基于实物期权的布图设计价值评估

针对布图设计产业化过程中的不确定性、风险差异性和投资决策的动态序列性,提出了基于实物期权的布图设计价值评估模型,并通过算例分析证明了实物期权方法的客观性和有效性.     

基于BSSDEs的一般跳过程的可违约期权的定价模型

本文采用均值-方差对冲方法, 对具有一般跳过程, 存在违约风险的期权定价做了深入研究, 首先建立了基于违约过程的半鞅的鞅表示定理, 其次定义最优方差鞅测度并构建两个倒向半鞅随机微分方程, 然后找出使成本函数最小的最优投资策略, 从而给出其定价公式. 本文的主要贡献在于首次给出了可违约半鞅过程的倒向随机半鞅微分方程, 并且给出了具有一般跳过程的可违约期权的定价公式, 具有一定的理论意义.     

有限差分方法在期权定价中的应用

偏微分方程的有限差分解法是通过将偏微分方程离散化为差分方程，求得微分方程的近似解。通过研究在期权定价中，价格是随机的期权定价方程的有限差分解法，并与二叉树图法、标准的Black-Scholes定价模型求得的解相比较，得出3种方法的解具有相似性的结论。     

基于扩展性线性支出理论的阶梯水价模型

水资源的供需矛盾正随着社会经济的快速发展显的尤为突出.制定合理的水价是节约用水,提高水资源利用率和分配率的主要手段.以公平和效率的视角,分析了阶梯式供水定价方法的突出优点.在扩展性线性支出理论的基础上,建立阶梯式水价模型,并以上海市为例,利用建立的模型,模拟了阶梯式水价实施所产生的节水效果.     

The impact of parameter uncertainty in insurance pricing and reserve with the temperature‐related mortality model

Changes in mortality rates have an impact on the life insurance industry, the financial sector (as a significant proportion of the financial markets is driven by pension funds), governmental agencies, and decision makers and policymakers. Thus the pricing of financial, pension and insurance products that are contingent upon survival or death and which is related to the accuracy of central mortality rates is of key importance. Recently, a temperature‐related mortality (TRM) model was proposed by Seklecka et al. (Journal of Forecasting, 2017, 36(7), 824–841), and it has shown evidence of outperformance compared with the Lee and Carter (Journal of the American Statistical Association, 1992, 87, 659–671) model and several others of its extensions, when mortality‐experience data from the UK are used. There is a need for awareness, when fitting the TRM model, of model risk when assessing longevity‐related liabilities, especially when pricing long‐term annuities and pensions. In this paper, the impact of uncertainty on the various parameters involved in the model is examined. We demonstrate a number of ways to quantify model risk in the estimation of the temperature‐related parameters, the choice of the forecasting methodology, the structures of actuarial products chosen (e.g., annuity, endowment and life insurance), and the actuarial reserve. Finally, several tables and figures illustrate the main findings of this paper.     

Forecasting Temperature Indices Density with Time‐Varying Long‐Memory Models

The hedging of weather risks has become extremely relevant in recent years, promoting the diffusion of weather‐derivative contracts. The pricing of such contracts requires the development of appropriate models for the prediction of the underlying weather variables. Within this framework, a commonly used specification is the ARFIMA‐GARCH. We provide a generalization of such a model, introducing time‐varying memory coefficients. Our model satisfies the empirical evidence of the changing memory level observed in average temperature series, and provides useful improvements in the forecasting, simulation, and pricing issues related to weather derivatives. We present an application related to the forecast and simulation of a temperature index density, which is then used for the pricing of weather options. Copyright © 2011 John Wiley & Sons, Ltd.     

Pricing of basket options using univariate normal inverse Gaussian approximations

In this paper we study the approximation of a sum of assets having marginal log‐returns being multivariate normal inverse Gaussian distributed. We analyse the choice of a univariate exponential NIG distribution, where the approximation is based on matching of moments. Probability densities and European basket call option prices of the two‐asset and univariate approximations are studied and analysed in two cases, each case consisting of nine scenarios of different volatilities and correlations, to assess the accuracy of the approximation. We find that the sum can be well approximated, failing, however, to match the tails for some extreme parameter choices. The approximated option prices are close to the true ones, although becoming significantly underestimated for far out‐of‐the‐money call options. Copyright © 2010 John Wiley & Sons, Ltd.     

投资机会决策中分数布朗运动理论

根据现代期代理论将投资决策机会视作一种期权,当投资价值（Ｖ）和初始支出（Ｃ）是随时间变化的维纳过程时,根据Ｂlack-Scholes公式给出投资机会的定价模型,当Ｖ和Ｃ是Ｈ（Ｈ≠１／２）指数的分数布朗运动时,则Ｉto微分议程形式将改变,Ｂlack-Scholes公式失效,讨论了Ｈ指对投资决策的影响,给出此时根据Ｈ指数的投资决策的步骤和策略。     

一种基于价格理论的公平呼叫接纳控制方案

传统的CAC策略主要关注的是如何协调阻塞率和中断率使得资源利用率最大,但在多媒体业务接入CDMA通信系统时,大业务量流媒体业务一旦接入,将掠夺性地占用资源,从而使得其他类型的业务不能公平地共享资源.通过采用柯布.道格拉斯效用函数构造了一种价格函数,在保证资源利用率的前提条件下,实现了在不同的负载条件下各类业务之间资源使用的公平性.     

基于二项式期权定价模型的商标权价值评估方法研究

通过分析商标权的期权性质,考虑商标权具有多种实物期权的特点,从商标投产后,商标权所有人在商标投资项目中拥有的不同选择权的角度出发,应用二项式定价模型评估商标权价值,并结合案例说明商标权所包含的期权价值,以期为商标权价值评估提供一个新的视角.