VIX term structure and VIX futures pricing with realized volatility

Using an extended LHARG model proposed by Majewski et al. (2015, J Econ, 187, 521–531), we derive the closed-form pricing formulas for both the Chicago Board Options Exchange VIX term structure and VIX futures with different maturities. Our empirical results suggest that the quarterly and yearly components of lagged realized volatility should be added into the model to capture the long-term volatility dynamics. By using the realized volatility based on high-frequency data, the proposed model provides superior pricing performance compared with the classic Heston–Nandi GARCH model under a variance-dependent pricing kernel, both in-sample and out-of-sample. The improvement is more pronounced during high volatility periods.     

Semistatic hedging and pricing American floating strike lookback options

We price an American floating strike lookback option under the Black–Scholes model with a hypothetic static hedging portfolio (HSHP) composed of nontradable European options. Our approach is more efficient than the tree methods because recalculating the option prices is much quicker. Applying put–call duality to an HSHP yields a tradable semistatic hedging portfolio (SSHP). Numerical results indicate that an SSHP has better hedging performance than a delta-hedged portfolio. Finally, we investigate the model risk for SSHP under a stochastic volatility assumption and find that the model risk is related to the correlation between asset price and volatility.     

质检机构B/S架构检验信息管理系统的开发应用

对原有的C/S结构下产品质量监督检验综合服务平台进行改进与提升,通过B/S架构平台完整实现内部流程和业务的信息化管理。同时,对外拓宽检验信息状态,及时通知、查询企业质量状况等内容,以适应我国电子政务和现代管理发展趋势,更好的建设服务型质检技术支撑机构。     

卷烟物流企业服务社会消费品市场可行性探索——以贵州省毕节市卷烟物流配送中心为例

研究经济社会相对落后的山区卷烟物流企业为社会提供服务消费品市场的问题,是必要的,也是可能的,对于其存在的困难和面临的大环境,提出应树立危机意识,财务核算相对独立及运营模式相对独立等对策。     

Some New Results on When Extra Risk Strictly Increases an Option's Value

In this paper, we present some new results on when extra risk strictly increases an option's value. We give a necessary and sufficient condition for a mean‐preserving spread to strictly increase an option's value. We also give a necessary and sufficient condition for a risk change to strictly increase the values of options with strike prices in an open interval while preserving the values of all other options. These two results significantly improve the results given by Rasmusen (2007) (When does extra risk strictly increase an option's value? Review of Financial Studies, 20, 1647–1667). © 2012 Wiley Periodicals, Inc. Jrl Fut Mark 33:44–54, 2013     

Symbiotic Marketing and Trust-Related Issues: Empirical Evidence From an Emerging Economy

ABSTRACT

Adopting a perspective of social capital theory, we study the effect of market orientation on the stability of symbiotic alliances in an emerging economy. Focusing on a subset of the alliances, namely symbiotic marketing alliances, the results reveal that firms’ market orientation has a positive effect on social capital, which, in turn, has a positive effect of the stability of the symbiotic marketing alliances. Moreover, social capital also has a positive effect on the sharing of resources among the partners, which should also influence the stability of the alliance. This report concludes with a discussion of the implications for academic researchers and practitioners.     

我国钛白粉生产概况和发展建议

好我国钛白粉（ＴｉＯ２）的生产概况,并提出发展建议。     

博客营销：加入而不是控制

博客，英文blog，起初只是一种很“酷”的行为，只有那些思想时髦、另类的人喜欢在自己的博客里发表“一家之言”。现如今，博客的流行和普及大大超出人们的预料。现在世界上平均每5．8秒钟诞生一个博客，中国的博客数量已由2003年的20万增长到2005年的近1000万，预计2006年将达1520万。     

浅谈电子设备中软件可靠性与稳定性的检验

本文结合某电子设备中一个软件故障的发现、验证和排除过程,就如何对电子设备中软件可靠性与稳定性的检验进行了一定的探讨。