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.

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.

Toxic Currency Options in Poland as a Consequence of the 2008 Financial Crisis

The paper is on toxic foreign exchange options problem which occurred in Poland just prior to and after the outbreak of the recent crisis. Especially Polish enterprises were severely stricken by transactions on fx and interest rate derivatives contracted with their banks. Poland was the only EU country which did not precipitate into recession during the financial crisis beginning in 2008. However, the toxic fx and interest rate derivatives transmitted the shockwaves from global financial markets into Poland. Huge dimensions of losses resulted in conflicts between banks and their customers, who claimed just being cheated by the financial institutions. The article deeply researches into reasons for such developments on Polish fx over-the-counter derivatives market. As a case study, an authentic strategy has been presented. The contract was concluded between the construction company and one of the biggest commercial banks in Poland. Because the case study may be representative for many other cases, the analysis includes exact pricing of option strategy and therefore reveals inequality of the contract. The consequences of non-implementing the MiFID directive in the context of derivatives offering to non-financial customers were also touched in the paper.

Evaluation of call options

The European and American call options, for which the prices of their underlying asset follow compound Poisson process, are evaluated by a probability method. Formulas that can be used to evaluate the options are obtained, which include not only the elements of an option: the price of the call option, the exercise price and the expiration date, but also the riskless interest rate, nevertheless exclude the volatility of the underlying asset. In practice, the evaluated results obtained by these formulas can provide references of making strategic decision for an investor who buys the call option and a company who sells the call option.

The Impact of Turnover Ratios on Jordanian Services Sectors＇ Performance

Profitability ratios are a group of financial ratios that indicate how much profit a business is earning within a certain context, while asset utilization ratios indicate how efficient a business is in operating its assets to generate cash. The difference between profitability ratios and turnover ratios is the fact that turnovers are more specific. While profitability ratios measure overall performance in terms of profits, asset utilization ratios focus on specific measurements within the business） We conduct this study to verify the impact of turnover ratios on Jordanian services sectors＇ performance during the period from 2009 to 2012. The study showed that there is no significant impact of turnover ratios on Jordanian services sectors＇ profitability, and by testing the main and sub hypotheses, the study revealed that there is no significant impact of turnover ratios on Jordanian services sectors＇ return on assets （ROA）, there is no significant impact of working capital turnover on Jordanian services sectors＇ ROA, there is no significant impact of total asset turnover on Jordanian services sectors＇ ROA, and there is no significant impact of fixed asset turnover on Jordanian services sectors＇ ROA. Also, the study showed that there is no significant impact of turnover ratios on Jordanian services sectors＇ return on equity （ROE）, there is no significant impact of working capital turnover on Jordanian services sectors＇ ROE, there is no significant impact of total asset turnover on Jordanian services sectors＇ ROE, and there is no significant impact of fixed asset turnover on Jordanian services sectors＇ ROE. Moreover, the study concluded that the educational services sector has the lowest working capital turnover and healthcare services sector has the highest. In addition, we find that the hotels and tourism sector has the lowest total asset turnover ratio, while the utilities and energy sector has the highest and that the hotels and tourism sector has the lowest fixed asset turnover, while the utilities and energy sector has the highest. The transportation sector has the lowest ROA and technology and communication sector has the highest. Finally, we find that transportation sector has the lowest ROE and the technology and communication sector has the highest.

Choosing an Optimal Exchange Rate Regime for Emerging Market Economies

China and other emerging market economies hoM large amounts of US dollar （USD）-denominated assets while their enterprises mainly raise funds from domestic banks. These economies＇currencies are under a constant pressure to appreciate. The authors of this paper apply the model used in Bernanke et al. （1999） to small open economies in order to find out the optimal exchange rate regime for the emerging market economies. Findings indicate that a country＇s choice of exchange rate regime is directly associated with its percentage of USD-denominated assets and the strength of the financial accelerator effect. A managedfloating rate regime is more desirable than afreefloating regime because of its ability to better avoid liquidity traps given appreciation pressure. A managed floating rate regime also outperforms a fixed exchange rate regime because the former tends to cause less welfare loss. These factors make a managed floating rate regime the optimal choice for emerging market economies. Lastly, the authors propose policy steps and suggestions based specifically on China＇s current situation.

