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We prove that supply correspondences are characterized by two properties: the law of supply and being homogeneous of degree zero. [ABSTRACT FROM AUTHOR]

The Fourier-cosine expansion (COS) method is used to price European options numerically in a very efficient way. To apply the COS method, one has to specify two parameters: a truncation range for the density of the log-returns and a number of terms N to approximate the truncated density by a cosine series. How to choose the truncation range is already known. Here, we are able to find an explicit and useful bound for N as well for pricing and for the sensitivities, i.e., the Greeks Delta and Gamma, provided the density of the log-returns is smooth. We further show that the COS method has an exponential order of convergence when the density is smooth and decays exponentially. However, when the density is smooth and has heavy tails, as in the Finite Moment Log Stable model, the COS method does not have exponential order of convergence. Numerical experiments confirm the theoretical results. [ABSTRACT FROM AUTHOR]

Vanilla options become effective immediately after they are entered, while some exotic options will only come to effective some time after they are bought or sold. Forward starting options are one kind of such exotic options started actually at some pre-specified future date. This paper presents an extension of regime-switching jump diffusion model, in which the parameters are driven by a continuous time and stationary Markov chain on a finite state space, by introducing the Wishart process into the instantaneous variance-covariance matrix of the risky asset price and stochastic interest rate. We derive the discounted conditional joint characteristic function and the forward characteristic function of the log-asset price and its the instantaneous variance-covariance process, and thereby the price of forward starting options are well evaluated by the probabilistic approach combined with the Fourier-cosine (COS) method. We also provide efficient Monte Carlo simulation of this proposed model, and simulated solutions to forward starting options pricing within a two-state regime switching framework. Numerical results show that the COS method is accurate and efficient for pricing forward starting options. Finally, we analyse impacts of some main parameters (especially, parameters in the Wishart stochastic volatility) in this proposed model on option prices and Δ values. Also, we consider the forward implied volatility. Furthermore, the forward starting options under the regime-switching jump diffusion model with Wishart stochastic volatility and stochastic interest rate which we derived are more generalized than those recently appeared in the derivatives pricing literature, and thus have wider application. [ABSTRACT FROM AUTHOR]

Offering time-locked free trials is a common strategy in the software industry. Pioneering studies have mainly focused on time-locked free trial strategies in monopoly markets, and acknowledged that an overall positive effect on consumers' WTP is a prerequisite for offering free trials. However, software markets are often competitive, and consumers typically follow a Bayesian learning principle. We develop a game-theoretic model to examine time-locked free trial strategies in duopoly markets with switching costs. The results show that, in the markets with small switching costs, firms pursue opposite free trial strategies when the horizontal difference between products is small, and neither offers otherwise. If the switching costs are larger than a threshold, then both firms offer free trials when the horizontal difference between products is moderate. We further demonstrate that in the presence of functionality heterogeneity between products, firms are unable to reach an equilibrium in some specific cases, and more likely to take opposite free trial strategies in equilibrium. Moreover, if the firms do choose opposite strategies, interestingly, the firm with superior product does not offer free trials when switching costs are low, and is more willing to offer as switching costs increase. Our results are robust to the inclusion of other factors in the model, such as the possibility of consumers trying only one product, correlated consumer learning across different products, consumer heterogeneity in usage time, and network effects. [ABSTRACT FROM AUTHOR]

With the rapid development of the Chinese economy, people’s consumption structure has changed, and the investment in art and the tendency towards finance are increasing. The 13th Five Year Plan for the Development of National Cultural Relics clearly proposes to increase the protection of cultural relics and take multiple measures. Artworks have long been an essential investment target in the international capital market and belong to high value-added assets. In order to accurately predict the prices of calligraphy and painting artworks, this study proposes a machine learning based art price prediction method by combining ARCH model and Random Forest Regression (RFR) algorithm. Firstly, this study utilizes the ARCH model to capture the agglomeration effect of volatility in price time series, and reveals the inherent laws and volatility characteristics of price changes. Secondly, the Random Forest Regression (RFR) algorithm is introduced for price prediction. By constructing multiple decision trees and synthesizing their results, the non-linear and high-dimensional features of the data are effectively addressed. Research has shown that the RFR model exhibits high accuracy and stability in predicting art prices with multiple variables and complex relationships.

