Error analysis of finite difference and Markov chain approximations for option pricing

Mijatovi? and Pistorius proposed an efficient Markov chain approximation method for pricing European and barrier options in general one‐dimensional Markovian models. However, sharp convergence rates of this method for realistic financial payoffs, which are nonsmooth, are rarely available. In this paper, we solve this problem for general one‐dimensional diffusion models, which play a fundamental role in financial applications. For such models, the Markov chain approximation method is equivalent to the method of lines using the central difference. Our analysis is based on the spectral representation of the exact solution and the approximate solution. By establishing the convergence rate for the eigenvalues and the eigenfunctions, we obtain sharp convergence rates for the transition density and the price of options with nonsmooth payoffs. In particular, we show that for call‐/put‐type payoffs, convergence is second order, while for digital‐type payoffs, convergence is generally only first order. Furthermore, we provide theoretical justification for two well‐known smoothing techniques that can restore second‐order convergence for digital‐type payoffs and explain oscillations observed in the convergence for options with nonsmooth payoffs. As an extension, we also establish sharp convergence rates for European options for a rich class of Markovian jump models constructed from diffusions via subordination. The theoretical estimates are confirmed using numerical examples.     

Evaluating museum visitor experiences based on user-generated travel photos

ABSTRACT

This research introduces online travel photos published on social media platforms as a complementary data resource to examine the behavior and experience of museum visitors. The practical value of online travel photos is demonstrated through a case study of popular Hong Kong museums, particularly by using the photo content and metadata available from the Flickr platform. The proposed approach is a generic method for understanding museum visitor behavior and preferences, and supports museum practitioners in developing improved products for visitors. The case study findings are particularly beneficial for tourism managers, especially those in Hong Kong, in promoting and attracting tourists to visit local museums.     

Personal Income Tax Reform in China in 2018 and Its Impact on Income Distribution

In the context of personal income tax (PIT) reform in China in 2018, this paper examines some of the major issues of concern regarding the reform and income distribution. Using the China Personal Income Tax Micro‐simulation model, the paper compares the differences between the 2011 and 2018 PIT systems, and finds that residents relying on different income sources may face a large degree of real tax rate change. Once the tax system is altered to PIT 2018, the coverage of PIT for wage earners will decrease from 46.9 to 23.4 percent, the income redistributive effect will drop from 1.95 to 1.22 percent and the PIT's role in fiscal revenue will also be negatively affected. Nevertheless, if individual income continues to grow, the share of PIT in fiscal revenue is expected to return to the 2018 level in 2022, but its income redistribution function is difficult to recover in the short term. The paper finds that the effect of PIT on income distribution depends on the tax structure. Gradual transition to an “entirely comprehensive” tax system when conditions are appropriate will achieve better income redistribution results at a lower average tax rate.     

Impact of Online Customer Reviews on Sales Outcomes: An Empirical Study Based on Prospect Theory

This study examines the influence of the valence of online customer reviews on sales outcomes based on prospect theory. Numerous studies have revealed the importance of customer reviews in online marketing. However, only few studies have explored the impact of online customer reviews on sales outcomes in the dynamic process. Prior studies in behavioral economics literature have indicated that people differently value gains and losses and that losses have more emotional impact than an equivalent amount of gains. This study verifies whether prospect theory applies to the relation between online customer reviews and sales outcomes. Relevant data were collected from Amazon.co.jp, and three statistical models were employed to investigate the relation between the two factors. Major findings confirm that negative customer reviews considerably impact online sales than positive reviews. Furthermore, the findings indicate that the marginal effects of positive and negative reviews decrease with the increase in their volume. The results of this study will enable marketers to compare the relative sales effects of different types of customer reviews and improve the effectiveness of customer service management.     

吉林省农用地生态服务功能价值时空演化研究

[目的]该研究从农用地的功能出发,以吉林省9个地市(州)作为研究对象,研究吉林省农用地生态服务功能价值时空演化规律。[方法]运用影子工程法、碳税法、造林成本法和替代法等多种方法测算2005—2015年吉林省农用地的生态服务功能价值,并运用Ar GIS10. 2对2005—2015年吉林省农用地生态服务功能的时空演变进行研究。[结果](1) 2005—2015年辽源市、白山市、四平市、松原市、通化市和延边州等农用地生态服务功能价值分别下降为-24. 33%、-22. 69%、-15. 88%、-12. 53%、-12. 09%、-5. 34%;(2) 2005—2015年白城市、吉林市和长春市农用地生态服务功能价值上升为25. 9%、7. 83%、0. 21%;(3) 2005—2015年吉林省林地和耕地的生态服务功能价值大于草地和水域的生态服务功能价值。[结论] 2005—2015年吉林省农用地生态服务功能价值存在着空间差异,呈现东高西低之势,究其原因是因为吉林省东部地区为低山丘陵地带,林地、水域面积大,生态环境保护比较好,而中西部地区为松辽平原,耕地面积较大,林地和草地面积较小,且伴随经济发展,城市发展不断蚕食农用地,使得农用地面积减少所致。研究结果旨在为保护生态环境、完善农用地价值补偿制度、保护农用地等方面政策的制定提供理论依据。     