International Exchanges of Beijing Capital Agribusiness Group

Beijing Capital Agribusiness Group(hereinafter referred to as CAG),previously known as Beijing Municipal State Farm Administration,is an industry leader of strong brand competitiveness with 133 thousand hectares of state-owned land,40000 employees and a total asset of 50

DISCRETE TIME STOCHASTIC EQUILIBRIUM WITH INFINITE HORIZON INCOMPLETE ASSET MARKETS

This paper examines the existence of general equilibrium in a discrete time economy with the infinite horizon incomplete markets.There is a single good at each node in the event tree.The existence of general equilibrium for the infinite horizon economy is proved by taking limit of equilibria in truncated economies in which trade stops at a sequence of dates.

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.

The New Portfolio Management Process in the Context of the Use of Artificial Neural Networks

The main objective of this article is to draw attention to the subject of portfolio management process, which is often not discussed in the professional literature. It has been shown that globalization affects the portfolio management process, which is presented in the literature in a similar manner. Thus, in this publication, the presentation of the process was made in terms of the classical one, and then the attempt was made to establish its form after the evolution that results from the above mentioned globalization. In addition, this new form is presented from the perspective of the use of artificial neural networks as organizations which invest cash primarily in financial instruments should take into account the mentioned expert tool for the purpose of further development. The publication also shows the key areas which the professional literature focuses on with regards to the subject of portfolio management. The study used the literature from the area of portfolio management, which is the basis for theoretical consideration, but these results have got the cognitive and practical value. They are a basis for separate quantitative research, and the proposed portfolio management process model can be considered cognitively interesting for researchers and investors.

Financial Statement Valuations in Italian Accounting Thought Between the 19th and the 20th Century： From ＂Exchange Value＂ to ＂Historical Cost＂

The main subject of this paper is the theory of financial statement valuations observed in its historical development. More notably, regarding the subject, the research is concerned with some theoretical concepts developed by the Italian doctrine in a very specific age, namely, between the 19th and the 20th century, which in fact, devoid of any accounting regulation. This paper analyzes in particular the shift from the exchange value rule to the historical cost method and tries to explain the reasons of such a development. In the second half of the 19th century, some of the best Italian scholars, who were faced with the need to properly develop the problem of accounting valuations, thought that it was appropriate to rely on concepts that belonged to similar sciences, such as economics and real estate appraisal, by blindly borrowing the theory of value from the former and the theory of valuations from the latter. During that age, everything hinged around the concept of exchange value. At the dawn of the 20th century, the Italian accounting doctrine began to wonder about a subject that was crucial to the financial statement theory： the informative purposes underlying the financial statements. At the same time, the first principle took shape, which might be called as the ＂finalistic principle of value＂. It is still the basis of the theory of financial accounting measurements, for which different evaluative criteria must be applied to different informative purposes. Thus, an alternative criterion to that of the exchange value makes its appearance on the scene of the accounting valuations, notably the historical cost. The introduction of the historical cost criteria and above all the relinquishment of the combination of the ＂economic cost＂ in favor of that of the ＂manufacturing cost＂ allow the Italian accounting to get rid of the theories of economics and real estate appraisal, thus, becoming independent regarding the financial statement valuations.

期权最痛点理论研究——基于上证50ETF期权的经验实证

基于上证50ETF及其期权数据,利用最痛点理论有效地验证期权标的资产价格预测,并深入探讨期权隐含波动率和最痛点之间的关联。实证分析结果显示,在期权到期日临近时,期权价格往往趋于最痛点且期权的隐含波动率在最痛点处达到最低,进一步证实了期权最痛点对标的股票价格的“锚定效应”。本文从理论上探讨期权最痛点产生的原因,对最痛点理论在期权交易策略中的应用进行初步探讨。

狭义上的以物抵债协议的履行问题研究

对于履行期限届满后,但是尚未完成交付的以物抵债协议的性质,实务界与学术界一直有分歧,最高人民法院《关于适用〈中华人民共和国民法典〉合同编通则若干问题的解释》对其属于诺成性合同做出了确认。[1]同时,在债务履行问题上,最高人民法院认定以物抵债协议与原债的关系为“新债清偿”,并赋予了债权人以选择权。文章认为,以物抵债协议应当为当事人对更优履行方式的选择,而非新债清偿。基于意思自治等原则,债权人享有的选择权应受到限制,以物抵债作为一种新的履行方式,仅对原债的诉讼时效发生影响。

An Actuarial Approach to Reload Option Valuation for a Non-tradable Risk Assets under Jump-diffusion Process and Stochastic Interest Rate

We use an actuarial approach to estimate the valuation of the reload option for a non-tradable risk asset under the jump-diffusion processes and Hull-White interest rate. We verify the validity of the actuarial approach to the European vanilla option for non-tradable assets. The formulas of the actuarial approach to the reload option are derived from the fair premium principle and the obtained results are arbitrage. Numerical experiments are conducted to analyze the effects of different parameters on the results of valuation as well as their differences from those obtained by the no-arbitrage approach. Finally, we give the valuations of the reload options under different parameters.

