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.     

连续红利支付在跳扩散模型下的再装期权的定价

本文在连续时间支付红利,且股票价格服从Poisson跳-扩散过程的假设下,建立股票价格模型,并应用保险精算法给出一类奇异期权—再装期权再装一次情况下的定价公式.     

软件服务供应链合同设计与协调策略

考虑了整合式软件服务供应链和分散式软件服务供应链两种模式,以整合供应链为基准对分散供应链下的软件开发合同设计与协调问题进行了研究。在分散供应链下,分析了固定价格合同、销量激励合同和成本分担合同三种合同对供应链收益的影响,探索了这些合同的激励机制,考察了这些合同的适用环境。研究表明:三种合同中,成本分担合同对软件开发商的激励最高,达到了整合供应链下的协调水平;固定价格合同适用于软件用户对质量不太注重而对价格比较敏感、以及开发成本较高的情形,销量激励合同适用于软件用户对质量比较注重而对价格不太敏感、以及开发成本较低的情形,成本分担合同适用于平台运营商易于监测软件开发商开发成本的情形。     

Wick–Itô formula for regular processes and applications to the Black and Scholes formula

We derive a Wick–Itô formula, that is, an Itô-type formula based on Wick integration. We derive it in the context of regular Gaussian processes which include Brownian motion and fractional Brownian motion with Hurst parameter greater than 1/2. We then consider applications to the Black and Scholes formula for the pricing of a European call option. It has been shown that using Wick integration in this context is problematic for economic reasons. We show that it is also problematic for mathematical reasons because the resulting Black and Scholes formula depends only on the variance of the process and not on its dependence structure.     

Risk-sensitive dynamic pricing for a single perishable product

We show that the monotone structures of dynamic pricing for a single perishable product under risk-neutrality are preserved under risk-sensitivity with the additive general utility and atemporal exponential utility functions. We also show that the optimal price is decreasing over the degree of risk-sensitivity under the exponential class of both additive and atemporal utility functions.     

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.     

Maximum likelihood estimation for stochastic volatility in mean models with heavy‐tailed distributions

In this article, we introduce a likelihood‐based estimation method for the stochastic volatility in mean (SVM) model with scale mixtures of normal (SMN) distributions. Our estimation method is based on the fact that the powerful hidden Markov model (HMM) machinery can be applied in order to evaluate an arbitrarily accurate approximation of the likelihood of an SVM model with SMN distributions. Likelihood‐based estimation of the parameters of stochastic volatility models, in general, and SVM models with SMN distributions, in particular, is usually regarded as challenging as the likelihood is a high‐dimensional multiple integral. However, the HMM approximation, which is very easy to implement, makes numerical maximum of the likelihood feasible and leads to simple formulae for forecast distributions, for computing appropriately defined residuals, and for decoding, that is, estimating the volatility of the process. Copyright © 2017 John Wiley & Sons, Ltd.     

两阶段双寡头垄断市场Hotelling定价模型

激烈的双寡头垄断市场竞争环境下,单一定价和歧视定价成为厂商选择的两大定价策略.考虑到网络外部效用的广泛存在性与对称性,对传统的Hotelling模型加以改进,分价格竞争和策略选择两个阶段,对双寡头垄断厂商的定价策略进行了博弈分析,指出了各种均衡情况及需满足的条件,并验证了歧视定价相对单一定价的边际成本、网络外部效应、消费者对产品的忠诚度等因素对厂商进行定价策略选择的重要影响,为其制定最优定价策略提供了指导.     

Hopf bifurcation of the third-order Hénon system based on an explicit criterion

In this paper, Hopf bifurcation of the third-order Hénon system is studied via a simple explicit criterion, which is derived from the Schur–Cohn Criterion. Moreover stability of Hopf bifurcation is also investigated by using the normal form method and center manifold theory for the discrete time system developed by Kuznetsov. Test results containing simulations and circuit measurement are shown to demonstrate that the criterion is correct and feasible.