弹性退休制度下谁更愿意延迟退休?——基于Option Value模型的微观模拟

人口老龄化背景下延迟退休年龄、建立弹性退休制度是大势所趋。养老金激励是弹性退休制度的重要内容。建立期权价值模型和养老金给付及奖惩因子模型,基于中国家庭收入调查项目(CHIP2018)的数据,对不同特征人群的养老金峰值、期权价值、内部报酬率进行模拟。研究发现:养老金总财富随退休年龄“先增后减”,男性的峰值年龄早于女性;引入养老金“奖惩”机制有助于提高最优退休年龄,激励劳动者延迟退休;考虑闲暇偏好的异质性,男性参保者更倾向于早退休,而女性参保者特别是女性较高收入群体更愿意延迟退休;厌恶风险的参保者更有可能选择早退休。建议尽早建立弹性退休年龄政策体系,增加劳动者的选择权和制度灵活性;引入精算调节因子构建养老金奖惩机制,完善养老保险待遇计发办法。

基于IUV_5G Option3X架构网络规划与部署设计

本文基于IUV_5G Option3X架构,详细阐述了5G网络的规划与部署设计过程。首先介绍了5G NSA组网架构的背景和优势,然后深入探讨了IUV_5G全网部署与优化虚拟仿真平台的功能和应用。重点描述了核心网、无线网和承载网的部署过程,包括设备部署、数据配置和线路连接等具体步骤。通过业务验证确认了网络部署的成功,并对5G技术的未来发展进行了展望。

基于互信息优化的Option-Critic算法

时序抽象作为分层强化学习的重要研究内容,允许分层强化学习智能体在不同的时间尺度上学习策略,可以有效解决深度强化学习难以处理的稀疏奖励问题。如何端到端地学习到优秀的时序抽象策略一直是分层强化学习研究面临的挑战。Option-Critic(OC)框架在Option框架的基础上,通过策略梯度理论,可以有效解决此问题。然而,在策略学习过程中,OC框架会出现Option内部策略动作分布变得十分相似的退化问题。该退化问题影响了OC框架的实验性能,导致Option的可解释性变差。为了解决上述问题,引入互信息知识作为内部奖励,并提出基于互信息优化的Option-Critic算法(Option-Critic Algorithm with Mutual Information Optimization,MIOOC)。MIOOC算法结合了近端策略Option-Critic(Proximal Policy Option-Critic,PPOC)算法,可以保证下层策略的多样性。为了验证算法的有效性,把MIOOC算法和几种常见的强化学习方法在连续实验环境中进行对比实验。实验结果表明,MIOOC算法可以加快模型学习速度,实验性能更优,Option内部策略更有区分度。

Pricing Catastrophe Options with Credit Risk in a Regime-Switching Model

In this paper,we consider the price of catastrophe options with credit risk in a regime-switching model.We assume that the macroeconomic states are described by a continuous-time Markov chain with a finite state space.By using the measure change technique,we derive the price expressions of catastrophe put options.Moreover,we conduct some numerical analysis to demonstrate how the parameters of the model affect the price of the catastrophe put option.

Modeling the Spatio-Temporal Dynamics of Local Context for a Contextualized Diffusion of Agroecological Intensification Options in Niger

Spatio-temporal variability and dynamics in Sahelian agro-pastoral zones make each local situation a special case. These specificities must be considered to guide the dissemination of agricultural options with a view to sustainable development. The territorial scale of municipalities is not sufficient for this necessary contextualization;the scale of the “village terroir” seems to be a better option. This is the hypothesis we put forward in the framework of the Global Collaboration for Resilient Food Systems program (CRFS), i.e. local context is spatially defined by village terroir. The study is based on data collected through participatory mapping and surveys in “village terroirs” in three regions of Niger (Maradi, Dosso and Tillabéri). Then the links between farm managers and their cultivated land, as well as the spatio-temporal dynamics of local context are analyzed. This study provides evidence of the existence and functional usefulness of the village terroir for farmers, their land management and their activities. It demonstrates the usefulness of contextualizing agricultural options at this scale. Their analysis elucidates the links between “terroirs village” and the specific functioning of the agrosocio-ecosystems acting on each of them, thus laying the systemic and geographical foundations for a model of the spatio- temporal dynamics of “village terroirs”. This initial work has opened up new perspectives in modeling and sustainable development.

