Closed Formula for Options with Discrete Dividends and Its Derivatives

Abstract

We present a closed pricing formula for European options under the Black–Scholes model as well as formulas for its partial derivatives. The formulas are developed making use of Taylor series expansions and a proposition that relates expectations of partial derivatives with partial derivatives themselves. The closed formulas are attained assuming the dividends are paid in any state of the world. The results are readily extensible to time-dependent volatility models. For completeness, we reproduce the numerical results in Vellekoop and Nieuwenhuis, covering calls and puts, together with results on their partial derivatives. The closed formulas presented here allow a fast calculation of prices or implied volatilities when compared with other valuation procedures that rely on numerical methods.     

具重特征的偏微分方程柯西问题的离散现象

1.引言 众所周知,人们对主型方程,即无重实特征的线性偏微分方程,已有了很好的了解,而对远较主型方程复杂得多的具重特征方程却认识得较少,目前大体上还只停留在个别例子的水平上。грушпн,в.в.首先举例指出重特征方程在解的光滑性问题中有所谓离散现象,即方程中的参量取一些离散的例外值时,解突然失去了光滑性。接着Treves,F.在类似的例子中发现了这种离散现象也出现在Cauchy问题解的唯一性问题中,王光寅等对Treves例子的离散现象作了进一步的深刻揭示。Menikoff,A.曾讨论了以下Treves例子为特例的更广泛一类的重特征方程     

Constructing irregular surfaces to enclose macromolecular complexes for mesoscale modeling using the discrete surface charge optimization (DISCO) algorithm

Salt-mediated electrostatics interactions play an essential role in biomolecular structures and dynamics. Because macromolecular systems modeled at atomic resolution contain thousands of solute atoms, the electrostatic computations constitute an expensive part of the force and energy calculations. Implicit solvent models are one way to simplify the model and associated calculations, but they are generally used in combination with standard atomic models for the solute. To approximate electrostatics interactions in models on the polymer level (e.g., supercoiled DNA) that are simulated over long times (e.g., milliseconds) using Brownian dynamics, Beard and Schlick have developed the DiSCO (Discrete Surface Charge Optimization) algorithm. DiSCO represents a macromolecular complex by a few hundred discrete charges on a surface enclosing the system modeled by the Debye-Hückel (screened Coulombic) approximation to the Poisson-Boltzmann equation, and treats the salt solution as continuum solvation. DiSCO can represent the nucleosome core particle (>12,000 atoms), for example, by 353 discrete surface charges distributed on the surfaces of a large disk for the nucleosome core particle and a slender cylinder for the histone tail; the charges are optimized with respect to the Poisson-Boltzmann solution for the electric field, yielding a approximately 5.5% residual. Because regular surfaces enclosing macromolecules are not sufficiently general and may be suboptimal for certain systems, we develop a general method to construct irregular models tailored to the geometry of macromolecules. We also compare charge optimization based on both the electric field and electrostatic potential refinement. Results indicate that irregular surfaces can lead to a more accurate approximation (lower residuals), and the refinement in terms of the electric field is more robust. We also show that surface smoothing for irregular models is important, that the charge optimization (by the TNPACK minimizer) is efficient and does not depend on the initial assigned values, and that the residual is acceptable when the distance to the model surface is close to, or larger than, the Debye length. We illustrate applications of DiSCO's model-building procedure to chromatin folding and supercoiled DNA bound to Hin and Fis proteins. DiSCO is generally applicable to other interesting macromolecular systems for which mesoscale models are appropriate, to yield a resolution between the all-atom representative and the polymer level.     

双帽Keggin型杂多阴离子[PM12O40(VO)2]n-(M=Mo,n=5; M=V,n=9)的离散变分方法研究

使用密度泛函理论的离散变分方法(DFT-DVM)研究了双帽Keggin型杂多阴离子[PM₁₂O₄₀(VO)₂]^n--(M=Mo,n=5; M=V,n=9),即[PMo₁₂O₄₀(VO)₂]^5- (a)和[PV₁₂O₄₀(VO)₂]^9- (b)的电子结构,讨论了双帽的形成对Keggin型杂多阴离子的电子结构和催化性质的影响,并与其Keggin型杂多阴离子(PM₁₂O₄₀)_n-(M=Mo,n=3; M=V,n=15)的计算结果进行了对比分析,计算结果表明,双帽的形成对Keggin型杂多阴离子的电子结构产生了很大的影响,因而它们在催化活性上可能会表现出较大的差异.     