With the development of economy and the advance of society, the quality of life of the masses has been improved to a certain extent. Meanwhile, new approaches have emerged in the financial industry, such as the supply chain mode. This paper modeled the coupling relationship of financial markets based on deep learning model and proposed the supply chain financing strategy of financial markets in different countries. The experimental results show that when the minimum value of supply chain finance is 0.5577, the loss risk has not reached the boundary of the effectiveness of the risk control standard. Therefore, this paper aims to systematically analyze the financing mode of international trade supply chain, comprehensively perfect the international trade governance mode, and thus realize the freedom of trade, and at the same time, provide new ideas for enterprises' financing difficulties, and probe into the ways of supply chain financing mode in improving enterprises' financing difficulties, so as to help solve the financing difficulties of a large number of enterprises and optimize the financing strategy of international trade.

In recent years, cloud computing, Internet of Things, mobile Internet and other emerging technologies have emerged and developed continuously, prompting various kinds of data to gradually show an explosive growth trend, and the resulting impact has penetrated into all levels of industry, scientific research, education, family and society, which marks that mankind has entered the era of big data comprehensively. At the same time, with the arrival of the era of big data, the concept of decarbonizing and greening of the supply chain is deeply rooted in the hearts of people, and it has become an inevitable trend for enterprises to promote the development and innovation of green supply chain. The supply chain of e-commerce is inseparable from big data technology. This paper intends to effectively combine low carbon economy and e-commerce from the perspective of big data-based application, and explore the green supply chain innovation management strategy based on the combination of low carbon economy and e-commerce under big data technology, so as to effectively promote the innovation and development of green supply chain management strategy in the era of low carbon economy.

Technology trading is the main path for the transformation of scientific and technological, and it can connect the integration of science and technology with the economy. It plays an important role in the scientific and technological innovation chain. This article mainly focuses on the current situation of technology contract in Pudong New Area, Shanghai, analyzes the difficulties and problems faced in the development of the technology market in the new area, and puts forward policy suggestions to promote the development of the technology trading market. In order to promote the efficiency of Pudong's scientific and technological transformation, enhance the technological competitiveness of enterprises, accelerate the in-depth integration of science and technology with industry, and strengthen the ability of regional independent innovation.

Motivated by examples from the energy sector, we consider market equilibrium problems (MEPs) involving players with nonconvex strategy spaces or objective functions, where the latter are assumed to be linear in market prices. We propose an algorithm that determines if an equilibrium of such an MEP exists and that computes an equilibrium in case of existence. Three key prerequisites have to be met. First, appropriate bounds on market prices have to be derived from necessary optimality conditions of some players. Second, a technical assumption is required for those prices that are not uniquely determined by the derived bounds. Third, nonconvex optimization problems have to be solved to global optimality. We test the algorithm on well-known instances from the power and gas literature that meet these three prerequisites. There, nonconvexities arise from considering the transmission system operator as an additional player besides producers and consumers who, e.g. switches lines or faces nonlinear physical laws. Our numerical results indicate that equilibria often exist, especially for the case of continuous nonconvexities in the context of gas market problems. [ABSTRACT FROM AUTHOR]

In this paper, we study a model of a market with asymmetric information and sticky prices—the dynamic Stackelberg model with a myopic follower and infinite time horizon of Fujiwara ("Economics Bulletin" 12(12), 1–9 (2006)). We perform a comprehensive analysis of the equilibria instead of concentrating on the steady state only. We study both the equilibria for open loop and feedback information structure, which turn out to coincide, and we compare the results with the results for Cournot-Nash equilibria. [ABSTRACT FROM AUTHOR]

The present paper makes a research on the optimal cash holding problem in the continuous time under a class of utility functions, and verifies that the limit of the optimal cash holding strategy under a class of utility functions is equal to the optimal cash holding strategy under the power utility function. An empirical analysis is stated at the end of this paper. [ABSTRACT FROM AUTHOR]

