive environment, having the option of information acquisition and flexibility in its timing can be both detrimental and irresistible. © 2016 Wiley Periodicals, Inc. Naval Research Logistics 63: 3–22, 2016     

A note on a maximin disposal policy under nwue pricing

For the classical disposal model for selling an asset with unknown price distribution which is NWUE (new worse than used in expectation) with a given finite mean price, this note derives a policy which is maximin. The gain in using the maximin policy relative to the option of selling right away is convex decreasing in the continuation cost to mean price ratio. The relevant results of Derman, Lieberman and Ross also follow as a consequence of our analysis. Our theorem provides a practical justification of their main result on the cutoff bid for the disposal model subject to NWUE pricing.     

Dissolution of an Empire: Insights from the İstanbul Bourse and the Ottoman War Bond

During the transformation period of the Ottoman Empire leading to the Republic of Turkey, many conflicts took place between 1918 and 1923. These conflicts interrupted the servicing of the Ottoman war bond. The reimbursement likelihood of this bond was related to the outcomes of First World War and the hostilities. This paper analyses the impacts of First World War and hostilities on the risk assessments regarding the Ottoman war debt, using manually collected data on the price of the Ottoman war bond traded at the ?stanbul bourse between 1918 and 1925. The empirical results imply that the defeat of the Bulgarian army and the peace offer of Austria-Hungary were associated with the increasing premium demanded by investors of the bond. The victories of the Turkish National Movement and the peace offer of the Allies to end the hostilities by 1922 positively affected the likelihood of the servicing of the debt.     

Capacity expansion under a service‐level constraint for uncertain demand with lead times

For a service provider facing stochastic demand growth, expansion lead times and economies of scale complicate the expansion timing and sizing decisions. We formulate a model to minimize the infinite horizon expected discounted expansion cost under a service‐level constraint. The service level is defined as the proportion of demand over an expansion cycle that is satisfied by available capacity. For demand that follows a geometric Brownian motion process, we impose a stationary policy under which expansions are triggered by a fixed ratio of demand to the capacity position, i.e., the capacity that will be available when any current expansion project is completed, and each expansion increases capacity by the same proportion. The risk of capacity shortage during a cycle is estimated analytically using the value of an up‐and‐out partial barrier call option. A cutting plane procedure identifies the optimal values of the two expansion policy parameters simultaneously. Numerical instances illustrate that if demand grows slowly with low volatility and the expansion lead times are short, then it is optimal to delay the start of expansion beyond when demand exceeds the capacity position. Delays in initiating expansions are coupled with larger expansion sizes. © 2009 Wiley Periodicals, Inc. Naval Research Logistics, 2009