求解非线性Black-Scholes模型的自适应小波精细积分法

针对非线性Black-Scholes方程,基于quasi-Shannon小波函数给出了一种求解非线性偏微分方程的自适应多尺度小波精细积分法.该方法首先利用插值小波理论构造了用于逼近连续函数的多尺度小波插值算子,利用该算子可以将非线性Black-Scholes方程自适应离散为非线性常微分方程组;然后将用于求解常微分方程组的精细积分法和小波变换的动态过程相结合,并利用非线性处理技术(如同伦分析技术)可有效求解非线性Black-Scholes方程.数值结果表明了该方法在数值精度和计算效率方面的优越性.     

基于Kleinman迭代算法的非线性系统自适应控制器设计北大核心CSCD

应用Kleinman迭代算法,研究了一类非线性系统的在线自适应控制器设计问题.基于神经网络线性微分包含技术,对此类非线性系统进行建模描述.并在不利用系统后续参数矩阵的情况下,应用Kleinman迭代算法进行反复迭代,求解系统的Riccati方程.进而设计系统的自适应控制器,并证明了该算法的收敛性.最后通过数值仿真验证了该算法的可行性.     

基于Kleinman迭代算法的非线性系统自适应控制器设计

应用Kleinman迭代算法,研究了一类非线性系统的在线自适应控制器设计问题.基于神经网络线性微分包含技术,对此类非线性系统进行建模描述.并在不利用系统后续参数矩阵的情况下,应用Kleinman迭代算法进行反复迭代,求解系统的Riccati方程.进而设计系统的自适应控制器,并证明了该算法的收敛性.最后通过数值仿真验证了该算法的可行性.     

混合分数布朗运动环境下短期利率服从vasicek模型的欧式期权定价

本文研究了混合分数布朗运动环境下欧式期权定价问题.运用混合分数布朗运动的Ito公式,得到了Black-Scholes偏微分方程.同时,通过求解Black-Scholes方程,得到了欧式看涨、看跌期权的定价公式。推广了Black-Scholes模型有关欧式期权定价的结论.     

二维奇异摄动对流扩散方程的自适应移动网格算法

针对二维奇异摄动对流扩散方程,在任意网格下给出了经典的迎风有限差分格式.利用二元多项式插值技术,推导出一阶最大范数的后验误差估计,并以此设计了一个自适应网格生成算法.数值实验表明本文构造的自适应移动网格算法是有效的.     

奇异摄动反应扩散方程的后验误差估计及自适应算法

研究了一类奇异摄动半线性反应扩散方程的自适应网格方法.在任意非均匀网格上建立迎风有限差分离散格式,并推导出离散格式的后验误差界,然后用该误差界设计自适应网格移动算法.数值实验结果证明了所提出的自适应网格方法的有效性.     

中子输运方程误差估计及自适应计算

 本文研究了全离散方法求解二维中子输运方程的有限元自适应算法, 角度变量用离散纵坐标方法展开, 空间变量用间断元方法求解. 基于间断元方法给出了空间离散的残量型后验误差估计. 在后验误差估计的基础上, 我们设计了自适应有限元算法.由残量型后验估计可以给出局部加密网格的自适应算法. 最后, 我们给出了数值算例来验证我们的理论结果.     

多尺度高维亚式期权定价的奇摄动解

讨论了一类含有快慢变换尺度的高维亚式期权定价随机波动率模型.根据Girsanov定理和Radon-Nikodym导数实现了期望回报率与无风险利率之间的转化;定义路径依赖型的新算术平均算法,借助Feynman-Kac公式,得到了风险资产期权价格所满足的相应的Black-Scholes方程,运用奇摄动渐近展开方法,得到了期权定价方程的渐近解,并得到其一致有效估计.     

Black-Scholes模型的一种求解方法

本文简化了Black-Scholes方程的求解过程,获得了欧式看涨期权的定价公式,有助于理解传统的期权定价原则.     

用自适应MG法,FMG法求解Helmholtz方程

本文针对Ｖ循环、Ｗ循环和多重网格法中最优光滑次数及循环体个数难以确定的缺点，以Ｈｅｌｍｈｏｌｔｚ方程为例给出自适应的多重网格算法和自适应的完全多重网格算法。     

A multigrid preconditioner for an adaptive Black-Scholes solver

This paper is concerned with the efficient solution of the linear systems of equations that arise from an adaptive space-implicit time discretisation of the Black-Scholes equation. These nonsymmetric systems are very large and sparse, so an iterative method will usually be the method of choice. However, such a method may require a large number of iterations to converge, particularly when the timestep used is large (which is often the case towards the end of a simulation which uses adaptive timestepping). An appropriate preconditioner is therefore desirable. In this paper we show that a very simple multigrid algorithm with standard components works well as a preconditioner for these problems. We analyse the eigenvalue spectrum of the multigrid iteration matrix for uniform grid problems and illustrate the method’s efficiency in practice by considering the results of numerical experiments on both uniform grids and those which use adaptivity in space.     

