Simulation Schemes for the Heston Model with Poisson Conditioning
Abstract:Exact simulation schemes under the Heston stochastic volatility model (e.g., Broadie–Kaya and Glasserman–Kim) suffer from computationally expensive modified Bessel function evaluations. We propose a new exact simulation scheme without the modified Bessel function, based on the observation that the conditional integrated variance can be simplified when conditioned by the Poisson variate used ...
Jaehyuk Choi*, Yue Kuen Kwok
ARTICLE | European Journal of Operational Research |2024、314
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The Influence of Media Slant on Short Sellers
Abstract:Using the positive shift in tone of Fox News coverage of macroeconomic news after the Republican Bush election in 2000, we investigate whether media slant influences the investment decisions of short sellers. We find that firms headquartered in Republican-leaning townships with Fox News availability experienced a relative decrease in short interest post the 2000 election. We further find that ...
April Knill, Baixiao Liu*, John J. McConnell, Glades McKenzie
ARTICLE | Journal of Corporate Finance | 2024、84
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Knowledge Workers of the AI World, Unite! Knowledge Workers’ Meaning of Work and Hidden Transcript in China
Abstract:In the aftermath of the COVID-19 pandemic, there is a growing use of Information and Communication Technology (ICT) for the purposes of labor control and surveillance. This trend significantly affects the knowledge workers who are deeply connected with ICT. However, there is a lack of studies tackling the perceptions of knowledge workers regarding surveillance, its impact on their work practices,...
Weiming Ye*, Luming Zhao
ARTICLE | International Journal of Communication |2024、18
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The Impact of Differential COVID-19 Pandemic Containment Policies on International Trade and Capital Flows
Abstract:This article develops a two-period two-country model to examine the impact of differential COVID-19 pandemic containment policies on international trade and capital flows. The theoretical analysis shows that asymmetric labor supply shocks resulting from the pandemic generate capital outflows from more affected countries to less affected ones, with the former running current account deficits....
Xuezheng Chen, Chi Gong*, Yuanqiao Long, Chunlin Wan, Lei Zhang*
ARTICLE | Emerging Markets Finance and Trade | 2024、60、14
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Tighter 'Uniform Bounds for Black-Scholes Implied Volatility' and the Applications to Root-Finding
Abstract:Using the option delta systematically, we derive tighter lower and upper bounds of the Black–Scholes implied volatility than those in Tehranchi (2016) [11]. As an application, we propose a Newton–Raphson algorithm on the log price that converges rapidly for all price ranges when using a new lower bound as an initial guess. Our new algorithm is a better alternative to the widely used naive ...
Jaehyuk Choi*, Jeonggyu Huh, Nan Su
ARTICLE | Operations Research Letters | 2024、57
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Social Capital and Management Commitment
Abstract:This study examines the role of social capital in fostering beneficial managerial behaviour that serves the interests of shareholders. Specifically, this research focuses on the effects of social capital on managerial ownership and dividend payout policy. We document evidence demonstrating that firms with headquarters in high social capital regions are associated with higher managerial ownership ...
Nan Liu, Brian M. Lam, Kevin Ow Yong*, Desmond Yuen
ARTICLE | Accounting Forum|2024、48、4
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