共查询到20条相似文献,搜索用时 156 毫秒
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一元二次方程的根的判别式是初中代数的重要内容之一 ,它在中学数学中有着广泛的应用 ,成为近几年全国各地中考的热点问题 .为了帮助读者更好地掌握好这部分知识内容 ,现对它在初中数学中的应用进行归纳 ,以餮读者 .应用一 :判断一元二次方程 (或二元二次方程组 )的根的情况 ;或已知根的情况 ,求方程 (或组 )中的待定系数的取值范围 .一元二次方程ax2 +bx +c =0 (a≠ 0 )的根的判别式为△ =b2 - 4ac,它与这个方程的根有着十分密切的关系 :( 1)△ >0 方程有两个不等的实数根 ;( 2 )△ =0 方程有两个相等的实数根 .( 3)△ <0 方程… 相似文献
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Let G(V, E) be a unicyclic graph, Cm be a cycle of length m and Cm G, and ui ∈ V(Cm). The G - E(Cm) are m trees, denoted by Ti, i = 1, 2,..., m. For i = 1, 2,..., m, let eui be the excentricity of ui in Ti and ec = max{eui : i = 1, 2 , m}. Let κ = ec+1. Forj = 1,2,...,k- 1, let δij = max{dv : dist(v, ui) = j,v ∈ Ti}, δj = max{δij : i = 1, 2,..., m}, δ0 = max{dui : ui ∈ V(Cm)}. Then λ1(G)≤max{max 2≤j≤k-2 (√δj-1-1+√δj-1),2+√δ0-2,√δ0-2+√δ1-1}. If G ≌ Cn, then the equality holds, where λ1 (G) is the largest eigenvalue of the adjacency matrix of G. 相似文献
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图的邻域复形的同调群的不变性 总被引:1,自引:0,他引:1
彭允 《数学年刊A辑(中文版)》1990,(6)
本文研究了图的邻域复形同调群的不变性质。设G是一个简单连通图,x是G的一个顶点,以G/x表示G中剔去点v及其关联边而得到的图,给出了G和G/x的邻域复形的同阶同调群同构的充要条件。 相似文献
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本文研究纯正的群的正则带.在给出这类半群的若干特征后,建立了纯正的群的正则带的构造定理.作为应用,同时给出了纯正的群的右拟正规带的构造定理. 相似文献
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In this paper, all subvarieties of the varieties Ak (k ∈N) generated by aperiodic commutative semigroups are characterized. Based on this characterization, the structure of lattice of subvarieties of Ak is investigated. 相似文献
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树的最大特征值的上界的一个注记 总被引:2,自引:2,他引:0
设T是一个树,V是T的顶点集.记dv是υ∈V的度,△是T的最大顶点度.设υ∈V且dw=1.记k=ew+1,这里ew是w的excentricity.设δj′= max{dυ:dist(υ,w)=j},j=1,2,…,k-2,我们证明和这里μ1(T)和λ1(T)分别是T的Laplacian矩阵和邻接矩阵的最大特征值.特别地,记δo′=2. 相似文献
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张丹丹 《数学物理学报(A辑)》2014,34(3):473-486
研究R~n中一般的BBM-Burgers方程解的渐进行为.运用Green函数法和Fourier分析方法得到了在非零常状态u~*附近小扰动解的逐点估计,作为一个推论,又得到了L~p(R~n)(1≤p∞)空间解的最佳的衰减估计. 相似文献
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设 2 ≤ p<∞ ,(fn)是一个鞅 ,利用P(|fn|>λ‖T(fn)‖∞)型的概率指数界 ,其中 ,T是作用在鞅上的拟线性算子 ,本文估计了鞅的极大函数的Lp_范数的上界。本文结果改进与推广了先前由HITCZENKO [7,8,9]与作者 [1 0 ]得到的结果 相似文献
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Li Shujin Li Shenghong 《高校应用数学学报(英文版)》2006,21(4):383-396
The purpose of present work is to examine the financial problem of finding the universal reservation prices of a European call option written on exchange rate when there is proportional transaction costs of trading foreign currency in the market. An approach is suggested to compute the reservation bid-ask price of foreign currency call option based on maximizing the investor's expected utility. Option prices are determined from the investor's basic portfolio selection problem, without the need to solve a more complex optimization problem involving the insertion of the option payoffs into the terminal value function. Option prices are computed numerically in a Markov chain approximation for the case of exponential utility. Numerical results show that the option price bounds are almost independent of the alternative risk aversion parameter, but the bounds of NT region becomes narrower and the range of values of the initial holding for which the fair price lies within the bid-ask spread is shifted to a lower value when the risk aversion parameter increases. 相似文献
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The main purpose of this thesis is in analyzing and empirically simulating risk minimizing European foreign exchange option pricing and hedging strategy when the spot foreign exchange rate is governed by a Markov-modulated jump-diffusion model. The domestic and foreign money market interest rates, the drift and the volatility of the exchange rate dynamics all depend on a continuous-time hidden Markov chain which can be interpreted as the states of a macro-economy. In this paper, we will provide a practical lognormal diffusion dynamic of the spot foreign exchange rate for market practitioners. We employing the minimal martingale measure to demonstrate a system of coupled partial-differential-integral equations satisfied by the currency option price and attain the corresponding hedging schemes and the residual risk. Numerical simulations of the double exponential jump diffusion regime-switching model are used to illustrate the different effects of the various parameters on currency option prices. 相似文献
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J. A. Primbs 《Journal of Optimization Theory and Applications》2010,144(1):137-155
This paper develops a semidefinite programming approach to computing bounds on the range of allowable absence of arbitrage
prices for a European call option when option prices at other strikes and expirations are available and when moment related
information on the underlying is known. The moment related information is incorporated in the problem through the fictitious
prices of polynomial valued securities. The optimization then comes from relaxing a risk neutral pricing optimization problem
in terms of moments of measures from a decomposition of the risk neutral pricing measure. We demonstrate this optimization
formulation with computations using moment data from the standard Black-Scholes option pricing model and Merton’s jump diffusion
model. 相似文献
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We consider the problem of computing upper and lower bounds on the price of an European basket call option, given prices on
other similar options. Although this problem is hard to solve exactly in the general case, we show that in some instances
the upper and lower bounds can be computed via simple closed-form expressions, or linear programs. We also introduce an efficient
linear programming relaxation of the general problem based on an integral transform interpretation of the call price function.