公立医院固定资产管理问题及对策研究

当前医疗改革正在推进,公立医院面临较大的生存挑战和竞争压力,需要适当加大固定资产投入,以提高自身竞争能力并为医疗服务创新发展创造有利条件。在此背景下,医院亟待提高固定资产管理水平,以有效利用资产并控制资产损失。但目前公立医院固定资产种类多、使用周期长、难管理等特点,固定资产管理存在固定资产需求分析和采购计划不详细、固定资产内控管理不到位、固定资产管理信息不对称等问题,这对公立医院资产管理及其他财务管理工作制造一定障碍。因此,文章对公立医院固定资产管理问题进行总结和分析,建议医院加强固定资产预算控制,完善固定资产相关预算方案设计与执行过程管理机制,对配套责任管理制度、信息采集与交换体系进行优化,提高管理人员能力素质,以此提高固定资产管理质量。

DYNAMIC VALUATION OF OPTIONS ON NON-TRADED ASSETS AND TRADING STRATEGIES

This paper investigates the pricing of options written on non-traded assets and trading strategies for the stock and option in an exponential utility maximization framework.Under the assumption that the option can be continuously traded without friction just as the stock,a dynamic relationship between their optimal positions is derived by using the stochastic dynamic programming techniques.The dynamic option pricing equations are also established.In particular,the properties of the associated solutions are discussed and their explicit representations are demonstrated via the Feynman-Kac formula.This paper further compares the dynamic option price to the existing price notions,such as the marginal price and indifference price.

基于AHP—收益法的互联网企业数据资产价值评估研究

随着数字经济的蓬勃发展,数据资产价值的估量显得日益重要。本文采取AHP(层次分析法)—收益法和实物期权模型对典型案例企业腾讯公司进行了数据资产估值研究,考虑了腾讯公司数据资产的当前价值和未来收益,评估结果符合企业价值发展趋势。从案例评估结果来看,其评估方法在现实中具有一定的可复制性与可操作性。

跳扩散模型下的外汇联动交换期权定价

在风险中性测度下,建立以外币计价的在境外上市的具有跳扩散过程的股票价格和汇率满足的随机微分方程,研究了附有汇率在某一区间变动的示性函数的外汇联动交换期权的定价问题.在实证分析中,结合港元/人民币汇率和沪港通股票价格的真实数据,讨论了所研究期权的定价问题,并与相关期权进行价格比较,同时对该期权的敏感度进行了分析.

基于模糊实物期权的企业碳资产估值模型构建

科学有效地碳资产评估是实现企业高效碳管理,促使全国碳排放权交易市场繁荣发展的一大助力。为提高企业碳资产评估效率,提升企业参与全国碳排放权交易市场的积极性,在充分研究企业参与碳排放权交易和碳排放权履约流程的基础上,分析企业碳资产的特性。基于实物期权理论和模糊数学理论,构建综合性企业碳资产估值模型,解决因碳价波动剧烈和忽视2种碳资产相关性而影响评估结果准确性的问题,并通过算例分析充分验证模型的有效性及稳定性。结果表明,基于模糊实物期权理论所提出的碳资产估值计算模型,可作为企业减碳降碳成效的判定依据,为实现高效碳资产管理带来助力,是推动企业充分参与碳市场,实现企业低碳转型的方法论探索。

构建全国统一数据登记平台,促进数据要素高质量流通与利用

目前国内数据资产登记体系存在包括登记机构主体差异大、登记标准不一、权威性不足、查询困难以及重复登记等问题,既限制了数据要素的顺畅流通,也影响了我国数据要素市场的完善和数字经济的全面发展。对此,可以通过强化顶层设计、完善法律法规、统一登记标准和流程以及采用“全国平台为主,地方平台为辅”的实施模式,建立全国统一的数据登记平台,以明确数据资产的权属,提高数据交易的透明度和公信力,促进数据要素的市场化配置,为经济社会的高质量发展注入新的活力。