共查询到20条相似文献,搜索用时 658 毫秒
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研究了有交易成本的分形Black-Scholes外汇期权定价问题.基于汇率的分形布朗运动分布假设,运用分形布朗运动的性质和随机微积分方法,得到了欧式外汇期权价格所满足的偏微分方程.最后,建立离散时间条件下的非线性期权定价模型,并且通过解期权价格的偏微分方程给出了有交易成本的欧式外汇期权定价公式. 相似文献
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考虑了股票价格服从带时滞泊松跳的跳扩散模型的欧式交换期权定价问题,运用无套利理论推导出期权价值微分方程,利用变换计价单位的方法,得到交换期权的显示定价公式. 相似文献
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在标的资产价格服从几何分数布朗运动模型条件下,利用分数布朗运动随机分析理论和偏微分方程方法,建立了几何分数布朗运动驱动下的金融市场模型,讨论了带比例交易成本的欧式期权,并且得到了相应的期权定价公式. 相似文献
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ZHENG ShiJun 《分析论及其应用》2004,20(3)
Schr(o)dinger operator is a central subject in the mathematical study of quantum mechanics.Consider the Schrodinger operator H = -△ V on R, where △ = d2/dx2 and the potential function V is real valued. In Fourier analysis, it is well-known that a square integrable function admits an expansion with exponentials as eigenfunctions of -△. A natural conjecture is that an L2 function admits a similar expansion in terms of "eigenfunctions" of H, a perturbation of the Laplacian (see [7], Ch. Ⅺ and the notes), under certain condition on V. 相似文献
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《高校应用数学学报(英文版)》2014,29(4)
正Applied Mathematics-A Journal of Chinese Universities,Series B(Appl.Math.J.Chinese Univ.,Ser.B)is a comprehensive applied mathematics journal jointly sponsored by Zhejiang University,China Society for Industrial and Applied Mathematics,and Springer-Verlag.It is a quarterly journal with 相似文献
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《数学研究及应用》2014,(6)
正Journal overview:Journal of Mathematical Research with Applications(JMRA),formerly Journal of Mathematical Research and Exposition(JMRE)created in 1981,one of the transactions of China Society for Industrial and Applied Mathematics,is a home for original research papers of the highest quality in all areas of mathematics with applications.The target audience comprises:pure and applied mathematicians,graduate students in broad fields of sciences and technology,scientists and engineers interested in mathematics. 相似文献
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A cumulative-capacitated transportation problem is studied. The supply nodes and demand nodes are each chains. Shipments from a supply node to a demand node are possible only if the pair lies in a sublattice, or equivalently, in a staircase disjoint union of rectangles, of the product of the two chains. There are (lattice) superadditive upper bounds on the cumulative flows in all leading subrectangles of each rectangle. It is shown that there is a greatest cumulative flow formed by the natural generalization of the South-West Corner Rule that respects cumulative-flow capacities; it has maximum reward when the rewards are (lattice) superadditive; it is integer if the supplies, demands and capacities are integer; and it can be calculated myopically in linear time. The result is specialized to earlier work of Hoeffding (1940), Fréchet (1951), Lorentz (1953), Hoffman (1963) and Barnes and Hoffman (1985). Applications are given to extreme constrained bivariate distributions, optimal distribution with limited one-way product substitution and, generalizing results of Derman and Klein (1958), optimal sales with age-dependent rewards and capacities.To our friend, Philip Wolfe, with admiration and affection, on the occasion of his 65th birthday.Research was supported respectively by the IBM T.J. Watson and IBM Almaden Research Centers and is a minor revision of the IBM Research Report [6]. 相似文献
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Emmanuel Blanc 《Commentarii Mathematici Helvetici》2003,78(4):845-864
Résumé On décrit toutes les feuilles des laminations minimales dont
un ensemble résiduel de feuilles ont 2 bouts.
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H. Mohebi A. M. Rubinov 《分析论及其应用》2006,22(1):20-40
We develop a theory of downward sets for a class of normed ordered spaces. We study best approximation in a normed ordered space X by elements of downward sets, and give necessary and sufficient conditions for any element of best approximation by a closed downward subset of X. We also characterize strictly downward subsets of X, and prove that a downward subset of X is strictly downward if and only if each its boundary point is Chebyshev. The results obtained are used for examination of some Chebyshev pairs (W,x), where ∈ X and W is a closed downward subset of X 相似文献
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Tao Guiping 《分析论及其应用》2005,21(1):73-89
In this paper, the author establishes the boundedness of multilinear operators on weighted Herz spaces and Herz-type Hardy spaces. The author also obtains their weak estimates on endpoints. As a special case, the conclusions may lead to the weighted estimates for multilinear Calderon-Zygmund operators. 相似文献
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In this paper we present a generalized quantitative version of a result due to M. Revers concerning the exact convergence rate at zero of Lagrange interpolation polynomial to f(x) = |x|α with on equally spaced nodes in [-1, 1]. 相似文献