Arbitrage‐free call option surface construction using regression splines

In this work, we suggest a novel quadratic programming‐based algorithm to generate an arbitrage‐free call option surface. The empirical performance of the proposed method is evaluated using S&P 500 Index call options. Our results indicate that the proposed method provides a more precise fit to observed option prices than other alternative methodologies. Copyright © 2014 John Wiley & Sons, Ltd.     

Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting

In this article, we derive expressions for conditional expectations in terms of regular expectations without conditioning but involving some weights. For this purpose, we apply two approaches: the conditional density method and the Malliavin method. We use these expressions for the numerical estimation of the price of American options and their deltas in a Lévy and jump-diffusion setting. Several examples of applications to financial and energy markets are given including numerical examples.     

基于供应方生产能力的应急物资生产模型

利用期权契约所建立的政企合作储备应急物资模式能够有效解决政府单独储备模式所造成的物资储备量过少或过多而引起的困境。然而由于应急物资的需求特性,若应急物资供应企业采用按单生产方式安排生产储备计划,势必会造成库存水平升高,引发资金周转困难等问题,对政企之间的长期合作造成不利影响。基于此,本文设计了基于供应方生产能力的应急物资生产模型。该模型在政府利用批发价格契约与期权契约采购应急物资的基础上,研究了供应方根据自身生产能力进行柔性生产时的生产与储备问题。通过推导政企双方最优决策后,重点分析了期权权利金,执行价格,加急生产成本等参数对供应方生产决策的影响,并证明与按单生产模式相比,柔性生产模式可有效降低供应方的库存量与生产成本,提高其利润,继而提高整体供应链的利润水平,有助于促进政企之间长期稳定的合作。     

基于ANP法的股权激励模式选择研究

本文对企业如何科学合理地选择股权激励模式问题进行研究探讨。不仅考虑到以往研究中的企业特征因素,同时也考虑了激励对象特征因素和外部实施环境因素,建立股权激励模式选择指标体系,并分析各指标间的依存关系,基于此构建了ANP网络结构模型,并选取两个代表性样本企业进行算例验证和应用,最终使得不同企业可根据自身的实际情况选择合适的股权激励模式,验证了该模型的合理性与可行性。     

中国国债期货与隐含择券期权定价

本文提出了一种双树拼接的改进BDT模型,在此基础上发展出两种方法为中国市场上的国债期货和择券期权定价。其中"直接定价法"直接使用双树拼接树图,"两步定价法"则是经期权调整的持有成本模型。对中国TF1403和T1603国债期货合约的实证研究表明,两种方法都是合理的,且各有优势,"两步定价法"与市场价格差异较小,"直接定价法"与市场价格同步性较高。     

Option Pricing and Hedging under a Markov Switching Lévy Process Model

In this paper,we consider a Markov switching Lévy process model in which the underlying risky assets are driven by the stochastic exponential of Markov switching Lévy process and then apply the model to option pricing and hedging.In this model,the market interest rate,the volatility of the underlying risky assets and the N-state compensator,depend on unobservable states of the economy which are modeled by a continuous-time Hidden Markov process.We use the MEMM(minimal entropy martingale measure) as the equivalent martingale measure.The option price using this model is obtained by the Fourier transform method.We obtain a closed-form solution for the hedge ratio by applying the local risk minimizing hedging.     

Unifying pricing formula for several stochastic volatility models with jumps

In this paper, we introduce a unifying approach to option pricing under continuous‐time stochastic volatility models with jumps. For European style options, a new semi‐closed pricing formula is derived using the generalized complex Fourier transform of the corresponding partial integro‐differential equation. This approach is successfully applied to models with different volatility diffusion and jump processes. We also discuss how to price options with different payoff functions in a similar way. In particular, we focus on a log‐normal and a log‐uniform jump diffusion stochastic volatility model, originally introduced by Bates and Yan and Hanson, respectively. The comparison of existing and newly proposed option pricing formulas with respect to time efficiency and precision is discussed. We also derive a representation of an option price under a new approximative fractional jump diffusion model that differs from the aforementioned models, especially for the out‐of‐the money contracts. Copyright © 2017 John Wiley & Sons, Ltd.     

人参属中药腐解化感作用研究进展

人参、西洋参和三七为人参属近缘物种,形态和化学成分相似,均具有连作障碍的特性。人参属中药连作后,土壤环境逐渐变得不适宜其生长,植株长势变弱易患病,导致生长发育受到抑制,出现严重的根腐病、须根脱落,甚至植株死亡现象。而造成人参属连作障碍的主要原因之一是化感物质的自毒作用,人参残体降解物作为人参化感物质主要来源之一,会导致种子发芽率下降,种苗死亡率升高、根腐病等病害加重,最终造成连作障碍。在人参属中药连作过程中,通过化感物质与土壤交流,也会直接或间接影响土壤理化性质的变化。对人参属中药腐解化感作用的研究进展以及腐解对土壤成分的影响进行综述,以期为人参属中药腐解化感作用及土壤利用的相关研究提供借鉴。     

矿物元素指纹图谱的建立及在西洋参产地鉴别中的应用研究

采用电感耦合等离子体质谱法测定了山东、吉林、美国和加拿大4个产地西洋参中50种矿物元素的含量,研究了不同产地西洋参矿物元素的差别和转换系数,构建了西洋参的矿物元素指纹图谱。以各产地矿物元素含量的平均值构建了山东、吉林、美国和加拿大产西洋参的矿物元素标准指纹图谱。采用SPSS 20.0计算了各西洋参矿物元素指纹图谱与其矿物元素标准指纹图谱的相似度,确定了山东、吉林、美国和加拿大产西洋参矿物元素指纹图谱的相似度阈值分别为0.93、0.91、0.98和0.93。通过比较未知产地西洋参矿物元素指纹图谱与矿物元素标准指纹图谱的相似度,进行西洋参的产地判别。采用20批未知产地西洋参样品验证模型的准确性,正确率为85%。此外,研究表明,不同生长年限和不同部位西洋参样品对所建立的西洋参产地鉴别方法无影响。