Abstract: In this paper, we assume the R&D research for new products and new business models of an entrepreneur will get some cash-flow in the future. And because of the patent protection, the entrepreneur will become a monopolist in that defined market. The successful R&D research represents the growth value for the entrepreneur. We assume that the value of growth is the value of the entrepreneur. The total market value of entrepreneur can be understood as a real growth option plus a discounted real exchange option. The first time in the theory, this paper gets the formula of the real compound option under three stochastic parameters. 关键词：创业企业，增长价值，定价，复合实物期权 Keywords: entrepreneur, growth value, pricing, compound real option

本文提出了基础资产为无红利分配股票的美式看跌期权的第一个闭合计算公式。美式看跌期权赋予其持有人在期权存续期的任一时刻、以约定价格出售股票的权利但非义务。在过去的几十年中，特别是在Black-Scholes模型给出欧式期权的定价公式后，人们在美式期权的定价方面做了大量探索，提出了不少方法，但尚无闭合公式求法。本文提出了一个美式看跌期权提前行权的最优策略，即当且仅当一个美式看跌期权被提前行权时的收益大于其对应的欧式看跌期权的价值时，该美式看跌期权才会被提前行权。基于这一策略，本文提出了一系列紧密关联的定理并最终推出了一个闭合计算公式。另外，基于该闭合公式得出的结论，本文还指出了Merton（1973）有关永久美式看跌期权(perpetual American put option)的模型是不妥的，明确指出永久美式看跌期权（股票无红利）的价格等于该期权的执行价格。This paper proposes a closed form solution for pricing an American put option on a non-dividend paying stock. An American put option grants its holder rights, but not obligation to sell a stock in a fixed price at any time up until maturity. In the past decades, there is no closed form solution for pricing American options although many people made great efforts. In this paper, an optimally early exercise strategy of an American put option on a non-dividend paying stock is set up. That is, an American put option should be early-exercised when the maximum option premium of early exercise is no less than the value of its European counterpart; otherwise, it should not be early-exercised. Based on this strategy, a series of lemmas is proposed and a closed form formula is drawn. Also, this paper shows that Merton (1973)’s formula does not do a good job for pricing perpetual American put options and shows the price of a perpetual American put option on a non-dividend paying stock is equal to the strike price.

China’s non-performing loans were as high as 35 percent of state banks’ total loans, or about RMB 3,549 billion (about 40 percent of its GDP) in 2000. The adequacy ratios of the four state banks were only between 1.4 percent to 4.6 percent in September 2000. Moreover, non-bank financial institutions as a group as early as 1996 had non-performing assets equal to 50 percent of their total assets. By Western accounting standards, China’s most financial institutions are insolvent. Be conventional standards for measuring financial sector robustness, China is past the point at which a systemic banking crisis might be expected. China faces enormous risks delaying the state bank reforms due to increasing capital account leaks, increasing large proportion of household deposits in banks’ total liabilities, and gradual structural shift of Chinese saving behavior. China needs to resolutely address the financial reforms soon to avoid a financial crisis, which will lead to a broad anti-regime coalition against the Chinese government. Nevertheless, China faces enormous difficulties. First, the 2000 Chinese official estimate puts the financial cost of restructuring the state banks at RMB 2,260 billion ($273 billion), or close to 30 percent of GDP. Second, the current AMC scheme is fraught with difficulties. Finally, the required financial sector reforms are closely interlinked with many other reforms such that a sequential or partial approach will not be effective.

本文提出的综合理论框架全面分析描述了以稳定物价水平、促进国民经济持续增长为目的的货币政策与股票市场的关系，着重对中央银行干预股票市场的必要性和有效性进行理论分析和实证检验。本文应用的动态滚动式的计量检验方法适应中国经济体制不断调整的特征，不但可以完成我们的理论分析，更可以检测中央银行对股票市场干预的机制及干预的有效性，从而分析进一步的政策含义，为中央银行的货币政策制订和预期效果提供一个前瞻性的预测分析框架。This paper develops a comprehensive framework to analyze the relationship of monetary policy and stock market.We focus on the necessity and efficacy of central bank intervention in the stock market in China. We applied rolling VAR estimation and augmented VAR Granger causality testing technique to capture the frequent structural changes in China due to her gradual economic and financial reforms.

