因果复合实物期权的定价

目前关于因果复合实物期权的定价研究主要局限于把金融复合期权定价的Geske模型进行各种形式的改造,但是这种模型一般只适合于对只具有一个标的变量和只具有一个不确定性来源的因果复合实物期权进行定价.本文的主要贡献就是对具有多个标的变量和多个不确定性来源的因果复合实物期权的定价方法和模型进行了探讨,并指出了这种新模型也适用于一个标的变量和一个不确定性来源的情况,最后对含有因果复合实物期权的投资项目价值进行评价.     

平行复合实物期权的定价研究

借助随机动态规划方法建立了多阶段平行复合实物期权的定价模型,对平行复合实物期权的定价模型进行了探讨,进而对含有平行复合实物期权的投资项目价值进行评价得出:随机动态规划方法是对以一个投资项目为标的资产的平行复合实物期权进行定价的有效工具.     

不可交易标的资产的实物期权定价方法

标的资产的不可交易性是实物期权定价遇到的主要难题之一，现有实物期权定价方法正是由于忽略了这一点从而不可避免的都存在不同程度的缺陷。为此，本文提出了不可交易标的资产实物期权价值的确定方法——分解法。分解方法认为，通过对标的资产价值决定因素的层层分解，总能找到一个(些)最下层级(终极)的外生自变量，其波动服从某个已知的随机过程(比如说伊藤过程)，然后应用伊藤定理或数值模拟方法就可以求出标的资产的价值Vt，再将Vt代入期权计算公式就可以对标的资产不可交易的实物期权的定价。最后本文还以一个风险投资项目中的扩张实物期权定价为例对这种分解思想进行了说明。     

基于正态云的实物期权定价方法

实物期权一般假定期望现金流现值和投资成本为确定值,实际上由于风险投资项目的高不确定性,因而假设是不现实的,所以一些学者用模糊数学的方法对实物期权做了研究.云模型反映了随机性和模糊性的关联性.在这些研究的基础上,引入正态云模型表示投资的期望现金流现值和投资成本,得到一种新的实物期权的计算方法,并给出算例.     

现代生物技术管理中的实物期权定价方法

根据现代生物技术开发周期长、发展阶段多、高技术风险和高市场风险并存的特征,以阶段门模型为基础,构建了改进的二项式实物期权定价模型。与传统二项式模型相比,改进后的模型区分了技术风险和市场风险,并在期权计算公式中增加了技术成功概率参数,反映了现代生物技术项目的内在特征。最后以新药开发项目为例,详细介绍了模型在现代生物技术产品定价分析中的应用。     

基于区间分析的实物期权定价

实物期权定价中一般假定期望现金流现值和投资成本为确定值,实际上,由于风险投资项目的高度不确定性,该假设是不现实的。针对此问题,提出了基于区间分析的实物期权定价方法。详细介绍了基于区间分析的分布函数估计方法;提出了在实物期权定价中将不确定的输入变量表示为随机变量,基于区间分析,并利用Black-Scholes公式为之定价,得到期权值的分布函数;最后,通过实例验证了该方法的有效性。     

实物期权中放弃期权与增长期权的相互影响研究

利用概率方法,研究了实物期权组合中放弃期权和增长期权之间的影响关系,并给出了具体的解析计算公式.     

一种含有价值漏损的实物期权定价模型

期权价值是从与期权有相同损益的流通证券组合的价值推演出来的。但实际上，由于价值“漏损”的存在，期权价值与流通证券组合价值之间存在一定的偏差。通过增加一个漏损参数(可看作资产的固定比例δ)对二叉树期权定价模型进行修正。同时，针对传统实物期权定价中参数u、d计算方法的不足，重新构造参数计算公式。最后，应用一个装备生产企业的实例，对传统模型与所构造模型的期权价值进行了比较。     

风险项目投资决策与实物期权估价方法

讨论了实物期权的存在对风险项目投资决策的影响,分析传统的净现值方法与期权方法的联系,提出基于期权定价方法的改进净现值模型,并通过一个扩大投资问题研究了成长期权的价值。     

实物期权在专利权价值评估中的应用

专利权的价值评估 ,在我国经济发展过程中起着非常重要的作用 ,根据具体实施专利权过程中的不确定性 ,针对专利权价值评估传统方法的一些缺陷 ,引入了实物期权价值评估方法 ,利用实物期权理论研究了专利权的价值评估问题 ,并利用实物期权定价公式给出了专利权的价值评估公式 .     