Research on Value Evaluation Method of Investment Project Based on Fuzzy Composite Real Options

Venture capital investments are characterized by high input,high yield,and high risk.Due to the complexity of the market environment,stage-by-stage investment is becoming increasingly important.Traditional evaluation methods like comparison,proportion,maturity,internal rate of return,scenario analysis,decision trees,and net present value cannot fully consider the uncertainty and stage characteristics of the project.The fuzzy real options method addresses this by combining real option theory,fuzzy number theory,and composite option theory to provide a more accurate and objective evaluation of Public-Private Partnership(PPP)projects.It effectively considers the interaction of options and the ambiguity of project parameters,making it a valuable tool for project evaluation in the context of venture capital investment.

Evaluation the Price of Multi-Asset Rainbow Options Using Monte Carlo Method

Solution of the system stochastic differential equations in multi dimensional case using Monte Carlo method had many useful features in compare with the other computational methods. One of them is the solution of boundary value problems to be found at just one point, if required (with associated saving in computation), whereas deterministic methods necessarily find the solution at large number of points simultaneously. This property can be particularly useful in problems such option pricing, where the value of an option is required only at the time of striking, and for the state of the market at that time. In this work we consider a European multi-asset options which mathematically described by the system of stochastic differential equations. We will apply Monte Carlo method for the solution of that system which is the price of Multi-asset rainbow options.

Fast Fourier Transform of Multi-Assets Options under Economic Recession Induced Uncertainties

A Fast Fourier transform approach has been presented by Carr & Madan (2009) on a single underlying asset. In this current research paper, we present fast Fourier transform algorithm for the valuation of Multi-asset Options under Economic Recession Induced Uncertainties. The issue of multi-dimension in both finite and infinite case of Options is part of the focus of this research. The notion of economic recession was incorporated. An intuition behind the introduction of recession induced volatility uncertainty is revealed by huge volatility variation during the period of economic recession compared to the period of recession-free. Nigeria economic recession outbreak in 2016 and its effects on the uncertainty of the payoffs of Nigeria Stocks Exchange (NSE) among other investments was among the motivating factors for proposing economic recession induced volatility in options pricing. The application of the proposed Fast Fourier Transform algorithm in handling multi-assets options was shown. A new result on options pricing was achieved and capable of yielding efficient option prices during and out of recession. Numerical results were presented on assets in 3-dimensions as an illustration taking Black Scholes prices as a bench mark for method effectiveness comparison. The key findings of this research paper among other crucial contributions could be seen in computational procedure of options valuation in multi-dimensions and uncertainties in options payoffs under the exposure of economic recession.

Decarbonization options of the iron and steelmaking industry based on a three-dimensional analysis

Decarbonization is a critical issue for peaking CO_(2) emissions of energy-intensive industries,such as the iron and steel industry.The decarbonization options of China’s ironmaking and steelmaking sector were discussed based on a systematic three-dimensional low-carbon analysis from the aspects of resource utilization(Y),energy utilization(Q),and energy cleanliness which is evaluated by a process general emission factor(PGEF)on all the related processes,including the current blast furnace(BF)-basic oxygen furnace(BOF)integrated process and the specific sub-processes,as well as the electric arc furnace(EAF)process,typical direct reduction(DR)process,and smelting reduction(SR)process.The study indicates that the three-dimensional aspects,particularly the energy structure,should be comprehensively considered to quantitatively evaluate the decarbonization road map based on novel technologies or processes.Promoting scrap utilization(improvement of Y)and the substitution of carbon-based energy(improvement of PGEF)in particular is critical.In terms of process scale,promoting the development of the scrap-based EAF or DR-EAF process is highly encouraged because of their lower PGEF.The three-dimensional method is expected to extend to other processes or industries,such as the cement production and thermal electricity generation industries.

A unique solution to a semilinear Black-Scholes partial differential equation for valuing multi-assets of American options

In this paper, by using the optimal stopping theory, the semilinear Black-Scholes partial differential equation （PDE） was invesigated in a fixed domain for valuing two assets of American （call-max/put-min） options. From the viscosity solution of a PDE, a unique viscosity solution was obtained for the semilinear Black-Scholes PDE.

Upside and downside correlated jump risk premia of currency options and expected returns

This research explores upside and downside jumps in the dynamic processes of three rates:domestic interest rates,foreign interest rates,and exchange rates.To fill the gap between the asymmetric jump in the currency market and the current models,a correlated asymmetric jump model is proposed to capture the co-movement of the correlated jump risks for the three rates and identify the correlated jump risk premia.The likelihood ratio test results show that the new model performs best in 1-,3-,6-,and 12-month maturities.The in-and out-of-sample test results indicate that the new model can capture more risk factors with relatively small pricing errors.Finally,the risk factors captured by the new model can explain the exchange rate fluctuations for various economic events.