This study estimates optimal hedge ratios using various econometric models. These models are evaluated based on the in- and out-of-sample optimal hedge ratio forecasts. Using daily data of spot and futures 1-month, 3-month, 6-month prices of aluminum and copper in the Shanghai Futures Exchange, the optimal hedge ratios are calculated from the OLS regression model, the VAR with error correction model, the bivariate GARCH model and the Exponential GARCH (EGARCH) Model. Hedging performance in terms of variance reduction of returns from four different models are also conducted. It is found that the EGARCH hedge ratio provides the largest reduction in the variance of the return portfolio, but they do not perform better than the alternatives over the out-of-sample period.

This paper investigates Black-Scholes call and put option thetas, and derives upper- and lower-bounds for thetas as a function of underlying asset value. It is well known that the maximum time premium of an option occurs when the value of the underlying asset equals the exercise price. However, we show that the maximum option theta does not occur at that point, but instead occurs when the underlying asset’s value is somewhat above the exercise price. We also show that option theta is not monotonic in any of the parameters in the Black-Scholes option-pricing model, including time to maturity. Finally, we explain why the implications of these findings are especially important for trading and hedging strategies that are affected by the decay in an option’s time premium.

This study employs a non-parametric approach to investigate the volatility risk premium in the major over-the-counter currency option markets. Using a large database of daily quotes on delta neutral straddle in four major currencies ? the British Pound, the Euro, the Japanese Yen, and the Swiss Franc ? we find that volatility risk is priced in all four currencies across different option maturities and the volatility risk premium is negative. The volatility risk premium has a term structure where the premium decreases in maturity. We also find evidence that jump risk may be priced in the currency option market.

This paper is a critical survey of models designed for pricing xed income securities and their associated term structures of market yields. Our primary focus is on the interplay between the theoretical specication of dynamic term structure models and their empirical t to historical changes in the shapes of yield curves. We begin by overviewing the dynamic term structure models that have been t to treasury or swap yield curves and in which the risk factors follow diusions, jump-diusion, or have \switching regimes." Then the goodness-of-ts of these models are assessed relative to their abilities to: (i) match linear projections of changes in yields onto the slope of the yield curve; (ii) match the persistence of conditional volatilities, and the shapes of term structures of unconditional volatilities, of yields; and (iii) to reliably price caps, swaptions, and other xed-income derivatives. For the case of defaultable securities we explore the relative ts to historical yield spreads.

Motivated by recent public policy debates on the role of market discipline in banking stability, I examine the impact of greater bank disclosure in mitigating the likelihood of systemic banking crisis. In a cross sectional study of banking systems across 49 countries in the 90s, I find that banking crises are less likely in countries with financial reporting regimes characterized by (i) comprehensive disclosure (ii) informative disclosure, (iii) timely disclosure and (iv) more stringent auditing.

This paper deals with the option-pricing problem. In the first part of the paper we study in more details the discrete setting of the option-pricing problem usually referred to as the binomial scheme. We highlight basic differences between the old and the new approaches. The main ualitative distinction of the new pricing approach from either binomial or Black Scholes’s is that it represents the option price as a stochastic process. This stochastic interpretation can not give straight forward advantage for an investor due to stochastic setting of the pricing problem. The new approach explicitly states that the option price is more risky than it is customary represented by binomial scheme or Black Scholes theory. Continuous setting will be considered in the second part of the paper following [1]. One significant conclusion follows from the new model. It states that there is no sense in using either neutral probabilities or ‘neutral world’ applications for options valuation either theoretically or numerically. Recall that after the Black Scholes’ publication [2] the ‘simplified’ approach named later binomial scheme was introduced in [3]. In this paper referring to the historical tradition, we first represent discrete scheme. In several examples we discuss two-period plain vanilla option valuation. Then we extend the discrete scheme applications to an exotic option-pricing referred to as a compound option. The compound option in Black Scholes setting was first studied in [4] and then in [5,6].