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在自融资约束下研究了标的资产价格服从跳扩散过程时欧式未定权益的平方套期保值问题。假定套期保值者用与未定权益相关的风险资产和另一种无风险资产来进行套期保值,利用动态规划原理,得到了离散时间集上均方最优套期保值策略的显式解。文章最后通过对比分析不同期限、不同策略调整频率的欧式看涨期权的套期保值结果表明:(1)对冲头寸与期限具有相依关系,期限越长,头寸比例通常也高;(2)对冲头寸与标的资产价格呈同向变化,标的资产价格越高,可以持有的头寸比例也高;(3)对冲头寸与交割价格呈反向变化,交割价格越高,可以适当降低头寸比例。 相似文献
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Influence of Coating Layer on Acoustic Wave Propagation in a Random Complex Medium with Resonant Scatterers 下载免费PDF全文
We investigate the influence of coating layer on acoustic wave propagation in a dispersed random medium consisting of coa.ted fibers.In the strong-scattering regime, the characteristics of wave scattering resonances are found to evolve regularly with the properties of the coating layer.By theoretical calculation,frequency gaps are found in acoustic excitation spectra in a random medium.The scattering cross section results present the evolution of scattering resonances with the properties of the coating layer,which offers a good explanation for the change of the frequency gaps.The velocity of the propagation quasi-mode is also shown to depend on the filling fraction of the coating layer.We use the generalized coherent potential-approximation approach to solve acoustic wave dispersion relations in a complicated random medium consisting of coating-structure scatterers.It is shown that our model reveals subtle changes in the behavior of the acoustic wave propagating quasi-modes. 相似文献
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异核双金属有机化合物的合成方法与反应性能研究 总被引:1,自引:0,他引:1
本文对近年来异核双金属有机化学的发展作了简要的介绍和回顾, 文中对含金属-金属键和不含金属-金属键的d/d和d/f异核双金属有机化合物的合成方法及反应性能作了归纳。 相似文献
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We investigate the temperature dependence of radiation-induced attenuation (RIA) at 1 310 nm for a Ge/P co-doped fiber after a steady-state γ-ray irradiation.A γ irradiation facility 60Co source is used to irradiate the fiber at a dose rate of 0.5 Gy/min,satisfying a total dose of 100 Gy.The test temperature ranges from-40 to 60℃ by 20℃,and the RIA of the fiber is obtained using a power measuring device.The experimental result demonstrates that RIA exhibits a steady,monotonic,and remarkable temperature dependence after approximately 48h of accelerated annealing at 70℃.The optical fiber irradiated with a high dose and annealed sufficiently can be used as a temperature sensor. 相似文献
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把终期的期望亏损定义为风险,研究了标的资产价格服从跳扩散结构时的自筹资最小亏损风险套期保值.首先通过Monte-Carlo模拟生成标的资产若干条价格路径并用所有路径上的终期亏损平均值作为优化目标期望值的估计,然后引入基函数作为套期保值头寸的近似逼近,最后通过数值方法得到最优套期保值策略.最后通过实例分析表明:1)套期保值头寸调整的频率相对较高时,可以更好地应对市场出现的价格波动,从而降低可能面临的损失风险,达到较好的保值效果;2)欧式看涨期权的交割价格与对冲头寸呈反向变化,交割价格越高,可适当调低持有的对冲头寸,反之则反,这样,即对冲风险又节约成本. 相似文献
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赵川 孙胜森 李澄 张晓杰 何康林 安琪 陈宏芳 代洪亮 封常青 衡月昆 黄亚齐 黄燕萍 郭建华 李卫东 李秀荣 刘芳 刘怀民 刘树彬 刘曙东 刘勇 马想 毛泽普 邵明 孙勇杰 孙志嘉 吴金杰 杨桂安 赵雷 朱兴旺 左嘉旭 《中国物理 C》2011,35(1)
The time calibration for end cap TOF system of BESⅢ is studied in this paper. It has achieved about 110 ps time resolution for muons in dimu events. The pulse height correction using electronic scan curve and the predicted time calculated using Kalman filter method are introduced. This paper also describes the study of using electrons and muons as calibration samples. 相似文献