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基于修正Black-Scholes期权定价模型的存款保险定价探微
Black-Scholes模型 所得税 监管宽容 存款保险
2018/11/19
以经典Black-Scholes期权定价模型为基础，引入所得税和监管宽容两个参数，并在实行监管宽容政策时将其分成暂不干预和注入帮助基金两个阶段，给出了修正后的存款保险定价公式，据此推证了所得税、监管宽容与存款保险定价的变化关系。基于此，对我国的存款保险政策提出了一些建议。
上证50ETF期权的问世开启了中国股票期权的时代，中国股票期权市场发展潜力巨大，未来的几年将会迅速发展壮大，投资者可以通过购买股票期权进行风险规避或投机获利。为提高股票期权定价的精确性，可以从无风险利率的计算方法、运用GARCH模型进行股票收益率的预测以及引入股票分红三个方面对Black-Scholes股票期权定价模型进行修正，并将GARCH模型预测的股票价格波动率代入Black-Scholes股...
云南财经大学金融学院金融工程课件第5章 期权定价的Black-Scholes-Merton模型
云南财经大学金融学院 金融工程 课件 第5章 期权定价的Black-Scholes-Merton模型
2016/1/11
云南财经大学金融学院金融工程课件第5章 期权定价的Black-Scholes-Merton模型。
The Stanford Institute for Economic Policy Research at Stanford University supports research bearing on
economic and public policy issues. The SIEPR Discussion Paper Series reports on research and po...
‘The Beautiful Faces of my Black People’: race, ethnicity and the politics of Colombia’s 2005 census
black race and ethnicity Latin America Colombia census multiculturalism.
2014/3/20
The recent multicultural turn in Latin America has made the census a key site of struggle for both recognition and resources. Drawing on document analysis and ethnographic methods, this paper examines...
From Minority Game to Black & Scholes pricing
Minority Game Agent-based models Option pricing Market calibration
2012/6/5
In this paper we study the continuum time dynamics of a stock in a market where agents behavior is modeled by a Minority Game with number of strategies for each agent S=2 and "fake" market histories. ...
THE 1930s AS BLACK MIRROR Visions of historical repetition in the global financial press, 2007-2009
BLACK MIRROR the global financial press
2014/4/21
Media coverage of the recent financial crisis has referred extensively to various past
crises, and in particular to the events of the 1930s. This article suggests that the idea of
the Great Depres...
We show that the non Hermitian Black-Scholes Hamiltonian and its various generalizations are pseudo Hermitian. The metric operator is explicitly constructed for this class of Hamitonians.It is also s...
Reinhardt, Forest;John D. Black Professor in Harvard Business School（图）
Reinhardt, Forest Professor Business
2011/11/2
Forest L. Reinhardt is the John D. Black Professor of Business Administration at Harvard Business School.
The first years of the 21st century have already witnessed two "once in a generation" financial declines?black swans" are alive and well. ?Black swans refer to the impossible or highly unlikely actual...
On the fractional Black-Scholes market with transaction costs
fractional Brownian motion proportional transaction costs
2010/10/20
We consider fractional Black-Scholes market with proportional transaction costs. When transaction costs are present, one trades periodically i.e. we have the discrete trading with equidistance $n^{-1}...
Two stock options at the races: Black-Scholes forecasts
stock options races Black-Scholes forecasts
2010/10/20
Suppose one buys two very similar stocks and is curious about how much, after some time T, one of them will contribute to the overall asset, expecting, of course, that it should be around 1/2 of the s...
Shortfall Risk Approximations for American Options in the multidimensional Black--Scholes Model
Black--Scholes American Options
2010/4/28
We show that shortfall risks of American options in a sequence of multinomial approximations of the multidimensional Black--Scholes (BS) market converge to the corresponding quantities for similar Ame...
Adiabaticity Conditions for Volatility Smile in Black-Scholes Pricing Model
Volatility smile Black-Sholes model no-arbitrage conditions
2010/10/19
Our derivation of the distribution function for future returns is based on the risk neutral approach which gives a functional dependence for the European call (put) option price, C(K), given the stri...
The Right to Difference: Explaining Colombia’s Shift from Color Blindness to the Law of Black Communities
Explaining Colombia’s Shift Color Blindness Law of Black Communities
2014/3/20
Drawing on archival analysis and in-depth interviews, this article examines Colombia’s adoption of policies for black Colombians in 1993. It argues that Afro-Colombian activists were able to seize upo...