PRICING EUROPEAN OPTION IN A DOUBLE EXPONENTIAL JUMP-DIFFUSION MODEL WITH TWO MARKET STRUCTURE RISKS AND ITS COMPARISONS

Using Fourier inversion transform, P.D.E. and Feynman-Kac formula, the closedform solution for price on European call option is given in a double exponential jump-diffusion model with two different market structure risks that there exist CIR stochastic volatility of stock return and Vasicek or CIR stochastic interest rate in the market. In the end, the result of the model in the paper is compared with those in other models, including BS model with numerical experiment. These results show that the double exponential jump-diffusion model with CIR-market structure risks is suitable for modelling the real-market changes and very useful.

Study of the impacts of upstream natural gas market reform in China on infrastructure deployment and social welfare using an SVM-based rolling horizon stochastic game analysis

Natural gas is expected to play a much more important role in China in future decades, and market reform is crucial for its rapid market penetration. At present, the main gas fields, pipelines and liquefied natural gas(LNG) infrastructure are mainly monopolized by large state-owned companies, and one of the important market reform policies is to open up LNG import rights to smaller private companies and traders. Therefore, in the present study, a game theoretical model is proposed to analyze and compare the impacts of different market structures on infrastructure deployment and social welfare. Moreover, a support vector machine-based rolling horizon stochastic method is adopted in the model to simulate real LNG price fluctuations. Four market reform scenarios are proposed considering different policies such as business separation, third-party access(TPA) and their combinations. The results indicate that, with third-party access(TPA)entrance into the LNG market, the construction of LNG infrastructure will be promoted and more gas will be provided at lower prices, and thus the total social welfare will be improved greatly.

Assessing the maturity of China's seven carbon trading pilots

Indicators based on the developed version of the Capability Maturity Model were set up to access the maturity degree of China's seven pilot carbon markets from 2013 to 2017. Results show that the maturity degree of Shenzhen and Beijing pilot carbon markets ranks first;while those of Guangdong, Hubei, and Shanghai rank second. Tianjin and Chongqing rank lowest. Most of pilot markets failed to perform well on price efficiency except Shenzhen. There is significant disparity in the scores that the pilot carbon markets got, with a range from 9 to 73. The drivers to maintain market maturity is different among the pilot markets, either with a good performance on market structure, scale, or efficiency could lead to a certain score. Much could be done to increase the maturity level of the carbon market. Further downscaling the firm size, raising the legislation level, and increasing the participation of the third party entities may help the carbon market to grow healthier.

Assessing Market Competition in the Chinese Banking Industry Based on a Conjectural Variation Model

Most literature on market competition in the banking industry neglects to address strategic interaction among banks.This paper studies interaction among Chinese banks by dividing banks into two groups:dominant banks(the"Big 5f,state-owned banks)and small-and medium-sized banks(joint-stock banks and large city commercial banks).We test an oligopolistic model with conjectural variation developed by Spiller and Favaro(1984).Using data from 2007 to 2016,we find that banking competition is not in the form of Stackelberg competition per se.Some strategic interactions exist between small-and medium-sized banks and the largest state-owned bank.We also study the effect of interest rate deregulation on oligopolies'strategic interactions.Our results show that interest rate deregulation stimulates banking competition by reducing collusiveness among the dominant state-owned banks and enhancing the market power of small and medium banks.

Day-ahead optimal scheduling method for grid-connected microgrid based on energy storage control strategy

A day-ahead optimal scheduling method for a grid-connected microgrid based on energy storage(ES)control strategy is proposed in this paper.The proposed method optimally schedules ES devices to minimize the total operating costs while satisfying the load requirements of cold,heat,and electricity in microgrids.By modeling the operating cost function of each stage,the proposed method is able to adapt to different types of electricity markets and pricing mechanisms.The technical characteristics of ES,such as self-discharge and round-trip efficiency,are considered in the control strategy with a multistage process model.An improved dynamic programing method is used to solve the optimization model.Finally,case studies are provided to illustrate the application process and verify the proposed method.

What do we know about housing supply?The case of Hong Kong SAR

The house price in the Hong Kong SAR of China is well-known to be‘unaffordable’.This paper relates the macroeconomy with the housing market of Hong Kong and argues that the housing supply plays a vital role in explaining the phenomenon.This paper also shows that there are some practical challenges in understanding the housing supply of Hong Kong,including the potentially complicated ownership structure of real estate development.While the discussion centres on the situation of Hong Kong,its lesson may also apply to housing markets in other small open economies.