【摘 要】
：
Option pricing problem is one of the central issue in the theory of modern finance.Un-certain currency model has been put forward under the foundation of uncertainty theory as a tool to portray the foreign exchange rate in uncertain finance market.This pa
【机 构】
：
School of Economics and Management,Hebei University of Technology,Tianjin 300401,China;School of Man
论文部分内容阅读
Option pricing problem is one of the central issue in the theory of modern finance.Un-certain currency model has been put forward under the foundation of uncertainty theory as a tool to portray the foreign exchange rate in uncertain finance market.This paper uses uncertain differential equation involved by Liu process to dispose of the foreign exchange rate.Then an American barrier option of currency model in uncertain environment is investigated.Most important of all,the authors deduce the formulas to price four types of American barrier options for this currency model in uncertain environment by rigorous derivation.
其他文献
网络舆情发展趋势预测对政府相关部门的舆情监测与管控有非常重要的参考意义.针对网络舆情的小样本特性,同时考虑适用模型的时效性和准确度,本文提出一种基于佳点集方法初始化、非线性参数控制以及对引领狼赋权的改进灰狼优化支持向量回归(IGWO-SVR)的网络舆情预测模型,以“新冠肺炎”、“中国梦”等百度指数作为舆情数据样本进行了实证研究.对比实验结果显示,改进后的灰狼优化算法有较强的全局搜索能力、较快的收敛速度以及较好的稳定性.IGWO-SVR网络舆情预测模型有较为突出的准确性与稳定性,能够为政府舆情管控部门提供较
动态超表面天线(dynamic metasurface antenna,DMA)阵列是一种可实现模拟-数字混合波束成形的新型阵列结构,其模拟波束成形部分由DMA实现,系统实现的复杂度低.本文研究基于DMA阵列的混合发射波束成形,核心问题是模拟与数字发射权值的联合优化.该文基于交替优化思想将模拟-数字权值联合优化问题分解为多个子问题,提出一种基于交替方向乘子法(alternating direction multiplier method,ADMM)的求解方法.该方法首先引入辅助变量简化问题模型,然后通过交
Exact (approximate) controllability and exact (approximate) observability of stochastic singular systems in Banach spaces are discussed.Firstly,the condition for the existence and unique-ness of the mild solution to stochastic singular systems is given by
Aiming at the problems of low accuracy of image signal identification and poor anti-noise signal interference ability under strong noise environment,a signal identification method of correlated noisy image based on adaptive array stochastic resonance (SR)
CO2具有增能和降黏的特性,CO2异步吞吐是提高致密油藏采收率的有效途径之一,通过注气井组“注—采—焖”相互配合,可提高井间储量动用程度,有望成为准噶尔盆地玛湖凹陷致密砾岩油藏提高采收率的接替技术.综合考虑地层压力、饱和压力及最小混相压力,设计双岩心并联的CO2异步吞吐实验,以明确储集层物性、注采压差和吞吐时机对开发效果的影响.结果表明,经CO2异步吞吐开发后的原油采收率约为衰竭式开发的3～5倍,提升效果显著;储集层物性越好,渗流阻力越小,越有利于CO2异步吞吐提高采收率;注采压差越大,井间压力振荡效果越
季节性波动数据具有长期趋势性、季节波动性与局部随机振荡性等复杂特征,这给其预测模型的合理构建造成了难度.文章首先通过排序函数f(xik)挖掘季节波动数据中相关元素的序位关系及其演变规律,实现了季节波动数据的特征提取及驱动项的构造.然后通过构建分数阶多变量灰色预测模型FMGM(1,N),实现了其累加阶数从正整数到全体实数的拓展与优化.最后,将FMGM(1,N)应用于具有季节波动性特征的我国GDP月度数据的拟合与预测,建模结果显示其模拟和预测精度优于当前主流的单变量及多变量灰色预测模型、非线性回归模型、Ari
This paper investigates the exponential stability of traveling wave solutions for nonlinear delayed cellular neural networks.As a continuity of the past work (Wu and Niu,2016;Yu,et al.,2011)on the existence and uniqueness of the traveling wave solutions,i
随着油气行业市场化改革走向纵深,天然气产业迎来新的机遇与挑战.为探究中国天然气市场化改革的潜在影响,本文采用多主体建模方法,融合混合互补模型,构建包含供气商、管输商、储气商和消费者在内的天然气市场多主体混合互补系统,并以区域性的天然气市场湖北省为例,模拟和评估其在放松价格管制、管网第三方准入、储气设施完善等不同情景下的天然气市场化改革效果.结果 显示:在完全取消价格管制后,天然气终端消费市场价格上涨,需求减少.随着管网第三方准入的实施,管道利用率提高,输配成本降低,终端市场消费价格涨幅放缓,上下游价格差距
This paper studies the important problem of how to coordinate the capacity procurement model with asymmetric demand information.Under the model,the supplier has to secure necessary capacity before receiving a firm order from the manufacturer who possesses
针对车位共享平台供给与需求均随机的特征,文章构建了随机动态规划模型对共享车位的预订控制策略进行研究.基于随机动态规划模型,进一步构造了单产品分解模型和单周期分解模型对问题最优解进行分析,并证明了单产品分解模型的超模性以及单周期分解模型的凹性性质.基于分解模型,分别设计了三种预订控制算法对模型进行求解.最后,通过数值仿真验证了模型和算法的有效性.本文的研究结果将为共享平台的预订控制提供决策支持.