股票价格遵循几何分式Brown运动的期权定价

讨论了股票价格过程遵循几何分式B row n运动的欧式期权定价.由于该过程存在套利机会使得传统的期权定价方法(如资本资产定价模型(CAPM),套利定价模型(APT),动态均衡定价理论(DEPT))不可能对该期权定价.利用保险精算定价法,在对市场无其它任何假设条件下,获得了欧式期权的定价公式.并讨论了在有效期内股票支付已知红利和红利率的推广公式.     

High-order accurate equations describing vibrations of thin bars

A method for deriving one-dimensional wave propagation equations in thin inhomogeneous anisotropic bars based on the mathematical homogenization theory for periodic media is used to obtain equations governing the longitudinal and transverse vibrations of a homogeneous circular bar. The equations are derived up to O(ε⁸) terms and take into account variable body forces and surface loads. Here, ε is the ratio of the bar’s typical thickness to the typical wavelength.     

Efficient computation of natural convection in a concentric annulus between an outer square cylinder and an inner circular cylinder

In this work, the natural convection in a concentric annulus between a cold outer square cylinder and a heated inner circular cylinder is simulated using the differential quadrature (DQ) method. The vorticity‐stream function formulation is used as the governing equation, and the coordinate transformation technique is introduced in the DQ computation. It is shown in this paper that the outer square boundary can be approximated by a super elliptic function. As a result, the coordinate transformation from the physical domain to the computational domain is set up by an analytical expression, and all the geometrical parameters can be computed exactly. Numerical results for Rayleigh numbers range from 104 to 106 and aspect ratios between 1.67 and 5.0 are presented, which are in a good agreement with available data in the literature. It is found that both the aspect ratio and the Rayleigh number are critical to the patterns of flow and thermal fields. The present study suggests that a critical aspect ratio may exist at high Rayleigh number to distinguish the flow and thermal patterns. Copyright © 2002 John Wiley & Sons, Ltd.     

(e, 3e) test on e-e correlations in helium

The angular variations of the five-fold differential cross section obtained by using different wave functions of helium are compared with experimental data. It is found that in the coplanar geometry two kinematical arrangements, (i) equal energy sharing between the two ejected electrons with one of them ejected along the momentum transfer direction and the other along varying direction and (ii) the Bethe ridge condition with fixed sum of ejected electron energies and varying angle between them, are very sensitive to e-e correlations contained in the target wave function. This comparison has been used to show that open-shell class of wave functions better incorporate e-e correlations than the closed-shell class.     

Parametric oscillation at 2.1 μm in periodically poled RbTiOAsO4

An Nd:YAG laser-pumped periodically poled RbTiOAsO₄ (PPRTA) optical parametric oscillator (OPO) near degeneracy is reported. At a pump power of 3.7 W, a net conversion efficiency of 43% was obtained. These crystals were found to be phase-matchable for the higher order quasi-phase-matched second-harmonic generation (SHG) in the visible range. Detailed analyses of the phase-matching properties for these processes were made by using the published Sellmeier and thermo-optic dispersion formulas.     

有限时滞微分系统依照双测度的实际稳定性

本文对具有有限时滞的泛函微分方程建立了关于依照两种测度的实际稳定性的Razumikhin型判定定理，其中未采用通常的辅助函数，且可运用多个含有状态变量x的部分变元的Lyapunov函数，得出部分变远实际稳定性的判定定理，从而改进了已有的结果。     

两类方程亚纯解(n,1)级的上界估计

本文给出Riccati方程及另外一类具有代表性微分方程的亚纯解（n,1)级的上界估计，在一定条件下确立了文[2]中的猜测的正确性。     

差分吸收光谱法测量大气污染的测量误差分析

差分吸收光谱技术被广泛地应用于测量大气中微量元素的浓度，尽管该技术利用最小二乘法来反演待测气体的浓度，能够得到很高的测量精度。但是，由于仪器本身的噪声以及测量波段其它气体的干扰等，使得仪器的测量有一定的误差，而且上述因素还决定着仪器的测量下限。对差分吸收光谱方法的测量误差以及引起误差的原因作了详细的分析。     

On Direct Transformation Approach to Asymptotical Analytical Solutions of Perturbed Partial Differential Equation

In this article, we will derive an equality, where the Taylor series expansion around ε = 0for any asymptotical analytical solution of the perturbed partial differential equation (PDE) with perturbing parameter ε must be admitted.By making use of the equality, we may obtain a transformation, which directly map the analytical solutions of a given unperturbed PDE to the asymptotical analytical solutions of the corresponding perturbed one. The notion of Lie-B(a)cklund symmetries is introduced in order to obtain more transformations. Hence, we can directly create more transformations in virtue of known Lie-B(a)cklund symmetries and recursion operators of corresponding unperturbed equation. The perturbed Burgers equation and the perturbed Korteweg-de Vries (KdV) equation are used as examples.     

Approximate Inverse Preconditioners for Some Large Dense Random Electrostatic Interaction Matrices

A sparse mesh-neighbour based approximate inverse preconditioner is proposed for a type of dense matrices whose entries come from the evaluation of a slowly decaying free space Green’s function at randomly placed points in a unit cell. By approximating distant potential fields originating at closely spaced sources in a certain way, the preconditioner is given properties similar to, or better than, those of a standard least squares approximate inverse preconditioner while its setup cost is only that of a diagonal block approximate inverse preconditioner. Numerical experiments on iterative solutions of linear systems with up to four million unknowns illustrate how the new preconditioner drastically outperforms standard approximate inverse preconditioners of otherwise similar construction, and especially so when the preconditioners are very sparse. AMS subject classification (2000) 65F10, 65R20, 65F35, 78A30