Semi‐classical formulation of time‐dependent discrete variable representation method

In this article, we apply a novel time‐dependent discrete variable representation (TDDVR) method proposed by Barkakaty and Adhikari to investigate tunneling through an Eckart barrier. This semi‐classical method is theoretically rigorous and straightforward to implement. Among the TDDVR formulations, this report presents the first derivation of a rigorous form of quantum force (QF) for the present perspective. The validity of this semi‐classical approach is demanded based on the excellent agreement of the tunneling probability with the corresponding quantum results. © 2004 Wiley Periodicals, Inc. Int J Quantum Chem, 2004     

Analyzing electrochemical noise with Chebyshev’s discrete polynomials

The principles underlying a novel method intended for analyzing experimental data obtained when studying fluctuation processes are considered. The method in question is Chebyshev’s spectroscopy. The application of this method allows one to determine statistic characteristics of steady-state electrochemical noise against the background of severe deterministic interference without invoking the procedure of the fitting of the initial data. The potentialities of this novel method, which is intended for treating noise experiment, are demonstrated by examining model examples and analyzing the electrochemical noise generated by a lithium electrode placed in an aprotic organic electrolyte.     

Functional electronics with discrete integrators based on superionic conductors

The possibilities for developing devices on the basis of superionic conductors for measuring and providing advance electric energy consumption and determining the integral index of luminous energy are considered. It is experimentally shown that the consumed charge and the illumination intensity in a certain time interval can be measured without feeding power to the devices. The measuring transducers are easy to design and realize. The reliability and reproducibility of results are supported.     

离散小波变换-遗传算法-交互检验法用于近红外光谱数据的高倍压缩与变量筛选

用遗传算法(GA)与交互检验(CV)相结合建立了一种用于对近红外光谱(NIR)数据及其离散小波变换(DWT)系数进行变量筛选的方法，并应用于烟草样品中总挥发碱和总氮的同时测定。结果表明：NIR数据经DWT压缩为原始大小的3．3％时基本没有光谱信息的丢失；有效的变量筛选可以极大地减少模型中的变量个数，降低模型的复杂程度，改善预测的准确度。     

Distributed Gaussian discrete variable representation

A discrete variable representation (DVR) made from distributed Gaussians g_n(x) = e, (n = ?∞, …, ∞) and its infinite grid limit is described. The infinite grid limit of the distributed Gaussian DVR (DGDVR) reduces to the sinc function DVR of Colbert and Miller in the limit c → 0. The numerical performance of both finite and infinite grid DGDVRs and the sinc function DVR is compared. If a small number of quadrature points are taken, the finite grid DGDVR performs much better than both infinite grid DGDVR and sinc function DVR. The infinite grid DVRs lose accuracy due to the truncation error. In contrast, the sinc function DVR is found to be superior to both finite and infinite grid DGDVRs if enough grid points are taken to eliminate the truncation error. In particular, the accuracy of DGDVRs does not get better than some limit when the distance between Gaussians d goes to zero with fixed c, whereas the accuracy of the sinc function DVR improves very quickly as d becomes smaller, and the results are exact in the limit d → 0. An analysis of the performance of distributed basis functions to represent a given function is presented in a recent publication. With this analysis, we explain why the sinc function DVR performs better than the infinite grid DGDVR. The analysis also traces the inability of Gaussians to yield exact results in the limit d → 0 to the incompleteness of this basis in this limit. © 2005 Wiley Periodicals, Inc. Int J Quantum Chem, 2005     

A Novel Hybrid Solid Constructed from Tetramolybdate and Copper Complexes with Mixed Ligands: [{(Cu·phen)2(tp)}{(Cu·phen·H2O)2(tp)}{Mo4O14}]

A novel copper molybdate with mixed ligands, [{(Cu·phen)2(tp)}{(Cu·phen·H2O)2(tp)}{Mo4O14}] (phen=1,10-phenanthroline, tp=terephthalate) 1, has been hydrothermally synthesized and structurally characterized. The crystal belongs to monoclinic system, space group P21/c with a=13.1711(7), b=19.6132(10), c=13.6910(7) (A), β=117.6870(10)°, V=3131.8(3)(A)3, Z=2, C64H44Cu4Mo4N8O24, Mr=1946.99, Dc=2.065 g/cm3, F(000)=1920, μ(MoKα) (A) 2.198 mm-1, R=0.0810 and wR=0.2012 for 4233 observed reflections (Ⅰ ＞ 2σ(Ⅰ)). The structural analysis indicates that the title compound contains a discrete tetramolybdate cluster decorated with copper complex fragments and tp ligands bridging the clusters into a wave-like layer. The hydrogen bonding between adjacent layers further extends the compound into a 3-D framework.