Given two probability distributions expressing returns on two single risky assets of a portfolio, we innovatively define two consumer's demand functions connected with two contingent consumption plans. This thing is possible whenever we coherently summarize every probability distribution being chosen by the consumer. Since prevision choices are consumption choices being made by the consumer inside of a metric space, we show that prevision choices can be studied by means of the standard economic model of consumer behavior. Such a model implies that we consider all coherent previsions of a joint distribution. They are decomposed inside of a metric space. Such a space coincides with the consumer's consumption space. In this paper, we do not consider a joint distribution only. It follows that we innovatively define a stand-alone and double risky asset. Different summary measures of it characterizing consumption choices being made by the consumer can then be studied inside of a linear space over R . We show that it is possible to obtain different summary measures of probability distributions by using two different quadratic metrics. In this paper, our results are based on a particular approach to the origin of the variability of probability distributions. We realize that it is not standardized, but it always depends on the state of information and knowledge of the consumer. [ABSTRACT FROM AUTHOR]

To increase competition, control price, and decrease inefficiency in the carbon allowance auction market, limitations on bidding price and volume can be set. With limitations, participants have the same cap bidding price and volume. While without the limitations, participants have different values per unit of carbon allowance; therefore, some participants may be strong and the other week. Due to the impact of these limitations on the auction, this paper tries to compare the uniform and discriminatory pricing in a carbon allowance auction with and without the limitations utilizing a multi-agent-based model consisting of the government and supply chains. The government determines the supply chains' initial allowances. The supply chains compete in the carbon auction market and determine their bidding strategies based on the Q-learning algorithm. Then they optimize their tactical and operational decisions. They can also trade their carbon allowances in a carbon trading market in which price is free determined according to carbon supply and demand. Results show that without the limitations, the carbon price in the uniform pricing is less than or equal to the discriminatory pricing method. At the same time, there are no differences between them in the case with limitations. Overall, the auction reduces the profit of the supply chains. This negative effect is less in uniform than discriminatory pricing in the case without the limitations. Nevertheless, the strong supply chains make huge profits from the auction when mitigation rate is high. [ABSTRACT FROM AUTHOR]

This paper considers the revenue maximization problem for a hydropower company. The company can generate excess electricity by releasing water from a reservoir and then sell it to the energy market. On the other hand, the company has an obligation to keep the reservoir level above a pre-determined level, which may require the company to purchase electricity in order to fulfill the customers' power demand. The electricity price and reservoir level are both represented by diffusion processes. We refer to a one-factor diffusion model for electricity price, which is known to fit the data well. After applying Bellman dynamic programming principle, we derive the associated state-constrained Hamilton-Jacobi-Bellman (HJB) equation to characterize the value function. Then we prove that the value function is the viscosity solution of the state-constrained HJB equation and it is unique in this constrained optimization problem. [ABSTRACT FROM AUTHOR]

Prior literature suggests that the publication rates of female academics are less than the publication rates of male academics. This holds true in nearly every academic field and in every region, but these differences are declining over time. Women also are underrepresented in the first-author byline position. This study examines academics working and publishing in different business disciplines, and it addresses three distinct topics. It investigates (1) whether there is a relationship between the gender of first-listed authors of articles published and the ranking of journals; (2) it considers the relationship between the gender of the first-listed author of articles and different disciplines within business, specifically accounting, business technology, marketing, and organizational behavior; and (3) it evaluates how the publication rates of the two genders of first authors change over a 20-year period (1999–2018) for different disciplines. This research demonstrates that the gender gap is closing for female first authors in business academics, but that parity has not yet been reached. Women continue to be published less frequently in first-author positions in journals across all business disciplines studied, but especially in the higher-ranked journals, albeit with significant differences between business academic disciplines. [ABSTRACT FROM AUTHOR]

This paper is devoted to the proof of an equilibrium existence theorem in incomplete markets, concerning the one-period economy with a finite number states of the world. The proof of the main theorem relies on the Brouwer Fixed Point Theorem. The assumption of incomplete markets is crucial for the proof of the main theorem, since the pricing functionals'-space is not one-dimensional. Usually, in General Equilibrium Theory of Incomplete Markets, the utility functions of the consumers -investors are supposed to be smooth-regular. In the present paper, we assume that the utility functions are continuous and the risk-less asset is extremely desirable. This class of utility functions assures that the demand vector is well-defined and unique, as well. The interest of economists about the effect of perturbation of pricing functionals on the existence of equilibrium is satisfied by the reference on the pricing functionals' dimension. The equilibrium allocation uniqueness is not deduced by the Brouwer Fixed Point Theorem. We also notice that the existence of equilibrium may be deduced in the corresponding multi-period model by using the corresponding event-tree. [ABSTRACT FROM AUTHOR]