Intelligent option portfolio model with perspective of shadow price and risk‑free profit

Since Markowitz proposed modern portfolio theory,portfolio optimization has been being a classic topic in financial engineering.Although it is generally accepted that options help to improve the market,there is still an improvement for the portrayal of their unique properties in portfolio problems.In this paper,an intelligent option portfolio model is developed that allows selling options contracts to earn option fees and considers the high leverage of options in the market.Deep learning methods are used to predict the forward price of the underlying asset,making the model smarter.It can find an optimal option portfolio that maximizes the final wealth among the call and put options with multiple strike prices.We use the duality theory to analyze the marginal contribution of initial assets,risk tolerance limit,and portfolio leverage limit for the final wealth.The leverage limit of the option portfolio has a significant impact on the return.To satisfy the investors with different risk preferences,we also give the conditions for the option portfolio to gain a risk-free return and replace the Conditional Value-at-Risk.Numerical experiments demonstrate that the intelligent option portfolio model obtains a satisfactory out-of-sample return,which is significantly positively correlated with the volatility of the underlying asset and negatively correlated with the forecast error of the forward price.The risk-free option model is effective in achieving the goal of no drawdown and gaining satisfactory returns.Investors can adjust the balance point between returns and risks according to their risk preference.

Valuing options to renew at future market value:the case of commercial property leases

In this study,we develop and empirically test a valuation model for a commonly encountered option in office leases:a tenant’s option to renew at future market rent(a fair market value)with lease termination as the maturity date.The model integrates decision analysis with real options analysis and market risk with private risks.“Option value”is defined as the private value of the option to either party pre-contract,while“option price”assumes a fair agreement between transacting parties and can be positive(rental premium paid)or negative(rental discount offered).Without manifest expectations,an analysis of a sample of office leases supports the model’s logic with price estimates in a practical range.The tenants’option price/value is shown to have a negative relationship with the original/renewal lease term;conversely,the landlords’option value is positively related to the original/renewal term.Comparative analyses show that transaction costs have a positive effect on tenants’option value and on prices,while vacancy costs and the vacancy period are both positively related to the landlords’option value and negatively related to price.Market rent is found to have a negative relationship with option price.Overall,this study provides a theoretical analysis and empirical tests of the value of a real option that allows option holders to renew/extend their contracts at a fair market value.

Pricing European Options Based on a Logarithmic Truncated t-Distribution

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.

A novel stochastic modeling framework for coal production and logistics through options pricing analysis

We propose a novel stochastic modeling framework for coal production and logistics using option pricing theory.The problem of valuing the inherent real optionality a coal producer has when mining and processing thermal coal is modelled as pricing spread options of three assets under the stochastic volatility model.We derive a three-dimensional Fast Fourier Transform(“FFT”)lower bound approximation to value the inherent real optionality and for robustness check,we compare the semi-analytical pricing accuracy with the Monte Carlo simulation.Model parameters are estimated from the historical monthly data,and stochastic volatility parameters are obtained by matching the Kurtosis of the low-ash diff data to the Kurtosis of the stochastic volatility process which is assumed to follow Cox–Ingersoll–Ross(“CIR”)model.

Investment Promotion for Development Zones in China:Underlying Rationale and Policy Options

Development zones(DZs)have emerged as a significant policy initiative for promoting regional coordination and facilitating resources allocation.They serve as an organizational framework for fostering industrial agglomeration and driving high-quality development.DZs attract and accommodate resource factors,firms,and projects,thereby functioning as a central catalyst for economic growth.This study utilizes data collected at the“DZ,City and Countrycountry”levels through manual compilation,textual analysis,and innovation measurement.It aims to empirically examine the theoretical rationale and practical preferences for promoting business and investment in China’s DZs.This study considers several factors such as industry attribute,firm attribute,agglomeration theory,and industrial chain layout.Based on our research findings,DZs exhibit distinct preferences.First,industry attribute:DZs align with both national and regional strategic planning and adhere to the industrial endowments of the respective areas.Second,firm attribute:DZs prioritize attracting firms that are productive and innovative,and have an international presence,rather than those that primarily contribute to taxes and job creation.Third,DZs are guided by the agglomeration theory,which suggests that they prefer firms that generate strong agglomeration externalities.Lastly,DZs also consider the industrial chain layout,aiming to attract firms that not only align with their existing industrial strengths but also extend to the upstream and downstream supply chain links.These conclusions are substantiated by the performance of robustness test.The success of DZs in China can be attributed to the five key principles:Adherence to national and regional strategic planning,prioritizing the actual industrial foundation,incorporating the theory of agglomeration externalities,strengthening corporate competitiveness,and expanding industrial chains.

