Pricing American Asian options with higher moments in the underlying distribution

We develop a modified Edgeworth binomial model with higher moment consideration for pricing American Asian options. With lognormal underlying distribution for benchmark comparison, our algorithm is as precise as that of Chalasani et al. [P. Chalasani, S. Jha, F. Egriboyun, A. Varikooty, A refined binomial lattice for pricing American Asian options, Rev. Derivatives Res. 3 (1) (1999) 85–105] if the number of the time steps increases. If the underlying distribution displays negative skewness and leptokurtosis as often observed for stock index returns, our estimates can work better than those in Chalasani et al. [P. Chalasani, S. Jha, F. Egriboyun, A. Varikooty, A refined binomial lattice for pricing American Asian options, Rev. Derivatives Res. 3 (1) (1999) 85–105] and are very similar to the benchmarks in Hull and White [J. Hull, A. White, Efficient procedures for valuing European and American path-dependent options, J. Derivatives 1 (Fall) (1993) 21–31]. The numerical analysis shows that our modified Edgeworth binomial model can value American Asian options with greater accuracy and speed given higher moments in their underlying distribution.     

Some remarks on pseudo-umbilical totally real submanifolds in a complex projective space

This paper studies the relationship between the pseudo-umbilical totally real submanifolds and the minimal totally real submanifolds in a complex projective space. Two theo- rems which claim that some types of pseudo-umbilical totally real submanifolds must be minimal submanifolds are proved.     

跳扩散模型下的欧式障碍期权的定价

本文在标的资产价格服从跳扩散模型的假设下,运用Girsanov定理获得了价格过程的等价鞅测度,用期权定价的鞅方法得出障碍期权的定价公式.     

Proton-nucleus optical model potential at low energies—a review

Ever since it was proposed more than three decades ago, the nuclear optical model has been very successful in interpreting a large body of nucleon-induced nuclear reaction data in terms of a complex nucleon-nucleus potential. Rapid progress both in the experimental measurements and the theoretical developments in the last two decades has led to a better understanding of this nucleon-nucleus optical potential. From the parameter-fitting phenomenological stage, the optical model has come a long way and it is now possible to calculate the nucleon-nucleus optical potential in a reasonable way starting from the fundamental nucleon-nucleon interaction. Excellent reviews on various aspects of the optical model exist in the literature for proton energies above 10 MeV. The present article is an attempt to review comprehensively the status of the proton-nucleus optical potential at low proton energies, below the Coulomb-barrier, for target nuclei with mass numbers lying between 40 and 130. The sets of phenomenological optical potential derived mostly from (p, n) reaction data are reviewed and their applicabilities discussed. The neutron-nucleus optical model is referred to wherever it is relevant. Microscopic calculations for one case is carried out and compared with the corresponding phenomenological values.     

Representations of distributive semilattices in ideal lattices of various algebraic structures

We study the relationships among existing results about representations of distributive semilattices by ideals in dimension groups, von Neumann regular rings, C*-algebras, and complemented modular lattices. We prove additional representation results which exhibit further connections with the scattered literature on these different topics. Received March 2, 1998; accepted in final form November 9, 2000.     

Improved Sobolev inequalities on groups of Iwasawa type in presence of symmetry

Let G be a simple Lie group of real rank one and N be in the Iwasawa decomposition of G. We prove a refined version of the Sobolev inequality on N in presence of symmetry.     

Envelopes of splines in the projective plane

In this paper a family of curves—Riemannian cubics—inthe unit sphere and the real projective plane is investigated.Riemannian cubics naturally arise as solutions to variationalproblems in Riemannian spaces. It is remarkable to find thatan envelope of lines generated by a Riemannian cubic in onespace is (nearly) a Riemannian cubic in another space.     

均衡信贷配给的期权定价分析

本文基于期权定价的视角分析信贷配给，以一条全新的思路阐释均衡信贷配给的成因及特征，并试图得出些许启示。     

Prices and sensitivities of Asian options: A survey

Asian options are hard to price both analytically and numerically. Even though they have been the focus of much attention in recent years, there is no single technique which is widely accepted to price Asian options for all choices of market parameters. For hedging purposes, the estimation of the price sensitivities is often as important as the evaluation of the prices themselves. This paper provides a survey of current methods for pricing Asian options and computing their sensitivities to the key input parameters. The methods discussed include: Monte Carlo simulation, the finite difference approach and various quasi analytical approaches and approximations. We discuss practical numerical issues that arise in implementing these methods. The paper compares the accuracy and efficiency of the different approaches and offers some general conclusions.     

罗尔中值定理的一些新证法(英文)

给出了罗尔微分中值定理的三种新的证明方法,其中第二种很简便的方法仅依赖于大家熟知的Heine-Borel有限覆盖定理.由此可见罗尔微分中值定理可以是实数的完备性的直接推论.