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标准Black Scholes期权定价公式假设股票价格服从对数正态分布,没有考虑股票价格涨跌幅的限制带来的影响.放松该假设条件,假设股票价格服从双边截断对数正态分布,考虑中国股票市场的涨跌幅限制,得到一个新的B-S期权定价公式来表达股价行为.双边截断正态分布假设下收益率的波动率要要比正态分布下的波动率小,所以新B-S公式计算出的期权价格就会比标准B-S公式计算出的价格低. 相似文献
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常见连续型统计分布的一点注记 总被引:1,自引:0,他引:1
正态分布是概率论与数理统计中最重要的一个分布,本文讨论了常见的连续型统计分布与标准正态分布间的关系,结果表明:几乎所有的常见连续型统计分布都是标准正态分布的函数. 相似文献
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设 X是一个服从标准正态分布的随机变量 ,即 X~N(0 ,1) ,本文给出两类非线性函数 f(x) ,使得 f (X )仍然服从标准正态分布 . 相似文献
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根据加权标准差方法建立有偏总体的极差控制图,它基于有偏总体来计算对应于正态分布的控制图常数,根据样本数据的偏度来计算上下控制限,对于总体是对称分布,该控制图退化为标准的休哈特控制图.最后,用蒙特卡洛方法给出了改进的控制图常数. 相似文献
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<正> 在数理统计中,正态分布有特殊重要的地位.因此已制作了不少一维正态分布表,以供实际使用.多维正态分布也是经常要遇到的问题,比如在讨论多指标问题的综合评定时,就以多维正态分布的计算为一种手法.二维正态分布在经过标准化之后,可表为 相似文献
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Jian-lin Jiang Kun ChengCan-Can Wang Li-ping Wang 《Applied mathematics and computation》2012,218(12):6814-6824
The modified Weiszfeld method [Y. Vardi, C.H. Zhang, A modified Weiszfeld algorithm for the Fermat-Weber location problem, Mathematical Programming 90 (2001) 559-566] is perhaps the most widely-used algorithm for the single-source Weber problem (SWP). In this paper, in order to accelerate the efficiency for solving SWP, a new numerical method, called Weiszfeld-Newton method, is developed by combining the modified Weiszfeld method with the well-known Newton method. Global convergence of the new Weiszfeld-Newton method is proved under mild assumptions. For the multi-source Weber problem (MWP), a new location-allocation heuristic, Cooper-Weiszfeld-Newton method, is presented in the spirit of Cooper algorithm [L. Cooper, Heuristic methods for location-allocation problems, SIAM Review 6 (1964) 37-53], using the new Weiszfeld-Newton method in the location phase to locate facilities and adopting the nearest center reclassification algorithm (NCRA) in the allocation phase to allocate the customers. Preliminary numerical results are reported to verify the evident effectiveness of Weiszfeld-Newton method for SWP and Cooper-Weiszfeld-Newton method for MWP. 相似文献
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复合材料旋转壳非线性稳定性分析计算 总被引:1,自引:0,他引:1
利用前屈曲一致理论和能量变分法分析计算了复合材料旋转壳非线性稳定性.前屈曲应变-位移关系采用非线性的卡门方程,能量积分采用数值积分,用势能最小原理求解前屈曲位移和内力,提出了求解临界载荷的实用计算方法,用FORTRAN语言编制了相应的计算机程序,并给出了算例. 相似文献
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Yu. A. Anikin 《Computational Mathematics and Mathematical Physics》2012,52(4):615-636
The accuracy of the projection method as applied to the computation of the collision integral is analyzed. It is shown that
the method has an error of the second order of smallness with respect to the mesh size. An optimal method for choosing additional
nodes that minimizes the computational error is found. The theoretical conclusions and the optimality of the method are confirmed
in a series of numerical experiments. 相似文献
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A general method is proposed to determine the strength of the heat source in the Fourier and non-Fourier heat conduction problems. A finite difference method, the concept of the future time and a modified Newton–Raphson method are adopted in the problem. The undetermined heat source at each time step is formulated as an unknown variable in a set of equations from the measured temperature and the calculated temperature. Then, an iterative process is used to solve the set of equations. No selected function is needed to represent the undetermined function in advance. Three examples are used to demonstrate the characteristics of the proposed method. The validity of the proposed method is confirmed by the numerical results. The results show that the proposed method is an accurate and stable method to determine the strength of the heat source in the inverse hyperbolic heat conduction problems. Furthermore, the result shows that more future times are needed in the hyperbolic equation than that of parabolic equation. Moreover, the robustness and the accuracy of the estimated results in the non-Fourier problem are not as well as those of the Fourier problem. 相似文献
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In this work, a method for solving inhomogeneous nonlocal fractional heat equations is proposed. The method is based on the modified Gauss elimination method. It is proved by using matrix stability approach that the method is unconditionally stable. Numerical results are provided to illustrate the accuracy and efficiency of the proposed method. 相似文献
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Summary. The GMRES method is a popular iterative method for the solution of large linear systems of equations with a nonsymmetric
nonsingular matrix. However, little is known about the behavior of this method when it is applied to the solution of nonsymmetric
linear ill-posed problems with a right-hand side that is contaminated by errors. We show that when the associated error-free
right-hand side lies in a finite-dimensional Krylov subspace, the GMRES method is a regularization method. The iterations
are terminated by a stopping rule based on the discrepancy principle.
Received November 10, 2000 / Revised version received April 11, 2001 / Published online October 17, 2001 相似文献
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混凝土构件检测时,一般采用百分比抽样的方式.以回弹法中对混凝土强度进行检测时采用百分比抽样的抽样方式为例,从绝对误差限和相对误差限的角度分析了不同构件总量均采用此方法抽取样本的不合理性,并提出在不同混凝土强度等级、不同构件总数的情况下,通过控制一定的误差限来确定样本数量的方法.通过理论和实例分析,提出在抽样过程中,采用分层抽样技术对检测构件进行合理分层,降低总体方差,可减少样本数量.这种方法也适用于其它检测问题的样本容量的确定. 相似文献
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We analyze the convergence properties of Powell's UOBYQA method. A distinguished feature of the method is its use of two trust region radii. We first study the convergence of the method when the objective function is quadratic. We then prove that it is globally convergent for general objective functions when the second trust region radius ρ converges to zero. This gives a justification for the use of ρ as a stopping criterion. Finally, we show that a variant of this method is superlinearly convergent when the objective function is strictly convex at the solution. 相似文献
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Hiroshi Niki Masatoshi Ikeuchi Hideo Sawami 《Journal of Computational and Applied Mathematics》1982,8(4):257-266
This paper is concerned with the iterative method for estimating the optimum overrelaxation parameter. The improved power method (IP method) with the greatest rate of convergence is derived and compared with the Chebyshev polynomial iterative method (CP method) and the other iterative methods. Two algorithms (algorithms A and B) based on the IP method are presented. Some numerical results are shown. 相似文献