The robust pricing–hedging duality for American options in discrete time financial markets

We investigate the pricing–hedging duality for American options in discrete time financial models where some assets are traded dynamically and others, for example, a family of European options, only statically. In the first part of the paper, we consider an abstract setting, which includes the classical case with a fixed reference probability measure as well as the robust framework with a nondominated family of probability measures. Our first insight is that, by considering an enlargement of the space, we can see American options as European options and recover the pricing–hedging duality, which may fail in the original formulation. This can be seen as a weak formulation of the original problem. Our second insight is that a duality gap arises from the lack of dynamic consistency, and hence that a different enlargement, which reintroduces dynamic consistency is sufficient to recover the pricing–hedging duality: It is enough to consider fictitious extensions of the market in which all the assets are traded dynamically. In the second part of the paper, we study two important examples of the robust framework: the setup of Bouchard and Nutz and the martingale optimal transport setup of Beiglböck, Henry‐Labordère, and Penkner, and show that our general results apply in both cases and enable us to obtain the pricing–hedging duality for American options.     

A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES

We consider a portfolio/consumption choice problem in a market model with liquidity risk. The main feature is that the investor can trade and observe stock prices only at exogenous Poisson arrival times. He may also consume continuously from his cash holdings, and his goal is to maximize his expected utility from consumption. This is a mixed discrete/continuous stochastic control problem, non‐standard in the literature. The dynamic programming principle leads to a coupled system of Integro‐Differential Equations (IDE), and we provide a convergent numerical algorithm for the resolution to this coupled system of IDE. Several numerical experiments illustrate the impact of the restricted liquidity trading opportunities, and we measure in particular the utility loss with respect to the classical Merton consumption problem.     

Olympic Family Hotels

Quoted prices for hotel stays in Beijing during the summer Olympics have jumped up by four to ten times higher than normal,said China＇s biggest online booking provider Ctrip.com International Ltd.     

主题公园游乐设施游客等待心理变化研究——以长沙世界之窗为例

由于主题公园内有限的游乐设施与巨大的游客需求之间存在矛盾,主题公园内游客游乐设施的等待就成为一个常见且难以解决的问题。在对长沙世界之窗的超级搅拌机和4D星空影城两项游乐设施游客等待时间内心理变化调研的基础上,提出游客游乐设施等待心理变化曲线,应用经济学的相关理论对此进行了解释,可以从游客等待心理角度为主题公园经营与管理的改善提供思考。     

中国旅游规划30年回顾与展望

旅游规划在中国旅游业发展中的作用日趋明显,面临的挑战日趋增大,要从根本上提高旅游规划水平,必须从最基本的旅游理论及发展机理研究做起,探索旅游发展理念的地域化、空间化、形态化的途径.旅游规划的时代特点突出表现在旅游规划的价值观、旅游规划方法、旅游规划体系与制度、旅游规划职业上,旅游业可持续发展与资源的可持续利用与旅游规划语言的建立是旅游规划科学化、职业化最主要的学术前沿.     

对新时期我国宗教问题的思考

在新的历史条件下 ,宗教工作遇到大量新情况、新问题 ,需要我们在实践中不断加以研究和解决。在新时期需要我们以新型的执政意识重新审视宗教的特点、功能 ,结合江泽民同志“三个代表”的思想 ,以与时俱进的精神处理好宗教与社会主义社会的关系。     

近代以来中西政府经济职能理念的演化:大历史角度的比较与启示

近代以来,关于政府经济职能理念的演进,中国与西方发达国家有各自的演化过程.西方在市场经济的基本原则下,政府干预与经济自由不时交替进行:从重商主义到自由放任主义再到政府干预的加强,最近又出现二者的融合趋势.而中国近代从一开始,就是一个被动和赶超的过程,尽管市场意识在某些时期出现松动,但政府一直占有主导地位.从西方的经验来看,我们应该坚持有限政府理念,同时又得发挥政府的催化作用.     

综合标准化的现实意义

传统标准化已不适应当今时代的需求。建立在系统理论基础上的综合标准化是标准化工作观念的更新,是一系列标准化工作方法的创新。推行综合标准化对于适应技术发展的新形势,充分发挥标准的作用具有重要的现实意义。     

如何做好高校学生管理工作

高等院校学生管理工作对于学生的成才与就业,关系密切。大学生的发展不仅决定于其在大学期间所受的专业教育,而且也决定于个体的非智力性因素影响,其中学生的管理工作对其影响最为直接。结合实践经验,积极探索与创新适应市场经济要求的高校学生工作管理模式,十分重要。     

新媒体时代企业员工营销能力建设

新媒体时代,日新月异技术和行为给企业和员工造就无数的发展机遇同时,也带来了许多挑战。本文立足于新媒体时代的特点,从两个方面说明企业面临的问题：一个方面员工参与媒体营销带来挑战,另一个方面员工参与媒体营销带来好处。如何正确借用这个新媒体,使自己在这个趋势中正确辨别,更好利用,已经成为每个员工营销能力建设特别是管理者都要思考且迫切的问题。