Fundamental Analysis: Combining the Search for Quality with the Search for Value

Using cross‐sectional forecasts, we combine fundamental analysis strategies based on quality, such as the FSCORE from Piotroski (2000) and the GSCORE from Mohanram (2005), with strategies based on value, such as the V/P ratio from Frankel and Lee (1998) and the PEG ratio. While all four strategies generate significant hedge returns, combining quality‐driven and value‐driven approaches substantially improves the efficacy of fundamental analysis. Our parsimonious two‐dimensional approach can be applied to a wide cross section of stocks and outperforms common practitioner approaches that require a lengthy time series of data. The improvements in hedge returns hold for a variety of partitions and are robust to controls for risk factors and other determinants of stock returns. While the efficacy of fundamental analysis has declined in recent years, this can partially be attributed to investors arbitraging away excess returns by investing in fundamental strategies.     

国家高新区能否提升城市创新水平?

文章基于2003年至2016年我国215个城市面板数据，运用双重差分模型、空间双重差分模型和分位数回归模型等方法，实证检验了国家高新区对城市创新水平的影响及其空间异质性特征。研究结果表明，国家高新区建设显著提升了城市创新水平，并且高新区设立带动的城市投资集聚是推动城市创新水平提升的重要原因。空间双重差分结果表明，国家高新区对城市创新水平的提升作用并非源于其对周边城市创新资源的掠夺，相反高新区设立对周边城市和省内城市均产生了显著的溢出效应，提升了本省城市和周边外省城市创新水平。此外，国家高新区对城市创新水平的影响具有空间异质性特征，在省会城市、直辖市和副省级城市，高新区对城市创新水平的影响并不显著，而能够显著提升一般地级市创新水平；随着城市创新水平的提升，高新区建设对城市创新水平的促进作用呈现出先增强、后减弱直至不再显著的非对称"倒V型"变化特征。但是研究也发现，国家高新区对城市创新水平影响的区位异质性并不显著，高新区对东部地区和中西部地区城市创新水平提升均具有显著的促进作用。     

Improving forecasting performance of realized covariance with extensions of HAR-RCOV model: statistical significance and economic value

Dynamic model selection is likely the best model for covariance matrix forecasting from both the statistical and economic perspectives     

社会主义核心价值观融入高职"思政"课堂研究综述

本文全面梳理了当前国内学者对社会主义核心价值观培育融入高职院校思政课堂研究的概貌,为研究高职院校"思政"课教学培育和践行核心价值观的"落细、落小、落实"打下基础.     

稻鳅共生种养模式试验研究

[目的]稻鳅共生是典型的稻田综合利用模式,符合生态农业发展方向。通过对稻鳅共生生态系统的生理生态学机制开展试验研究,为进一步推广稻鳅共生种养模式提供科学依据。[方法]采用田间试验方法,以水稻单作为对照,研究了不同泥鳅养殖密度下的稻鳅共生对水稻农艺性状、土壤理化性质、水稻产量构成的影响,并对稻鳅共生种养模式进行了经济效益分析。[结果]与对照处理相比,水稻长势在株高、有效分蘖率、根长等方面有一定提高。养殖田水稻株高增高了3%,有效分蘖率提高了8%~11%,根长提高了8.8%~31.3%。在土壤理化性质方面,与对照相比,土壤容重降低了7.1%~21.2%,孔隙度增加了4.1%~14.7%。实验前后养殖田内土壤有机质增加了3.5%~26.5%,对照田降低了2.5%~5.8%。土壤肥力(氮、磷、钾)减少,但减少幅度小于对照处理。稻鳅共生种养模式下水稻产量提高了5%~25%,同时稻田增收泥鳅1 725~3 375kg/hm2,净收入为1.836 0万~2.307 0万元/hm2,经济效益提高了3.65~4.84倍。稻鳅共生种养模式中泥鳅的养殖密度为30万尾/hm2时稻田的生态效益和经济效益最佳。[结论]稻鳅共生有效改善了土壤理化性质,促进了水稻的生长,提高了稻田产量和产值。