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学术前沿讲座—On Option Greeks and Corporate Finance

发布时间:2020-09-14访问量:13

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报告题目

On Option Greeks and Corporate Finance

报告人(单位)

张国平教授(西安交通大学)

点评人(单位)

刘晓星教授

(必威官网登录)

点评人(单位)

尹威副教授

(必威官网登录)

在线会议信息

2020918日下午400

腾讯会议ID469 279 991;入会密码:200918

报告人简介

张国平教授是西安交通大学金禾经济研究中心、教授、博士生导师。

Dr.   Chang, Kuo-Ping is a professor at the Jinhe Center for Economic Research,   Xi’an Jiao Tong University. He graduated from University of Pennsylvania with   a Ph.D in economics and finance. He has authored four books, and published   various papers in prominent journals such as Management Science, European   Journal of Operational Research, Journal of Regulatory Economics, Energy   Economics and Applied Financial Economics. His research interests are   corporate finance, industrial organization, and derivatives pricing.Professor Chang’s recent new book: The   Ownership of the Firm, Corporate Finance, and Derivatives: Some Critical Thinking,   Springer, New York, 2015, clarifies the errors and misinterpretations in the   literature.

报告内容提要

This   paper has proposed new option Greeks and new upper and lower bounds for   European and American options. It also shows that because of the put-call   parity, the Greeks of put and call options are interconnected and should be   shown simultaneously. In terms of the theory of the firm, it is found that   both the Black-Scholes-Merton and the binomial option pricing models   implicitly assume that maximizing the market value of the firm is not equivalent   to maximizing the equityholders’ wealth. The binomial option pricing model   implicitly assumes that further increasing (decreasing) the promised payment   to debtholders affects neither the speed of decreasing (increasing) in the   equity nor the speed of increasing (decreasing) in the insurance for the   promised payment. The Black-Scholes-Merton option pricing model, on the other   hand, implicitly assumes that further increasing (decreasing) in the promised   payment to debtholders will: (1) decrease (increase) the speed of decreasing   (increasing) in the equity though bounded by upper and lower bounds, and (2)   increase (decrease) the speed of increasing (decreasing) in the insurance   though bounded by upper and lower bounds. The paper also extends the put-call   parity to include senior debt and convertible bond. It is found that when the   promised payment to debtholders is approaching the market value of the firm   and the risk-free interest rate is small, both the owner of the equity and   the owner of the insurance will be more reluctant to liquidate the firm. The   lower bound for the risky debt is: the promised payment to debtholders is   greater or equal to the market value of the firm times one plus the risk-free   interest rate.

  


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