期权定价模型在采矿权价值评估中的应用

采矿权价值评估是矿业交易中最重要的方面之一,长期以来,行业内习惯用现金流量折现法来评估采矿权价值,但从理论计算结果和实际交易价格差距过大来看,现金流量折现法有较大局限性。作者认为以金融交易中常用的期权定价模型(也称BS模型)为基础,通过一定的修改得到的采矿权定价模型,要优于现金流量折现法。     

风险投资灵活性价值探索

本文从西方经济学生产要素理论出发,深入挖掘了风险投资项目灵活性价值的源泉,并引入二叉树期权定价模型进一步给出了一种风险投资项目灵活性价值的定量评估方法,最后通过案例应用,有效解决了风险投资项目灵活性价值评估问题.     

保险精算方法在限额保险定价中的应用

引入期权定价理论,利用保险精算定价方法,得到了房屋抵押贷款限额保险的精确定价公式,其中未偿付额为常数,房产价格服从一般It(o)过程.     

基于O-U过程具有随机寿命的奇异期权定价

假设股票价格遵循能反映股票预期收益率波动变化的指数O-U过程,利用期权定价的鞅方法和具有随机寿命的欧式期权的定价公式,得到了指数O-U过程随机模型下具有随机寿命的2种奇异期权的定价公式.     

基于期权定价理论的项目投资决策分析

在简要介绍净现值（NPV）法的基础上，针对现实经济投资活动的实际特征，分析了NPV法所存在的缺陷。重点研究了期权定价理论的引入及其应用，并结合例证阐述了有关决策模型的实用性及有待进一步解决的问题。     

复合期权在房地产项目多阶段投资评价中的应用研究

大型房地产项目在运作过程中具有极大的不确定性,这种不确定性是有价值的.本文在实物期权思想的指引下,阐述了Geske复合期权定价模型,并分析了大型房地产项目分阶段、滚动开发模式中的复合实物期权特性.在模型应用和案例描绘的基础上,文章为多阶段房地产投资项目价值评估提供了一种新视角、新方法.     

项目价值评估方法探究

介绍项目价值评估现金流量折现法及其内在局限性;分析项目投资的实物期权特性,将项目投资看成蕴含着经济价值的实物期权,引出项目价值评估实物期权法,利用二叉树期权定价模型优化项目投资决策。     

论推行股票期权的障碍与对策

在我国股票期权是一件新事物，也是企业在激烈市场竞争中的一种发展趋势。本文研究了实施股票期权的各种障碍，并探索了克服这些障碍的途径。     

基于边际违约率的住房抵押贷款定价模型

考虑到住房资产的价格波动规律以及我国在一定程度上已经存在的市场利率,引入边际违约率概念,建立了赋予贷款者提前还贷权利的住房抵押贷款的定价模型.     

基于延迟期权和扩张期权的矿业投资决策研究

矿业项目投资回收期长,不确定因素多,传统评价方法在评价策略性选择权时完全不考虑投资过程中实际存在的不确定性,造成短视决策。文中首先介绍了实物期权的概念、主要类型及定价方法;其次建立了基于延迟期权和扩张期权的矿业投资决策模型;最后以江西省某钼矿投资项目为例进行应用。结果表明:所建立的模型比较全面地反映了矿业投资项目的总体价值,为矿业投资决策提供了一种较好的思路与方法。     

Influence of market factors on the pricing of exchange traded metals in the medium term

On the basis of comparison of the influence of the stock exchange factors on the pricing of nonferrous metals for medium term with similar results for short term, it has been established that the main attention should be paid to the changes in the pricing environment on the metal market as a function of the prices of exchange traded metals. The situation on the market of energy carriers (hydrocarbons) and the European, American, and Asian stock exchanges can be based on parity and even significantly influence the variation of the metal prices. In the medium term, constructive development of metal trade should be reasonably promoted by changing the elasticity of supply with regard to prices for exchange traded metals and by applying the stock exchange factors that positively influence the pricing on commodity and stock markets.     

Validation of the Metacomprehension Scale

A hybrid neural network is used to predict the difference between the conventional option-pricing model and observed intraday option prices for stock index option futures. Confidence intervals derived with bootstrap methods are used in a trading strategy that only allows trades outside the estimated range of spurious model fits to be executed. Whilst hybrid neural network option pricing models can improve predictions they have bias. The hybrid option-pricing bias can be reduced with bootstrap methods. A modified bootstrap predictor is indexed by a parameter that allows the predictor to range from a pure bootstrap predictor, to a hybrid predictor, and finally the bagging predictor. The modified bootstrap predictor outperforms the hybrid and bagging predictors. Greatly improved performance was observed on the boundary of the training set and where only sparse training data exists. Finally, bootstrap bias estimates were studied.     

Effect of market factors on the short-time pricing of stock-exchange metals

The open trade on the world market is estimated using information of one-day exchange prices of nonferrous and precious metals, oil, reduced crude, and gasoline and the main world stock indices in the time period from January 1, 2009 to December 31, 2015. It is found that the short-term changes in the prices of nonferrous metals are determined by the prices on the metal market. The changes in the prices of energy carriers and the stock trade on the stock market weakly influence the pricing of nonferrous and precious metals. The prices of metals depend on the situation during trade on commodity exchanges, and the stock market indirectly influences the exchange prices of metals through changes in the share prices of the companies that produce copper, aluminum, and zinc.     

