Extensions of Merton’s model(EMM)considering the firm’s payments and generating new types of firm value distribution are suggested.In the open log-value/time space,these distributions evolve from initially normal to...Extensions of Merton’s model(EMM)considering the firm’s payments and generating new types of firm value distribution are suggested.In the open log-value/time space,these distributions evolve from initially normal to negatively skewed ones,and their means are concave-down functions of time.When payments are set to zero or proportional to the firm value,EMM turns into the Geometric Brownian model(GBM).We show that risk-neutral probabilities(RNPs)and the no-arbitraging principle(NAP)follow from GBM.When firm’s payments are considered,RNPs and NAP hold for the entire market for short times only,but for long-term investments,RNPs and NAP just temporarily hold for individual stocks as far as mean year returns of the firms issuing those stocks remain constant,and fail when the mean year returns decline.The developed method is applied to firm valuation to derive continuous-time equations for the firm present value and project NPV.展开更多
A model of continuous-time insider trading in which a risk-neutral in-sider possesses two imperfect correlated signals of a risky asset is studied.By conditional expectation theory and filtering theory,we first establ...A model of continuous-time insider trading in which a risk-neutral in-sider possesses two imperfect correlated signals of a risky asset is studied.By conditional expectation theory and filtering theory,we first establish three lemmas:normal corre-lation,equivalent pricing and equivalent profit,which can guarantee to turn our model into a model with insider knowing full information.Then we investigate the impact of the two correlated signals on the market equilibrium consisting of optimal insider trading strategy and semi-strong pricing rule.It shows that in the equilibrium,(1)the market depth is constant over time;(2)if the two noisy signals are not linerly correlated,then all private information of the insider is incorporated into prices in the end while the whole information on the asset value can not incorporated into prices in the end;(3)if the two noisy signals are linear correlated such that the insider can infer the whole information of the asset value,then our model turns into a model with insider knowing full information;(4)if the two noisy signals are the same then the total ex ant profit of the insider is increasing with the noise decreasing,while down to O as the noise going up to infinity;(5)if the two noisy signals are not linear correlated then with one noisy signal fixed,the total ex ante profit of the insider is single-peaked with a unique minimum with respect to the other noisy signal value,and furthermore as the noisy value going to O it gets its maximum,the profit in the case that the real value is observed.展开更多
文章针对中点钳位(neutral point clamped inverter,NPC)类逆变电路存在的直流电容短路风险提出一种高可靠三电平逆变电路构造方法。首先,详细分析NPC逆变电路存在的2类电容直通风险以及当前高可靠三电平逆变电路存在的不足,总结出构造...文章针对中点钳位(neutral point clamped inverter,NPC)类逆变电路存在的直流电容短路风险提出一种高可靠三电平逆变电路构造方法。首先,详细分析NPC逆变电路存在的2类电容直通风险以及当前高可靠三电平逆变电路存在的不足,总结出构造高可靠NPC逆变器的2条原则。并基于此原则介绍新型高可靠NPC逆变电路的构造过程,发明一种分裂电感型复合中点钳位逆变器(split inductor hybrid neutral point clamped inverter,SI-HNPC)。所得电路的所有输出桥臂均由二极管与开关管串联构成,而与电容串联的开关管回路中含有分裂电感,有效地避免直流电容直通短路问题。此外,电路采用开关管和二极管的混合钳位结构,保持电压应力减半的基础上也保持零电平续流模态多样性。详细分析所提SI-HNPC运行特性与防直通能力,并搭建仿真模型和试验样机验证新型电路工作原理的正确性和短路抑制能力的有效性。展开更多
The t-distribution has a “fat tail” feature, which is more suitable than the normal probability density function to describe the distribution characteristics of return on assets. The difficulty of using t-distributi...The t-distribution has a “fat tail” feature, which is more suitable than the normal probability density function to describe the distribution characteristics of return on assets. The difficulty of using t-distribution to price European options is that a fat tail can lead to a deviation in one integral required for option pricing. We use a distribution called logarithmic truncated t-distribution to price European options. A risk neutral valuation method was used to obtain a European option pricing model with logarithmic truncated t-distribution.展开更多
基金The author is infinitely thankful to his friend and colleague M.Rubinstein for valuable discussions and an invariable interest to his work.The author is also thankful to C.Miller for his high estimation of the author’s efforts.Of course,all errors are author’s full responsibility.
文摘Extensions of Merton’s model(EMM)considering the firm’s payments and generating new types of firm value distribution are suggested.In the open log-value/time space,these distributions evolve from initially normal to negatively skewed ones,and their means are concave-down functions of time.When payments are set to zero or proportional to the firm value,EMM turns into the Geometric Brownian model(GBM).We show that risk-neutral probabilities(RNPs)and the no-arbitraging principle(NAP)follow from GBM.When firm’s payments are considered,RNPs and NAP hold for the entire market for short times only,but for long-term investments,RNPs and NAP just temporarily hold for individual stocks as far as mean year returns of the firms issuing those stocks remain constant,and fail when the mean year returns decline.The developed method is applied to firm valuation to derive continuous-time equations for the firm present value and project NPV.
文摘A model of continuous-time insider trading in which a risk-neutral in-sider possesses two imperfect correlated signals of a risky asset is studied.By conditional expectation theory and filtering theory,we first establish three lemmas:normal corre-lation,equivalent pricing and equivalent profit,which can guarantee to turn our model into a model with insider knowing full information.Then we investigate the impact of the two correlated signals on the market equilibrium consisting of optimal insider trading strategy and semi-strong pricing rule.It shows that in the equilibrium,(1)the market depth is constant over time;(2)if the two noisy signals are not linerly correlated,then all private information of the insider is incorporated into prices in the end while the whole information on the asset value can not incorporated into prices in the end;(3)if the two noisy signals are linear correlated such that the insider can infer the whole information of the asset value,then our model turns into a model with insider knowing full information;(4)if the two noisy signals are the same then the total ex ant profit of the insider is increasing with the noise decreasing,while down to O as the noise going up to infinity;(5)if the two noisy signals are not linear correlated then with one noisy signal fixed,the total ex ante profit of the insider is single-peaked with a unique minimum with respect to the other noisy signal value,and furthermore as the noisy value going to O it gets its maximum,the profit in the case that the real value is observed.
文摘文章针对中点钳位(neutral point clamped inverter,NPC)类逆变电路存在的直流电容短路风险提出一种高可靠三电平逆变电路构造方法。首先,详细分析NPC逆变电路存在的2类电容直通风险以及当前高可靠三电平逆变电路存在的不足,总结出构造高可靠NPC逆变器的2条原则。并基于此原则介绍新型高可靠NPC逆变电路的构造过程,发明一种分裂电感型复合中点钳位逆变器(split inductor hybrid neutral point clamped inverter,SI-HNPC)。所得电路的所有输出桥臂均由二极管与开关管串联构成,而与电容串联的开关管回路中含有分裂电感,有效地避免直流电容直通短路问题。此外,电路采用开关管和二极管的混合钳位结构,保持电压应力减半的基础上也保持零电平续流模态多样性。详细分析所提SI-HNPC运行特性与防直通能力,并搭建仿真模型和试验样机验证新型电路工作原理的正确性和短路抑制能力的有效性。
文摘The t-distribution has a “fat tail” feature, which is more suitable than the normal probability density function to describe the distribution characteristics of return on assets. The difficulty of using t-distribution to price European options is that a fat tail can lead to a deviation in one integral required for option pricing. We use a distribution called logarithmic truncated t-distribution to price European options. A risk neutral valuation method was used to obtain a European option pricing model with logarithmic truncated t-distribution.
