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Daniel Dufresne Jose Garrido Manuel Morales 《Methodology and Computing in Applied Probability》2009,11(3):359-383
Several authors have used Fourier inversion to compute prices of puts and calls, some using Parseval’s theorem. The expected
value of max (S – K, 0) also arises in excess-of-loss or stop-loss insurance, and we show that Fourier methods may be used to compute them. In
this paper, we take the idea of using Parseval’s theorem further: (1) formulas requiring weaker assumptions; (2) relationship
with classical inversion theorems for probability distributions; (3) formulas for payoffs which occur in insurance. Numerical
examples are provided.
相似文献
998.
Blaschke Daniel N. Grosse Harald Kronberger Erwin Schweda Manfred Wohlgenannt Michael 《The European Physical Journal C - Particles and Fields》2010,69(3-4):575-579
The European Physical Journal C - Motivated by the success of the non-commutative scalar Grosse–Wulkenhaar model, a non-commutative U ⋆(1) gauge field theory including an... 相似文献
999.
We studied effect of 1-aminoanthracene (1-AMA) binding on the structures of dimeric β lactoglobulin, dimeric odorant binding
protein (OBP) and monomeric α1-acid glycoprotein (lipocalin family proteins) by monitoring fluorescence excitation spectra and measuring fluorescence lifetimes
of the tryptophan residues of the proteins. Results show that binding of 1-AMA to β lactoglobulin and OBP modifies their conformation
even at low probe concentration compared to that of the proteins. Structural modification induces a red shift of the fluorescence
excitation spectra maximum of tryptophan residues accompanied with an increase of the third fluorescence lifetime and a decrease
of its pre-exponential factor. These effects were not observed for α1-acid glycoprotein, probably as the result of carbohydrate presence. These data raise doubts concerning use of 1-AMA as a
probe to study biological properties of β lactoglobulin and OBP. 相似文献
1000.
In the spirit of the Hamiltonian QR algorithm and other bidirectional chasing algorithms, a structure-preserving variant of
the implicit QR algorithm for palindromic eigenvalue problems is proposed. This new palindromic QR algorithm is strongly backward
stable and requires less operations than the standard QZ algorithm, but is restricted to matrix classes where a preliminary
reduction to structured Hessenberg form can be performed. By an extension of the implicit Q theorem, the palindromic QR algorithm
is shown to be equivalent to a previously developed explicit version. Also, the classical convergence theory for the QR algorithm
can be extended to prove local quadratic convergence. We briefly demonstrate how even eigenvalue problems can be addressed
by similar techniques.
D. S. Watkins partly supported by Deutsche Forschungsgemeinschaft through Matheon, the DFG Research Center Mathematics for key technologies in Berlin. 相似文献