Risk and Price in the Bidding Process of Contractors

Formal and analytical risk models prescribe how risk should be incorporated into construction bids. However, the actual process of how contractors and their clients negotiate and agree to price is complex and not clearly articulated in the literature. With participant observation, the entire tender process was shadowed in two leading U.K. construction firms. This was compared with propositions in analytical models, and significant differences were found. A total of 670?h of work observed in both firms revealed three stages of the bidding process. Bidding activities were categorized and their extent estimated as deskwork (32%), calculations (19%), meetings (14%), documents (13%), off-days (11%), conversations (7%), correspondence (3%), and travel (1%). Risk allowances of 1–2% were priced in some bids, and three tiers of risk apportionment in bids were identified. However, priced risks may be excluded from the final bid to enhance competitiveness. Although risk apportionment affects a contractor’s pricing strategy, other complex microeconomic factors also affect price. Instead of including pricing contingencies, risk was priced primarily through contractual rather than price mechanisms to reflect commercial imperatives. These findings explain why some assumptions underpinning analytical models may not be sustainable in practice and why what actually happens in practice is important for those who seek to model the pricing of construction bids.     

Effect of pricing conditions on preference reversals by business students and managers.

54 undergraduate business students and 54 managers were given probabilities of success and failure and amounts of profit and loss in a simulated marketing task and asked to make a series of choices about which of 2 products to market and to set a price to buy or sell the patent to each product. Findings show that all Ss made significantly more preference reversals in the sell than the buy pricing condition. (6 ref) (PsycINFO Database Record (c) 2010 APA, all rights reserved)     

阻抗函数不对称下多用户类型和多模式时变拥挤收费模型

研究了公交车和私家车相互作用下的排队网络在高峰时段随时间变化的最优拥挤收费问题.将时空拓展网络(STEN)与传统的网络平衡模型技术相结合,建立了多用户类型、多模式和多准则交通网络平衡模型.不同类型的用户具有不同的时间价值(VOTs),同一类用户根据出行时间和成本的不同权重确定出行负效用或一般出行成本.此外,将对称成本函数模型进行拓展,考虑公交车和私家车间的相互作用.发现当系统目标函数采用费用作为计量单位时,存在统一的路段收费模式,使多用户类型、多模式和多准则用户平衡流转变为系统最优流模式.此外,发现阻抗函数对称的边际成本收费模型不能反应不同路段上交通流的相互作用,得到的收费值偏小.     

Pricing strategy for aesthetic surgery: economic analysis of a resident clinic's change in fees

The laws of microeconomics explain how prices affect consumer purchasing decisions and thus overall revenues and profits. These principles can easily be applied to the behavior aesthetic plastic surgery patients. The UCLA Division of Plastic Surgery resident aesthetics clinic recently offered a radical price change for its services. The effects of this change on demand for services and revenue were tracked. Economic analysis was applied to see if this price change resulted in the maximization of total revenues, or if additional price changes could further optimize them. Economic analysis of pricing involves several steps. The first step is to assess demand. The number of procedures performed by a given practice at different price levels can be plotted to create a demand curve. From this curve, price sensitivities of consumers can be calculated (price elasticity of demand). This information can then be used to determine the pricing level that creates demand for the exact number of procedures that yield optimal revenues. In economic parlance, revenues are maximized by pricing services such that elasticity is equal to 1 (the point of unit elasticity). At the UCLA resident clinic, average total fees per procedure were reduced by 40 percent. This resulted in a 250-percent increase in procedures performed for representative 4-month periods before and after the price change. Net revenues increased by 52 percent. Economic analysis showed that the price elasticity of demand before the price change was 6.2. After the price change it was 1. We conclude that the magnitude of the price change resulted in a fee schedule that yielded the highest possible revenues from the resident clinic. These results show that changes in price do affect total revenue and that the nature of these effects can be understood, predicted, and maximized using the tools of microeconomics.     

Cost of Risk Transfer: Pricing Agreements in Residential Supply Chains

Theoretical and computational studies of supply chains are confined mainly to buyer-supplier dyads. Evaluation of more tiers in the construction sector specifically is also rare, perhaps in part because short-term partnerships are typical. However, supplier selection in residential construction is often conducted in support of multiple subdivision tracts over a comparatively long time-horizon. This paper describes the lumber supply chain for residential construction, extending from the homebuyer to the lumber company. A particular case for a real builder is examined in which a builder adopted a pricing strategy to control their lumber cost risk. The strategy included minimum time periods of fixed pricing, insulating the builder from price fluctuations during those periods. Consideration of supply-chain lead times allows financial risk modeling for the builder-framer/lumber yard–lumber company portion of the supply chain in order to evaluate the cost-effectiveness of this strategy. Historical records of lumber prices were used to conduct Monte Carlo simulations of three tiers of the supply chain. The pricing strategy is shown to result in a risk premium generally in excess of the true commodity price risk.     

钢铁期货价格与钢铁企业价值的联动关系

选取线材和螺纹钢期货为研究对象,考察钢铁期货价格走势对钢铁企业股票价格走势的影响,并进行实证分析。对以线材、螺纹钢为主要产品的钢铁企业的股票价格按公司市值加权平均,构成股票指数。用向量自回归模型和格兰杰因果检验方法探求期货价格和股票指数这两列数据之间的关系。得出以下结论：两列数据互为因果,但期货价格影响并引导股票指数的趋势更为明显。总体来说,钢铁期货的推出有利于对钢铁企业价值的发现。