Stock price dynamics and option valuations under volatility feedback effect

According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price–dividend ratio. In this paper, we consider the properties of stock price dynamics and option valuations under the volatility feedback effect by modeling the joint dynamics of stock price, dividends, and volatility in continuous time. Most importantly, our model predicts the negative effect of an increase in squared return volatility on the value of deep-in-the-money call options and, furthermore, attempts to explain the volatility puzzle. We theoretically demonstrate a mechanism by which the market price of diffusion return risk, or an equity risk-premium, affects option prices and empirically illustrate how to identify that mechanism using forward-looking information on option contracts. Our theoretical and empirical results support the relevance of the volatility feedback effect. Overall, the results indicate that the prevailing practice of ignoring the time-varying dividend yield in option pricing can lead to oversimplification of the stock market dynamics.     

Reanalysis of the photoassociation spectrum of 133Cs2 （6P3/2） lg state

Reanalysis of the photoassociation spectrum of the weakly binding （6S1/2 ＋ 6P3/2） lg 133Cs2 levels, reported in the previous study [J. Mol. Spectro. 255 （2009） 106], is performed by using a Lu-Fano graph coupled to the improved LeRoy- Bernstein formula including two additional modified terms. A more accurate coefficient （c3） is obtained for the leading long-range potential （-c3/R3） of a diatomic molecule.     

颜色视觉匹配中显示器颜色色差阈值的评价

为了对阴极射线管(Cathode ray tube,CRT)显示器颜色恰可辨别的小色差阈值进行评价,在中性灰背景下,用编制的颜色匹配程序,在CRT显示器上随机产生颜色,分别调节程序中R、G、B通道的值,使匹配色与随机色达到视觉上的一致,进行颜色视觉匹配实验,测量CRT显示器上随机色和匹配色的L*a*b*值.用不同的色差公式对实验数据分别从明度、色调、饱和度进行比较分析,色差公式评价小色差的性能是CIEDE2000优于CMC(2∶1)和CIEL*a*b*.在a*b*图上绘制实验颜色恰可辨别图.不同色差公式计算的CRT显示器恰可辨别小色差阈值不同.     

Trace Functionals for a Class of Pseudo-Differential Operators in R n

In this paper we define trace functionals on the algebra of pseudo-differential operators with cone-shaped exits to infinity. Furthermore, we improve the Weyl formula on the asymptotic distribution of eigenvalues and make use of it in order to establish inclusion relations between the interpolation normed ideals of compact operators in L ²(R ⁿ ) and the above operator classes.     

相干介观系统中散粒噪声的Monte Carlo模拟方法研究

根据电荷通过低温量子导体时具有的二项分布导致散粒噪声这一结论,结合Landauer电流公式的物理内涵建立了相干介观系统中的散粒噪声模型,并通过Monte Carlo模拟方法产生了散粒噪声时间序列.介观系统中散粒噪声的抑制来源于电子输运时的相关性,传输本征值双峰分布导致量子混沌腔和无序金属中的散粒噪声抑制.根据这两个结论,通过Monte Carlo模拟定性地分析了传输本征值分布与电子输运相关性之间的关系. 关键词： 散粒噪声 Landauer公式 介观系统     

在代数多重网格法中的新插值公式

推导出代数多重网格法的一个新的插值公式。理论分析和数值计算表明这个公式很有效,且适用性强。推广了原代数多重网格法的应用范围,能够求解一些很病态的代数方程组。     

New microscopic wave function of ��-condensation

We explain how to treat a microscopic wave function of ??-condensation taking a 3??-nucleus as a typical example. The wave function has been originally proposed ten years before by Horiuchi, R?pke, Schuck and the present author (Phys. Rev. Lett., 2001, 87: 192501). The microscopic model, which fully takes into account the Pauli principle between all the constituent nucleons, effective internucleon forces and the Coulomb force, can play an important role in reproducing an ??-gas nature thanks to ??-condensation as an excited state of ??-like nuclei. An essential point of the wave function is to describe their ground state simultaneously. We study its typical features by giving an analytical formula of the norm kernel and the kernel concerning the one-body operator for 3??-condensation.     

非结构网格上温度扩散方程的能流计算方法

讨论非结构网格上温度扩散方程的能流计算方法.应用有限点方法(Finite Point Method,简称FPM)导出基于有限点两点公式和三点公式的能流计算公式,该公式适用于任意多边形及非匹配网格等非结构网格;给出网格角点温度新的计算公式.数值试验表明:基于两点公式的离散解和基于三点公式的离散解均具有平方阶的收敛速度;基于三点公式的离散解的精度总优于基于两点公式的离散解.     

基于遗传算法构建巴耳末公式

基于遗传算法构建了巴耳末公式．通过建立合适的拟合数学模型，用计算机对数学模型进行优化，使之尽可能反映氢原子实际谱线分布，并求出经验常量和拟合公式，最后分析了所得结果．