机器人使用与创业选择

以人工智能、机器人为代表的自动化技术进步,对劳动力市场结构影响持续深化,不仅表现在传统受雇工作形态,还表现在企业创业选择和决策方面。文章基于国家层面自动化程度不断加深的背景,使用2011—2017年全球创业观察(GEM)创业活动数据和国际机器人联合会(IFR)国家层面机器人数据,研究机器人使用对创业活动的影响及可能机制。研究结果表明,机器人使用对创业活动具有显著促进作用。按照创业动机划分机会型创业活动和生存型创业活动发现,机器人使用增加显著促进了机会型创业活动。该结论在控制内生性和考虑不同衡量指标下依然稳健。文章进一步从市场进入障碍、人力资本效应两个维度考察机器人使用对创业活动的影响机制。机制分析发现,机器人使用通过简化企业生产程序,降低企业市场进入障碍,提高人力资本水平进而促进企业创业活动实现。异质性分析表明,机器人使用对创业活动促进作用在OECD国家幅度更大,机器人使用显著增加了中年群体、女性群体以及中低受教育水平群体机会型创业活动概率,机器人使用有利于缩小不同群体间的创业差距。文章研究为促进我国机器人应用深化以及机会型创业活动实现提供了一定的参考意义。

强制与选择:涉案企业合规整改边界之厘定——公私法规范融贯的视角

专项合规与全面合规适用模糊、司法监督与企业自治边界冲突,二者均反映出涉案企业合规整改的边界具有模糊性。平衡企业合规与企业自治需要从公私法规范融贯的视角出发,划定涉案企业合规整改的边界。厘定边界的法理依据在于涉案企业合规的理论涵摄范围与企业自治规范的法定框架限定。明确企业事务控制权的配置、企业经营业务的范围、企业自治规范的制定应当属于涉案企业合规整改选择性事项,赋予企业就该类事项提出异议的权利。

2024年我国政府债务管理政策选择的思考

2023年我国政府债务管理政策较好地支持了宏观经济增长目标的实现。国债和地方政府专项债券预算发行额增加,2023年底我国增发了1万亿元的国债,还决定提前下达2024年部分地方政府新增债务限额;10月中央决定实施地方政府债务一揽子化解方案,开始发行相应的再融资券;2023年下半年地方政府投融资平台城投债发行规模有所减少。从2024年我国经济社会发展所面临的复杂严峻的国内外形势看,政府债务政策在总额管理、结构优化、债券发行、绩效管理、风险控制、体制改革等方面,需要进行有效的政策选择,以实现国家宏观政策目标。

The Contribution Margin due to a Limiting Factor in the Presence of Several Sales Options: Actuality Is Not Always As It Appears at the Beginning of the Analysis

The analysis of company data useful for economic decisions,if not interpreted in an overall view of the company situation,can lead to wrong conclusions.This is the case when a company has to choose between several sales options for one or more products in the presence of a limiting factor.The continuation of the investigation often denies the initial analysis.Not everything is as it appears,therefore,at the beginning of the deepening of the data useful for economic decisions.As it is well known,the choices of profitability concerning the planning of the sale of company products take place,at least in the majority of cases,through the determination of the contribution margin,i.e.the profitability margin connected to the individual goods/services sold by the companies(selling price net of variable costs).The contribution margin can be determined with four objectives:(1)Determination of the yield of the single product,net of variable costs only.In this case,the margin defines unitary,from net product yield to unitary contribution margin.(2)Determination of the return on total sales of an individual product,net of variable costs.In this hypothesis,reference is made to the first level(or gross)contribution margin.(3)Determination of the ability of the individual product to contribute to the coverage of fixed costs common to the company.This margin is determined net of special product variable and fixed costs.This aggregate is defined as a Level II(or semi-gross)margin.(4)Determination of the useful value in the planning choices in case of presence of scarce productive factors.In this case,it must identify the so-called unitary margin for low factor.Here we will only deal with the problem of the use of the contribution margin in the presence of rare factors.To complete the analysis,below are some very brief considerations regarding,respectively,the unitary,level I,and level II contribution margin in order to better understand where the problem of the most convenient choice of income is located in the event of the presence of rare production factors,especially in an environment characterized by a plurality of sales options.