具有时滞响应的择好期权定价

假设市场是完备的,在文中使用了计价单位变换,等价鞅测度理论和无套利原理研究了股票价格具有时滞的欧式择好期权,得到了欧式择好期权的定价公式和对冲交易策略。     

Pricing Occupation-Time Options in a Mixed-Exponential Jump-Diffusion Model

In this short paper, in order to price occupation-time options, such as (double-barrier) step options and quantile options, we derive various joint distributions of a mixed-exponential jump-diffusion process and its occupation times of intervals.     

基于外汇汇率买入的跳扩散过程股票的期权定价

在风险中性假设下,通过建立以外币计价的股票价格服从带跳扩散过程的随机微分方程和外币汇率的随机微分方程,考虑到影响外汇汇率的因素和影响股票价格因素的相关性,得到了与之相关联的几种买入的以本币计价的欧式期权定价公式.     

An accurate and nondestructive GC method for determination of cocaine on US paper currency

The presence of cocaine on US paper currency has been known for a long time. Banknotes become contaminated during the exchange, storage, and abuse of cocaine. The analysis of cocaine on various denominations of US banknotes in the general circulation can provide law enforcement circles and forensic epidemiologists objective and timely information on epidemiology of illicit drug use and on how to differentiate money contaminated in the general circulation from banknotes used in drug transaction. A simple, nondestructive, and accurate capillary gas chromatographic method has been developed for the determination of cocaine on various denominations of US banknotes in this study. The method comprises a fast ultrasonic extraction using water as a solvent followed by a SPE cleanup process with a C(18) cartridge and capillary GC separation, identification, and quantification. This nondestructive analytical method has been successfully applied to determine the cocaine contamination in US paper currency of all denominations. Standard calibration curve was linear over the concentration range from the LOQ (2.00 ng/mL) to 100 microg/mL and the RSD less than 2.0%. Cocaine was detected in 67% of the circulated banknotes collected in Southeastern Massachusetts in amounts ranging from approximately 2 ng to 49.4 microg per note. On average, $5, 10, 20, and 50 denominations contain higher amounts of cocaine than $1 and 100 denominations of US banknotes.     

Decision Analysis and Real Options: A Discrete Time Approach to Real Option Valuation

In this paper we seek to enhance the real options methodology developed by Copeland and Antikarov (2001) with traditional decision analysis tools to propose a discrete time method that allows the problem to be specified and solved with off the shelf decision analysis software. This method uses dynamic programming with an innovative algorithm to model the project’s stochastic process and real options with decision trees. The method is computationally intense, but simpler and more intuitive than traditional methods, thus allowing for greater flexibility in the modeling of the problem.     

Hedging entry and exit decisions: optimizing location under exchange rate uncertainty

^** Email: alexru00{at}ms41.hinet.net^*** Email: ctlin{at}mail.yust.edu.tw The Cobb–Douglas production function with Abel's (1983,Am. Econ. Rev., 173, 228–233) model is extended herein,and real options analysis (ROA) for entry–exit decision-makingestablished utilizing Dixit's (1989b) decision model under exchangerate uncertainty. This work considers the effects of real exchangerates on strategies that determine the locations of productionby firms that are entering markets in two countries. The ROAis also adopted to evaluate the switching location between twocountries. A continuous-time model optimization problem is solvedin closed-form. This provides a useful beginning to an importantanalysis of the effects on industry of exchange rate fluctuationswhen the optimal entry (exit) trigger for transferring locationsis important for a basic global logistics model. Furthermore,a myopic solution of the optimal entry (exit) trigger, sensitivityanalysis and some characteristics of the optimal productionstrategy are sought. This paper contributes to the problem ofchoice of foreign production strategy.     

Real options approach-based demand forecasting method for a range of products with highly volatile and correlated demand

To achieve a competitive edge needed for marketing highly competitive products, modern enterprises have actively sought to provide the marketplace with an expansive range of products with high random volatility of demand and correlations between demands of product. Consequently, traditional forecasting methods for separately forecasting demand for these products are likely to yield significant deviations. Therefore, this study develops a real options approach-based forecasting model to accurately predict future demand for a given range of products with highly volatile and correlated demand. Additionally, this study also proposes using Monte Carlo simulation to solve the demand forecasting model. The real options approach associated with Monte Carlo simulation not only deals effectively with random variation involving a particular demand stochastic diffusion process, but can handle the correlations in product demand.     

点钞机中夹版人民币的双波长反射比检测

提出了夹版人民币的双波长反射比检测方法。在点钞机中使用二组波长传感器来检测出一叠同版 10 0圆面额人民币中夹入的其它币种。经实测 ,其精度可达每 10 0张 10 0圆 (同版 )中夹入 2张其它币种点 2 0次 ,漏检不超过一次 ,这给金融行业点钞中的夹版鉴别带来了极大的方便     

PROBABILISTIC NUMERICAL APPROACH FOR PDE AND ITS APPLICATION IN THE VALUATION OF EUROPEAN OPTIONS

1. IlltroductionThis paPer is aimed to give a probabilistic numerical aPproach for PDE. Probabilistic numerical method can get the solution one by one, whiCh differs from other nu-merical methods,such aJs the Anite e1ement and drite dffeence method, and rea1ize total parallel computing easily Another advallage of this method is that it suits for problems of highdimension becauseit is dimension indep endent.Consider the fOl1owing Cauchy problem of convectiondiffusion equations. FOr simplic…     

Stock options as barrier contingent claims

A comprehensive model is suggested that values securities as options and consequently ordinary stock options as compound options. Extending the basic Black–Scholes model, it can incorporate common contractual features and stylized facts. More specifically, a closed form solution is derived for the price of a call option on a down‐and‐out call. It is then shown how the result obtained can be generalized in order to price options on complex corporate securities, allowing among other things for corporate taxation, costly financial distress and deviations from the absolute priority rule. The characteristics of the model are illustrated with numerical examples.