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.

摘要: 全球外汇市场中是否存在外汇套利，传统判断方式是识别三角套汇机会是否存在。本文将三角套汇识别推广到识别任意N种货币中是否存在套汇机会。N种货币之间的相互比价形成真实的汇率矩阵A，而汇率矩阵有一些特殊属性: 它的最大特征值lmax可以揭示是否存在套利机会，而对应特征向量 G=[g1, g2, . . gi, . . . gn]T则可以用来表示 “虚拟金本位制度”下各种货币的含金量。通过特征向量之间的对比我们可以构造出无套利（Arbitrage Free Benchmark）的基准汇率矩阵B，将真实汇率矩阵A同基准汇率矩阵B比较，可以得出价值评估矩阵C=A/B, 指明在各个外汇市场各种货币低估或高估的程度从而指出最优套汇路径。由于首次赋予了汇率矩阵的特征值和特征向量以经济学的含义，并建立了直观的套利曲面的概念，将抽象理论形象化。最后通过例子说明以上的理论及识别套利路径的方法。 关键字：外汇 汇率 套利 资产定价 JEL： F31, F37, G15

本文基于博弈论与信息经济学的框架，在Allen和Gale（1992）、Aggarwal和Wu（2002）工作的基础上，通过引入动态交易成本，理论上首次比较全面地分析了政府在防范股票市场操纵中的主要作用。首先，政府应该要求各有关主体加强真实信息的及时披露。其次，政府应该加强对交易的监控。当然，信息披露的程度和对交易监控的程度都有一个上限。最后，政府应该加强投资者教育。同时，从具体的实际情况出发并以我国市场上被操纵过股票的历史数据为样本，我们发现，高股权集中度、低换手率和低流通股本的股票容易被操纵，被操纵的时间越长则被操纵的程度越严重。

In this paper, we construct a new variance bound on any stochastic discount factor (SDF) of the form m = m(x), where x is a vector of random state variables. In contrast to the well known Hansen-Jagannathan bound that places a lower bound on the variance of m(x), our bound tightens it by a ratio of 1=½2x;m0 where ½x;m0 is the multiple correlation coefficient between x and the standard minimum variance SDF, m0. In many applications, the correlation is small, and hence our bound can be substantially tighter than Hansen-Jagannathan’s. For example, when x is the growth rate of consumption, based on Cochrane’s (2001) estimates of market volatility and ½x;m0 , the new bound is 25 times greater than the Hansen-Jagannathan bound, making it much more difficult to explain the equity-premium puzzle based on existing asset pricing models.

There are many factors that affect SMEs’ ability to borrow from bank. Based on facts and data about SMEs’ financing in Chengdu city, capital of Southwestern China’s Sichuan province, this paper is intended to investigate the factors affecting SMEs to borrow from bank by methods of empirical study. We find that whether SMEs can provide collateral or guarantee is a decisive factor, factors such as firm size, willingness to accept bank’s clauses, close relationship with bank play an important role. But in contrast to intuition, correlation analysis and regression result shows that SMEs’ financial variables such as income, net profit, asset-debt ratio and credit score is not obvious to affect their ability to get bank loan. Consistent with theory prediction and qualitative analysis, firm size is the most important factor to affect SMEs’ ability to borrow from bank. The regression results reflect information asymmetry between SMEs and banks, and that banks had taken a simple way to protect themselves.

近年来，海内外投资人对中国健康保险市场表现出浓厚兴趣。中国已初步建立了以劳动和社会保障部门负责的城镇职工医疗保险制度，和以县市地方政府为单元的新型农村合作医疗模式，并积极推进由保险公司开办的商业健康保险的发展。但健康保险市场的密度和深度远远不能满足国民的健康保障需求。本报告通过分析中国健康保险体系的现状为健康保险投资人提供咨询服务。

We axiomatize a new class of multi-prior preferences for decision-making under uncertainty. The unique feature of this class of preferences is that it allows for the role of a reference probability measure. The class of preferences has a tractable representation. It takes the form of minimization, over a set of priors, of an expected utility plus a penalty function that penalizes deviation from the reference probability measure. The preference reduces to the standard expected utility when there is no uncertainty. The paper also discusses some potential applications of the axiomatized preferences.

主要结合自身工作，肤浅的谈谈网银发展。

本文以我国深沪股市的大盘指数为研究对象，分析了“日历效应”对交易量与股价波动性关系的特殊影响，并且分别考虑将原始交易量、包含自相关性的交易量、以及进行“好消息”与“坏消息”划分后的交易量引入到GARCH模型以及非对称性GARCH模型中进行研究，本文发现：原始交易量对股票指数的股价波动性开始具备了一定的解释效应，但是考虑了自相关性后交易量却无法有效解释股价波动的GARCH效应；股价的日历效应对于上海市场中交易量对股价波动性的解释有着推波助澜的作用，而“好消息”与“坏消息”的划分后的交易量可以对非对称性的股价波动性进行较为良好的解释。

We study stochastic linear-quadratic (LQ) optimal control problems over an infinite time horizon, allowing the cost matrices to be indefinite. We develop a systematic approach based on semidefinite programming (SDP). A central issue is the stability of the feedback control; and we show this can be effectively examined through the complementary duality of the SDP. Furthermore, we establish several implication relations among the SDP complementary duality, the (generalized) Riccati equation, and the optimality of the LQ control problem. Based on these relations, we propose a numerical procedure that provides a thorough treatment of the LQ control problem via primaldual SDP: it identifies a stabilizing feedback control that is optimal or determines that the problem possesses no optimal solution. For the latter case, we develop an
-approximation scheme that is asymptotically optimal.