We show that this relaxation is tight in some of the special cases examined before. 相似文献
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Mustafa ?. P?nar 《Computational Management Science》2011,8(3):299-321
We present an approach for pricing and hedging in incomplete markets, which encompasses other recently introduced approaches
for the same purpose. In a discrete time, finite space probability framework conducive to numerical computation we introduce
a gain–loss ratio based restriction controlled by a loss aversion parameter, and characterize portfolio values which can be
traded in discrete time to acceptability. The new risk measure specializes to a well-known risk measure (the Carr–Geman–Madan
risk measure) for a specific choice of the risk aversion parameter, and to a robust version of the gain–loss measure (the
Bernardo–Ledoit proposal) for a specific choice of thresholds. The result implies potentially tighter price bounds for contingent
claims than the no-arbitrage price bounds. We illustrate the price bounds through numerical examples from option pricing. 相似文献
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Rik G.P. Frehen Roy P.M.M. Hoevenaars Franz C. Palm Peter C. Schotman 《Insurance: Mathematics and Economics》2008,42(3):1050-1061
The high value of the implicit option to choose a retirement date at which interest rates are particularly high and life annuities relatively cheap, leads to the possibility to introduce regret aversion in the retirement investment decision of defined contribution plan participants. As a remedy for regret aversion in retirement investment decisions, this paper develops and prices a lookback option on a life annuity contract. We determine a closed-form option value under the restriction that the option holder invests risklessly during the time to maturity of the option and without the guarantee that the exact amount of retirement wealth is converted into a life annuity at retirement. Thereafter the investment restriction is relaxed and the guarantee of exact conversion is imposed and the option is priced via Monte Carlo simulations in an economic environment with a stochastic discount factor. Option price sensitivities are determined via the pricing of alternative options. We find that the price of a lookback option, with a maturity of three years, amounts to 8%–9% of the wealth at the option issuance date. The option price is highly sensitive to the exercise price of the option, i.e. pricing alternative options (e.g. Asian) substantially lowers the price. Time to maturity and interest rate volatility are other important option price drivers. Asset allocation decisions and initial interest rates hardly affect the option price. 相似文献
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We study the problem of computing the sharpest static-arbitrage upper bound on the price of a European basket option, given the bid–ask prices of vanilla call options in the underlying securities. We show that this semi-infinite problem can be recast as a linear program whose size is linear in the input data size. These developments advance previous related results, and enhance the practical value of static-arbitrage bounds as a pricing technique by taking into account the presence of bid–ask spreads. We illustrate our results by computing upper bounds on the price of a DJX basket option. The MATLAB code used to compute these bounds is available online at www.andrew.cmu.edu/user/jfp/arbitragebounds.html. 相似文献
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Computing semiparametric bounds for option prices is a widely studied pricing technique. In contrast to parametric pricing techniques, such as Monte-Carlo simulations, semiparametric pricing techniques do not require strong assumptions about the underlying asset price distribution. We extend classical results in this area. Specifically, we derive closed-form semiparametric bounds for the payoff of a European call option, given up to third-order moment (i.e., mean, variance, and skewness) information on the underlying asset price. We analyze how these bounds tighten the corresponding bounds, when only second-order moment (i.e., mean and variance) information is provided. We describe applications of these results in the context of option pricing; as well as in other areas such as inventory management, and actuarial science. 相似文献
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Semyon Malamud Eugene Trubowitz Mario V. Wüthrich 《Mathematics and Financial Economics》2013,7(3):247-280
We study utility indifference pricing of claim streams with intertemporal consumption and constant relative risk aversion utilities. We derive explicit formulas for the derivatives of the utility indifference price with respect to claims and wealth. The elegant structure of these formulas is a reflection of surprising algebraic identities for the derivatives of the optimal consumption stream. Namely, the partial derivative of the optimal consumption stream with respect to the endowment is always a projection. Furthermore, it is an orthogonal projection with respect to a natural “economic inner product”. These algebraic identities generate cancellations between the terms entering derivatives of the indifference price and allow us to prove sharp global bounds for the indifference price that become exact when the claims to wealth ratio is large and risk aversion is between one and two. For general risk aversion, we show that, in the large claims to wealth ratio limit, the asymptotic expansion of the indifference price is given in terms of fractional powers of the wealth, depending on risk aversion. When risk aversion is equal to one, the fractional power depends on the underlying claim. 相似文献