非仿射随机波动率的欧式障碍期权定价

研究非仿射随机波动率模型的欧式障碍期权定价问题时,首先介绍了非仿射随机波动率模型,其次利用投资组合和It^o引理,得到了该模型下扩展的Black-Schole偏微分方程.由于这个方程没有显示解,因此采用对偶蒙特卡罗模拟法计算欧式障碍期权的价格.最后,通过数值实例验证了算法的可行性和准确性.     

GENERAL BLACK-SCHOLES MODEL OF SECURITY VALUATION

1991MRSubjectClassification35K05,35K55,60J351IntroductionTileBlack-ScllolesOI)tiollPn(:illgForllllllaalldtlleCapitalAssetPn(:iugMO(l(floff'(trsillll)1(tclosedf'Orlllsolutionto11()ntrivialpartittldifferentialeqllatiollillfillance.Botllhalvesigllifi(f;tlltlyaff'ectedtheactllalbehaviorof1llarkets.TheBlack-ScholesInodelisaspecial'faseofill(f1llztrtillgalesecllritypricillglilodel.D.Duffie(1988)derivedthcBlack-ScllolesFOrlxllllztillfivt!(lift'\-arestw;lyslTheseare:(1)byalilllitfi.olndisc…     

美式看跌期权定价的一种混合数值方法

本文对美式看跌期权的定价提供了一种新的混合数值方法,即快速傅里叶变换法加龙格-库塔法.首先将美式看跌期权价格所满足的Black-Scholes微分方程定解问题转化为一个标准的抛物型初、边值问题,然后通过傅里叶变换,使之转换为一个不带股价变量的常微分方程初值问题,再利用龙格-库塔法对其进行数值求解.数值实验表明,本文算法是一种快速的高精度的算法.     

Adaptive operator splitting finite element method for Allen–Cahn equation

In this paper, a new numerical method is proposed and analyzed for the Allen–Cahn (AC) equation. We divide the AC equation into linear section and nonlinear section based on the idea of operator splitting. For the linear part, it is discretized by using the Crank–Nicolson scheme and solved by finite element method. The nonlinear part is solved accurately. In addition, a posteriori error estimator of AC equation is constructed in adaptive computation based on superconvergent cluster recovery. According to the proposed a posteriori error estimator, we design an adaptive algorithm for the AC equation. Numerical examples are also presented to illustrate the effectiveness of our adaptive procedure.     

Pricing a Nontradeable Asset and Its Derivatives

This paper extends the Black-Scholes methodology to payoffs that are functions of a stochastically varying variable that can be observed but not traded. The stochastic price process proposed in this paper satisfies a partial differential equation that is an extension of the Black-Scholes equation. The resulting price process is based on projection onto the marketed space, and it is universal in the sense that all risk-averse investors will find that, when priced according to the process, the asset cannot improve portfolio performance relative to other assets in the market. The development of the equation and its properties is facilitated by the introduction of an operational calculus for pricing. The results can be put in risk-neutral form. Perfect replication is not generally possible for these derivatives, but the approximation of minimum expected squared error is determined by another partial differential equation.     

Infinite-Dimensional Black-Scholes Equation with Hereditary Structure

This paper considers the option pricing problem for contingent claims of the European type in a (B,S)-market in which the stock price and the asset in the riskless bank account both have hereditary structures. The Black-Scholes equation for the classical option pricing problem is generalized to an infinite-dimensional equation to include the effects of time delay in the evolution of the financial market as well as a very general payoff function. A computational algorithm for the solution is also obtained via a double sequence of polynomials of a certain bounded linear functional on a Banach space and the time variable.     

离散条件下标的资产带跳的德尔塔对冲误差研究

讨论了离散条件下的德尔塔对冲以及含泊松跳跃的布莱克—休斯模型下期权的定价问题.在布莱克—休斯模型中对冲被假设为连续发生的,当应用于离散的交易时,对冲误差就产生了.考虑到对冲误差,得出一种离散条件下标的资产带泊松跳跃的修正的布莱克—休斯方程和依赖再对冲区间长度的更精确的德尔塔值.