幂函数族之权证创新及定价:一种基于鞅定价的分析方法

对奇异期权的定价，传统的方法是用Black-Scholes(1973)所建立的偏微分方程方法(PDE)求解，或用二叉数模型近似地模拟计算。这些工作很繁琐且困难，给奇异期权在实务中的应用带来了诸多不便。本文设计出所谓的幂函数族的简单权证，借助于随机分析中的Girsanov定理，基于Harrison和Kreps(1979)所提出的鞅定价方法(MPM)求解出其精确(closed)的定价公式，并用模拟的方法对不同权证的避险功能进行了比较。结论表明：著名的Black-Scholes期权定价公式是我们所得到的定价公式的特殊情形；与标准的欧式期权相比，幂函数族之权证具有降低权利金和易于避险的功能。     

On the value of project safeguards: Embedding real options in complex products and systems

This study defines a project safeguard as the design and physical development work needed to ensure, or enhance, the embedding of a real option in complex products and systems (CoPS). Safeguards operationalize optionlike strategic thinking at implementation. I examine safeguarding investments through an in-depth multiple-case study of 12 options embedded across 5 projects encompassed by an airport expansion programme. This includes options to phase out delivery (stage-option), grow capacity (growth-option), and switch operational regime (switch-option). Passive safeguards only involve design work, whereas active safeguards involve both design and physical execution. The analysis shows how the confluence between the uncertainty of option exercising and the modularity of the relevant functional elements in relation to the CoPS architecture affects the attractiveness of safeguarding. High uncertainty makes safeguarding less attractive as it can lead to sunk costs that may not pay off over the CoPS operating life. Conversely, high modularity increases the attractiveness of safeguarding because (1) safeguards can be limited to marginal investments at the interfaces between the functional elements with other CoPS subsystems, and (2) the stability of modular design rules increases the likelihood that safeguards remain valid over time. Safeguards build options into integrative CoPS. This flexibility and redundancy makes them resilient to change stemming from option exercising if uncertainties resolve favourably in the future.     

How user innovations become commercial products: A theoretical investigation and case study

In this paper we model the pathways commonly traversed as user innovations are transformed into commercial products. First, one or more users recognize a new set of design possibilities and begin to innovate. They then join into communities, motivated by the increased efficiency of collective innovation. User-manufacturers then emerge, using high-variable/low-capital cost production methods. Finally, as user innovation slows, the market stabilizes enough for high-capital, low-variable cost manufacturing to enter. We test the model against the history of the rodeo kayak industry and find it supported. We discuss implications for “dominant design” theory and for innovation practice.     

R＆D项目实物期权关联性分析

R＆D项目包含的实物期权之间存在关联性作用,使得项目实物期权不具有可加性。在此,讨论了R＆D项目实物期权之间关联作用的大小和方向,结合案例分析,阐述了关联性作用对R＆D项目投资决策的影响,为R＆D项目投资提供了一个投资决策分析框架。     

Voluntary turnover and women administrators in higher education

A salient characteristic about the U.S. workforce is the continual process of voluntary employee turnover, which can be problematic for employers who invest a substantial amount of time and money in recruiting and training employees. This paper discusses the effects of workplace policies and practices on the voluntary turnover of women administrators in higher education. According to the results from in-depth interviews with ex-administrators of one Ivy League university, the top three reasons were conflict with supervisor, inadequate advancement opportunities, and incompatible work schedule. The results from this study revealed several interesting findings which add to our understanding of the staff turnover process for midlevel administrators in institutions of higher education. The findings could offer important insight into implementing cost-effective retention programs to help reduce unwanted turnover among women administrators in colleges and universities.     

实物期权思维及其在新兴技术管理中的若干应用

作为一种特殊的思维和方法,实物期权具有广泛的应用前景。本文重点讨论实物期权的特点、思维方式、用途和实物期权思维在新兴技术管理中的实际应用。     

Option Strike Price and Managerial Investment Decisions

Ｉｎｍｏｄｅｒｎｃｏｒｐｏｒａｔｉｏｎｓ ,ｔｈｅｂａｓｉｃｏｒｆｕｎｄａｍｅｎｔａｌｇｏａｌｓｏｆｂｏｔｈｔｈｅｐｒｉｎｃｉｐａｌ (ｏｒｓｔｏｃｋｈｏｌｄｅｒｓ)ａｎｄｔｈｅａ ｇｅｎｔ (ｏｒｔｈｅｍａｎａｇｅｒ)ａｒｅｔｏｍａｘｉｍｉｚｅｔｈｅｉｒｒｅｓｐｅｃｔｉｖｅｅｘｐｅｃｔｅｄｕｔｉｌｉｔｙ .Ｔｈｏｕｇｈ ,ｄｕｅｔｏｔｈｅｉｒｄｉｆｆｅｒｅｎｔｆｅａｔｕｒｅｓ ,ｔｈｅｙｍａｙｈａｖｅｑｕｉｔｅｄｉｆｆｅｒｅｎｔａｃｔｉｏｎｃｈｏｉｃｅｓ .Ｓｉｎｃｅｓｔｏｃｋ ｈｏｌｄｅｒｓ′ｉｎｖｅｓｔｍｅ…     

背景音乐对服装模特形体训练的影响及选择

服装表演的特殊性使之与音乐的关系非常密切,而音乐所特有的性质,使人们对它的理解不是很直接,模特要有把这种听觉艺术用视觉方式解释出来的能力,所以音乐理解力的训练很重要。在形体训练中,伴奏音乐的好坏直接影响到模特对音乐的理解和对动作的诠释。     

基于LELAND-LOTT思想双币种期权定价

本文利用期权复制、无套利对冲原理、计价单位转换、随机微分方程等工具,对具有交易费用的双币种期权的定价进行了探讨。得到了支付交易费用的双币种期权所满足的偏微分方程和定价公式。     

两类跳扩散模型的双币种期权定价

在股价和汇率都服从跳扩散模型下考虑了双币种期权定价.利用测度变换,Fourier反变换得到一般跳扩散模型的欧式看跌期权定价显示解.给出正态和双指数分布情形时跳扩散模型的双币种期权定价.通过实例计算,对正态和和双指数2类跳扩散模型的相应结果进行比较.