Studies on the Valuation of Financial Assets and its applications

金融资产估值及其应用研究

基本信息

批准号：
20330068
负责人：
SAWAKI Katsushige
金额：
$ 11.23万
依托单位：
Nanzan University
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (B)
财政年份：
2008
资助国家：
日本
起止时间：
2008 至 2011
项目状态：
已结题

项目摘要

This research survey can be summarized as follows;(1) We consider contingent claims which enable both their buyer(investor) and seller(issuer) to exercise their rights at any time, that is, the buyer can exercise the right to buy or to sell a specific security for certain price. Analytical properties are investigated. This model can be applied to the valuation of the investment project and capital structures.(2) A continuous-time inventory model incorporated with the spot market is considered. This model is to dedicate the development of the bridge between inventory control and finance theory. The firm can purchase the product based on not only the long-term contract but also from the spot market We show that there exists an optimal procurement policy.(3) This research argues that foreign direct investment effectively writes a real option for the host government. A rational host government will exercise its option by expropriating when the value of holding/controlling the investment's assets and cash flow is greater than the value of keeping the option alive. We model a gas/oil production sharing agreement as a an American call option on an asset. The model has empirical implications for the strategic behavior of foreign investors.(4) We consider a model of valuing callable securities when the underlying asset price dynamic is modeled by regime switching process. We show that such model can be formulated an optimal stopping game with two boundaries. We provide analytical results of optimal stopping rules of the issuer and the investor under general payoff functions defined on the underlying asset price and the state of the economy.

本次研究调查可概括如下：(1)我们考虑或有债权，使其买方(投资者)和卖方(发行人)都可以随时行使其权利，即买方可以行使购买或出售的权利。以特定价格出售特定证券。研究分析特性。该模型可应用于投资项目和资本结构的评估。(2)考虑了与现货市场相结合的连续时间库存模型。该模型致力于建立库存控制和财务理论之间的桥梁。企业不仅可以根据长期合同购买产品，还可以从现货市场购买产品。我们证明存在最优采购政策。（3）本研究认为，外国直接投资有效地为东道国政府提供了实物期权。。当持有/控制投资资产和现金流的价值大于保持选择权的价值时，理性的东道国政府将通过征用来行使选择权。我们将天然气/石油生产共享协议建模为资产的美式看涨期权。该模型对外国投资者的战略行为具有实证意义。(4)我们考虑了当标的资产价格动态通过政权转换过程建模时可赎回证券的估值模型。我们证明这种模型可以制定具有两个边界的最佳停止博弈。我们提供了根据标的资产价格和经济状况定义的一般收益函数下发行人和投资者的最佳停止规则的分析结果。