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分数布朗运动环境中欧式未定权益的定价 总被引:23,自引:0,他引:23
本文在标的资产价格服从几何分数布朗运动模型假设下,求出了在标的资产有红利支付时的欧式未定权益的一般定价公式及几种奇异期权的定价公式。 相似文献
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矩阵方程X+A*X-nA=I的正定解 总被引:6,自引:1,他引:5
廖安平 《高等学校计算数学学报》2004,26(2):156-161
In this paper we give some sufficient conditions and some necessary conditions under which the matrix equation X A^*X^-nA=I has a positive definite solution. An iterative method which converges to a positive definite solution of this equation is constructed. And an error estimate formula on this iterative method is also derived. 相似文献
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Most results on crossing numbers of graphs focus on some special graphs, such as the Cartesian products of small graphs with path, star and cycle. In this paper, we obtain the crossing number formula of Cartesian products of wheel Wm with path Pn, for arbitrary m ≥ 3 and n≥ 1. 相似文献
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<正>1问题的提出为叙述方便起见,首先介绍本文中出现的符号.设SR~(n×n)和OR~(n×n)分别表示所有n阶实对称矩阵和正交矩阵的集合,A~+和‖A‖_F分别表示A的Moore-Penrose广义逆和 相似文献
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二面体群的小度数Cayley图的同构类的计数 总被引:1,自引:0,他引:1
设G是有限群,S是G的一个不包含单位元的非空子集且满足S-1=S,定义群G关于S一个的Cayley图x=Cay(G,S)如下:V(X)=G,E(X)={(g,sg)|g∈G,s∈S}.对于素数P,本文给出了2p阶的二面体群的3度和4度Cayley图的同构类的个数. 相似文献
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Most of pointed Hopf algebras of dimension p^m with large coradtical are shown to be generalized path algebras. By the theory of generalized path algebras, the representations, homological dimensions and radicals of these Hopf algebras are obtained. The relations between the radicals of path algebras and connectivity of directed graphs are given. 相似文献
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本在保险公司是风险中性的情况下,讨论了在投资影响下的每期总准备金计算问题.通过建立它应满足的线性倒向随机微分方程,得到它在投资影响下的计算公式. 相似文献