Fair and Open Approach to Academic Publishing

The Journal Systemic Practice and Action Research (SPAR) aims to encourage into print authors and practitioners of systemic thinking and practice from all kinds of background. In this note we describe both the publishing world into which SPAR has emerged and the systemic and inclusive thinking behind the journal’s publishing policy. We set out our manifesto for a fair and open approach to academic publishing. “A rich and diverse set of potential bibliometric and scientometric predictors of research performance quality and importance are emerging today—from the classic metrics (publication counts, journal impact factors and individual article/author citation counts) to promising new online metrics such as download counts, hub/authority scores and growth/decay chronometrics. In and of themselves, however, metrics are circular: They need to be jointly tested and validated against what it is that they purport to measure and predict, with each metric weighted according to its contribution to their joint predictive power. The natural criterion against which to validate metrics is expert evaluation by peers; a unique opportunity to do this is offered by the 2008 UK Research Assessment Exercise, in which a full spectrum of metrics can be jointly tested, field by field, against peer rankings.” (Harnard 2008)     

A Model for Valuing Military Talents

1　 IntroductionWith the development of science and technology,more and more high-tech talents areneeded in the army.How to collocate these talents is a problem for military leaders.If atalent works in a properposition,he can exerthis potential powersto w…     

Brockett's Second Example: A FAS Approach Treatment

In this paper, several equivalent forms of the well-known Brockett’s second example system are firstly presented. The stabilization of the system is then treated in the fully actuated system approach. A simple continuous time-invariant sub-stabilizing controller is designed, and the corresponding region of attraction is characterized. As a result, all trajectories of the system starting from the characterized region of attraction are driven exponentially to the origin. Since the region of attrac...     

具有撤销权的拍卖模型

对于拍卖品的最终估价,投标人面临着不确定性,在拍卖之后不确定性得到消除。在第一价格密封拍卖环境下,从拍卖方来说,引进具有撤销权的拍卖可能是适宜的。当存在拍卖品给投标人带来负的或较低效用的情况时,通过引进有撤销权拍卖,可改善拍卖方的预期收益;而当拍卖品给投标人带来较高效用时,拍卖方的预期收益在不采用撤销权的拍卖中更高,拍卖人就没有兴趣采用有撤销权的拍卖方式。     

基于系统动力学的供应链稳定性研究

为了提高供应链系统的稳定性,基于系统动力学方法建立了具有两种典型延迟模式(一阶指数延迟和纯时间延迟)的二级供应链系统模型,并定义了供应链稳定性概念及判据。通过对模型进行仿真,得到了不同含义下供应链系统的稳定边界,统一了不同研究方法的结论。结果表明,供应链的稳定性主要取决于系统的反馈控制结构,决策者主观偏好与外部环境必须通过反馈控制结构才能影响系统稳定性,加强信息共享有利于提高系统稳定性并削弱牛鞭效应。     

The Dynamics of Operational Problem-Solving: A Dual-Process Approach

Systemic Practice and Action Research - Adopting a systems thinking perspective, this study establishes the micro-foundation of two distinct behavior modes in the context of operational...     

Re-framing Prostitution in Indonesia: A Critical Systemic Approach

This study applies critical systems thinking as a process to respond to and offer recommendations to address prostitution policy in Indonesia. The article addresses social, economic and environmental aspects of prostitution. The analysis centres on the way in which prostitution is framed by the different interest groups in Indonesia, and highlights the current crisis in policy-making praxis in Indonesia. The article develops a case for systemic policy praxis, and aims to: (1) Make a case for re-framing the issue of prostitution in the sense that it addresses the ‘capabilities’ prostituted women and children ought to have (see Sen in Development as freedom, Oxford University Press, Oxford, 1999 and Nussbaum in Women and human development: the capabilities approach, Cambridge University Press, Cambridge 2000). (2) Re-frame the policy response to prostitution to address life chances and human dignity. (3) Assert that the lack of attention to a just and fair human rights for all is due to a policy-making gap where ‘systemic intervention’ is required to restore human dignity.     

Dynamic Event-Triggered Control for Nonlinear Systems: A Small-Gain Approach

An event-triggered control(ETC) system transmits data packages and updates control inputs only when the predefined criterion is satisfied. In this way, network communication and computing resources are scheduled more reasonably in contrast to the traditional periodic sampling strategy.Small-gain approach proposed in recent literatures is a new modeling method to deal with nonlinear ETC systems. Different from traditional ETC models, stability criteria are proposed in the form of input to state stability(ISS) gain to design the triggering mechanisms. This paper introduces additional dynamic variables in this model and proposes a small-gain based dynamic event-triggered strategy.Sufficient conditions to guarantee the stability of the system are derived with the help of cyclic-smallgain theorem and Zeno behaviors are avoided to ensure the feasibility of this method in practical applications. Numerical simulations are given to demonstrate the effectiveness of our approach.     

Stabilization via Fully Actuated System Approach: A Case Study

Journal of Systems Science and Complexity - In this note, a benchmark example system which is not stabilizable by a smooth state feedback controller is considered with the fully actuated system...     

Normative Evaluation of Community Projects: A Multimodal Systems Approach

This paper introduces an evaluation method for community projects based on the multimodal systems approach. The method differs from the common mechanistic approach to evaluation in four ways. Firstly, it uses the long-term life (viability) of a community as the ultimate criteria of evaluation. Secondly, it is normative; that is, it focuses on the responsibility of people to their own community and for managing their own lives. Thirdly, it is dynamic; it identifies factors that threaten a community and examines their dynamic link and long-term impact on the community. Fourthly, it evaluates the adequacy of a community activity (good practice) to help ensure its long-term viability. The method is illustrated with a European Union sponsored project.