Some Misconceptions in Derivative Pricing
讲座名称：
Some Misconceptions in Derivative Pricing
讲座时间：
2012-12-04
讲座人：
张国平
形式：
校区：
兴庆校区
实践学分：
讲座内容：
应数学与统计学院的邀请，国际知名计量财务金融学者，台湾清华大学张国平教授将于2012年12月3日至12月10日访问我校并作如下学术报告。
报告题目：Some Misconceptions in Derivative Pricing
报告时间：2012年12月4日（星期二）下午4:30-5:30
报告地点：理科楼407室
报告内容：
This paper has used the Arbitrage Theorem (Gordan Theorem) to show that first, all securities are derivatives for each other, and they are priced by the same risk neutral probability measure. Second, after the firm changes its debt-equity ratio, the equity holders can always combine the new equity with other existing securities to create a home-made equity which will give exactly the same time-1 payoff of the old equity. That is, we have a capital structure irrelevancy proposition: changes in firms’ debt-equity ratios will not affect equity holders’ wealth (welfare), and equity holders’ preferences toward variance are irrelevant. Third, when the firm moves from a more certain project to a more uncertain one, the time-0 price of equity will increase, but (because the time-1 payoff of common bond has an upper bound) the time-0 price of common bond will decrease. Fourth, different labor contractual arrangements will not affect the time-0 price of labor input. When the firm moves from a more certain project to a more uncertain one, the time-0 price of labor input will increase if it is under the share or the mixed contract.
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