圆环上涉及重值及亏量的亚纯函数的唯一性

为了进一步丰富圆环上亚纯函数的唯一性理论,寻找更好的唯一性条件,本文研究了圆环上重值及亏量对亚纯函数唯一性的影响,得到两个圆环上亚纯函数与其导数涉及重值及亏量的唯一性定理,所得结果丰富了圆环上亚纯函数的唯一性理论.     

Wasserstein分布鲁棒期权定价

In this paper, the option pricing problem is formulated as a distributionally robust optimization problem, which seeks to minimize the worst case replication error for a given distributional uncertainty set(DUS) of the random underlying asset returns. The DUS is defined as a Wasserstein ball centred the empirical distribution of the underlying asset returns. It is proved that the proposed model can be reformulated as a computational tractable linear programming problem. Finally, the results of the empirical tests are presented to show the significance of the proposed approach.