We investigate the possibility of completing financial markets in a model with no exogenous probability measure, with market imperfections and with an arbitrary sample space. We also consider whether such an extension may be possible in a competitive environment. Our conclusions highlight the economic role of complexity. [ABSTRACT FROM AUTHOR]

In this paper, we study arbitrage theory in a basic multi-period market model. Malamud and Trubowitz (Math Financ Econ 1(2): 129–161, 2007) used an aggregate state-price deflator and an orthogonal projection onto the payoff subspace to describe the recursive structure of optimal consumption streams. We present explicit expressions of these instruments. We also prove that the density process of a unique minimal martingale measure, with respect to an original measure, can be the aggregate state-price deflator in a market discounted by a numeraire. [ABSTRACT FROM AUTHOR]

This paper studies the trading behavior of an irrational insider and its influence on the market equilibrium in the presence of market regulation. We find that the market with only one insider with private information is almost close to a strong efficient market, under the condition of market regulation. In the equilibrium, the probability of the insider being caught trading with private information is zero, which shows that the reasonable behavior of the regulator is to essentially give up regulation. But the market efficiency and the irrational trader's trading intensity all greatly improve because of the existence of the market regulation. [ABSTRACT FROM AUTHOR]

The research on the numerical solution of the two-dimensional Black–Scholes equation (the quanto options pricing model) has important theoretical significance and practical value. We propose a class of parallel difference methods for the quanto options pricing model. On the basis of explicit–implicit alternating scheme, inner boundary values of the implicit band are given by explicit calculation of the adjacent points. Then we can get pure alternating band explicit–implicit (PABdE-I) and implicit–explicit (PABdI-E) difference schemes. Numerical experiments and theoretical analysis consistently show that PABdE-I format and PABdI-E format have good parallelism, unconditionally stable and second-order accuracy in time and space. Compared with the classical Crank–Nicolson (C-N) format and alternating band Crank–Nicolson (ABdC-N) format, the calculation efficiency of PABdI-E save 93.56% and 66.13%, in separately. In addition, the calculation accuracy is better than ABdC-N format. The numerical experiments show the schemes given by this paper for solving the quanto options pricing model are high efficiency. [ABSTRACT FROM AUTHOR]

We obtain a dual representation of the Kantorovich functional defined for functions on the Skorokhod space using quotient sets. Our representation takes the form of a Choquet capacity generated by martingale measures satisfying additional constraints to ensure compatibility with the quotient sets. These sets contain stochastic integrals defined pathwise and two such definitions starting with simple integrands are given. Another important ingredient of our analysis is a regularized version of Jakubowski's S-topology on the Skorokhod space. [ABSTRACT FROM AUTHOR]

We introduce a new option pricing equation with noise in a frictional financial market, which is fully different from the classical option pricing equation, and arrive at the existence of martingale solutions of this option pricing equation regardless of incompressibility. Furthermore, we also discuss the uniqueness of martingale solutions. [ABSTRACT FROM AUTHOR]

A solution to a portfolio optimization problem is always conditioned by constraints on the initial capital and the price of the available market assets. If a risk neutral measure is known, then the price of each asset is the discounted expected value of the asset's price under this measure. But if the market is incomplete, the risk neutral measure is not unique, and there is a range of possible prices for each asset, which can be identified with bid-ask ranges. We present in this paper an effective method to determine the current prices of a collection of assets in incomplete markets, and such that these prices comply with the cost constraints for a portfolio optimization problem. Our workhorse is the method of maximum entropy in the mean to adjust a distortion function from bid-ask market data. This distortion function plays the role of a risk neutral measure, which is used to price the assets, and the distorted probability that it determines reproduces bid-ask market values. We carry out numerical examples to study the effect on portfolio returns of the computation of prices of the assets conforming the portfolio with the proposed methodology. [ABSTRACT FROM AUTHOR]