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83.
标的股价服从混合过程的期权定价公式及有限元算法 总被引:2,自引:0,他引:2
本文将马尔科夫跳跃过程叠加于 Ito过程 ,形成混合过程 ,并用该过程来刻画股价走势情况。而后在标的股价服从混合过程的基础上 ,推导出了欧式看涨期权的定价公式 ,并对美式看跌期权定价给出了有限元算法。 相似文献
84.
For the methylsilsesquioxane film whose optical birefringence is almost zero, it was recently reported that its vertical thermal expansion coefficient (CTE) was approximately one order of magnitude larger than the lateral CTE. Though the birefringence is not an absolute predictor of anisotropic behavior, the discrepancy in both the CTEs was so remarkable that it was essential to investigate whether the anisotropy was intrinsic property or not. If the effect of Poisson's ratio is considered in the calculation of the vertical CTE and when elastic modulus measured by surface acoustic wave spectroscopy is used in the assessment of the lateral CTE, both the CTEs are coincident with each other. Therefore, it can be concluded that the discrepancy in the CTEs can be attributed to a higher in‐plane polymer chain orientation but it can also arise from the misleadingly assumed modulus and Poisson's ratio. © 2006 Wiley Periodicals, Inc. J Polym Sci Part B: Polym Phys 44: 3109–3120, 2006 相似文献
85.
Thomas Andreae 《Journal of Graph Theory》2002,39(4):222-229
For a graph A and a positive integer n, let nA denote the union of n disjoint copies of A; similarly, the union of ?0 disjoint copies of A is referred to as ?0A. It is shown that there exist (connected) graphs A and G such that nA is a minor of G for all n??, but ?0A is not a minor of G. This supplements previous examples showing that analogous statements are true if, instead of minors, isomorphic embeddings or topological minors are considered. The construction of A and G is based on the fact that there exist (infinite) graphs G1, G2,… such that Gi is not a minor of Gj for all i ≠ j. In contrast to previous examples concerning isomorphic embeddings and topological minors, the graphs A and G presented here are not locally finite. The following conjecture is suggested: for each locally finite connected graph A and each graph G, if nA is a minor of G for all n ? ?, then ?0A is a minor of G, too. If true, this would be a far‐reaching generalization of a classical result of R. Halin on families of disjoint one‐way infinite paths in graphs. © 2002 Wiley Periodicals, Inc. J Graph Theory 39: 222–229, 2002; DOI 10.1002/jgt.10016 相似文献
86.
J. I. Ramos 《国际流体数值方法杂志》1991,12(9):881-894
Two domain-adaptive finite difference methods are presented and applied to study the dynamic response of incompressible, inviscid, axisymmetric liquid membranes subject to imposed sinusoidal pressure oscillations. Both finite difference methods map the time-dependent physical domain whose downstream boundary is unknown onto a fixed computational domain. The location of the unknown time-dependent downstream boundary of the physical domain is determined from the continuity equation and results in an integrodifferential equation which is non-linearly coupled with the partial differential equations which govern the conservation of mass and linear momentum and the radius of the liquid membrane. One of the finite difference methods solves the non-conservative form of the governing equations by means of a block implicit iterative method. This method possesses the property that the Jacobian matrix of the convection fluxes has an eigenvalue of algebraic multiplicity equal to four and of geometric multiplicity equal to one. The second finite difference procedure also uses a block implicit iterative method, but the governing equations are written in conservation law form and contain an axial velocity which is the difference between the physical axial velocity and the grid speed. It is shown that these methods yield almost identical results and are more accurate than the non-adaptive techniques presented in Part I. It is also shown that the actual value of the pressure coefficient determined from linear analyses can be exceeded without affecting the stability and convergence of liquid membranes if the liquid membranes are subjected to sinusoidal pressure variations of sufficiently high frequencies. 相似文献
87.
研究了二元域上本原多项式的三项倍式的计数问题,通过对三项倍式进行分类,导出了本原多项式三项倍式最低次数的一个上界.利用这一结果,使构造本原多项式的次数最低的三项倍式的计算复杂性降到原来的九分之一. 相似文献
88.
王同科 《高等学校计算数学学报(英文版)》2002,11(2):213-225
1 IntroductionFinitevolumeelementmethodorFVEMusesavolumeintegralformulationofthedif ferentialequationwithafinitepartitioningsetofvolumetodiscretizetheequation ,thenre strictstheadmissiblefunctionstoalinearfiniteelementspacetodiscretizethesolution ([1 -4 ] ) .… 相似文献
89.
崔霞 《高等学校计算数学学报(英文版)》2002,11(1):76-88
A new alternating direction (AD) finite element (FE) scheme for 3-dimensional nonlinear parabolic equation and parabolic integro-differential equation is studied. By using AD, the 3-dimensional problem is reduced to a family of single space variable problems, calculation work is simplified; by using FE, high accuracy is kept; by using various techniques for priori estimate for differential equations such as inductive hypothesis reasoning, the difficulty arising from the nonlinearity is treated. For both FE and ADFE schemes, the convergence properties are rigorously demonstrated, the optimal H1-and L2-norm space estimates and the 0((△t)2) estimate for time variable are obtained. 相似文献
90.
The motion of a moored floating body under the action of wave forces, which is influenced by fluid forces, shape of the floating body and mooring forces, should be analysed as a complex coupled motion system. Especially under severe storm conditions or resonant motion of the floating body it is necessary to consider finite amplitude motions of the waves, the floating body and the mooring lines as well as non-linear interactions of these finite amplitude motions. The problem of a floating body has been studied on the basis of linear wave theory by many researchers. However, the finite amplitude motion under a correlated motion system has rarely been taken into account. This paper presents a numerical method for calculating the finite amplitude motion when a floating body is moored by non-linear mooring lines such as chains and cables under severe storm conditions. 相似文献