Pricing of Spread Options on a Bivariate Jump Market and Stability to Model Risk

Abstract

We study the pricing of spread options and we obtain a Margrabe-type formula for a bivariate jump-diffusion model. Moreover, we study the robustness of the price to model risk, in the sense that we consider two types of bivariate jump-diffusion models: one allowing for infinite activity small jumps and one not. In the second model, an adequate continuous component describes the small variation of prices. We illustrate our computations by several examples.     

Microfocusing options for the inelastic X‐ray scattering beamline at sector 3 of the Advanced Photon Source

Synchrotron radiation from third‐generation high‐brilliance storage rings is an ideal source for X‐ray microbeams. The aim of this paper is to describe a microfocusing scheme that combines both a toroidal mirror and Kirkpatrick–Baez (KB) mirrors for upgrading the existing optical system for inelastic X‐ray scattering experiments at sector 3 of the Advanced Photon Source. SHADOW ray‐tracing simulations without considering slope errors of both the toroidal mirror and KB mirrors show that this combination can provide a beam size of 4.5 µm (H) × 0.6 µm (V) (FWHM) at the end of the existing D‐station (66 m from the source) with use of full beam transmission of up to 59%, and a beam size of 3.7 µm (H) × 0.46 µm (V) (FWHM) at the front‐end of the proposed E‐station (68 m from the source) with a transmission of up to 52%. A beam size of about 5 µm (H) × 1 µm (V) can be obtained, which is close to the ideal case, by using high‐quality mirrors (with slope errors of less than 0.5 µrad r.m.s.). Considering the slope errors of the existing toroidal and KB mirrors (5 and 2.9 µrad r.m.s., respectively), the beam size grows to about 13.5 µm (H) × 6.3 µm (V) at the end of the D‐station and to 12.0 µm (H) × 6.0 µm (V) at the front‐end of the proposed E‐station. The simulations presented here are compared with the experimental measurements that are significantly larger than the theoretical values even when slope error is included in the simulations. This is because of the experimental set‐up that could not yet be optimized.     

我国环境污染、对外贸易和工业发展的关系探究

使用Eviews6.0软件分析1983年至2011年的统计数据,研究环境污染、对外贸易和工业发展之间的关系.首先,使用熵值法构造环境污染综合评价指数.然后,使用Grange检验确定三个变量之间的因果关系,使用VAR模型求解三者之间的量化关系,研究了脉冲响应分析和方差分解.结果表明:对外贸易会影响工业发展,对外贸易的变动冲击在前期会促进工业发展,随着年数的增加,其作用逐渐减少;对外贸易对环境的冲击表现为先增加然后平稳的减少;工业发展对环境污染的冲击最大出现在第二期,最后,采用分位数回归研究变量关系在不同分位点的变化规律,结果表明:对外贸易在各个分位点上都是高度显著的促进工业发展;对外贸易仅在高分位点上是显著的带来环境污染.     

美国灾害保险期货期权的保险精算定价

考虑连续情形、几何平均保险期货价格的基础上研究欧式看涨保险期货期权的定价,运用保险精算定价的方法,最终给出了连续情形、几何平均欧式看涨保险期货期权的定价.     

政治关系对企业投资决策的影响分析:基于发展中国家视角

基于发展中国家对外直接投资规模越来越大,探讨了政治关系对海外直接投资的影响.通过设定"政治关系"因子,借助经济学市场均衡理论,在分析两类生产企业以及一类用户的基础上,通过求解利润最大化的市场价格和产量,研究了企业潜在利润和生产选择.进而得到:企业的政治关系越强,其参与对外直接投资的临界生产率就越低,使之参与对外直接投资的可能性大大增加.     

股价遵循分数跳扩散的混合型双标的两值期权定价

应用风险中性定价原理,研究标的股价服从分数跳扩散过程的混合型双标的两值期权的定价问题,并得出定价公式,并与股价服从标准布朗运动的定价公式做出比较分析.     

Duopolistic competition under risk aversion and uncertainty

A monopolist typically defers entry into an industry as both price uncertainty and the level of risk aversion increase. By contrast, the presence of a rival typically hastens entry under risk neutrality. Here, we examine these two opposing effects in a duopoly setting. We demonstrate that the value of a firm and its entry decision behave differently with risk aversion and uncertainty depending on the type of competition. Interestingly, if the leader’s role is defined endogenously, then higher uncertainty makes her relatively better off, whereas with the roles exogenously defined, the impact of uncertainty is ambiguous.     

纸币图像Gabor特征提取与识别

研究了基于Gabor滤波器组的人民币图像识别方法。针对纸币图像特点,设计了适合于其特征提取的Gabor滤波器组参数,得到了纸币图像多尺度多方向上的纹理特征,然后对纹理图像进行网格划分,并计算网格中像素灰度均值行列投影和,最后采用网格投影特征模板匹配法进行纸币识别。实验表明该法抗干扰能力较强,能够较大提高旧币和污染纸币识别率,并且耗时不长。     

标的资产服从混合过程的二种新型期权的定价

假设标的资产价格服从受多维分数布朗运动和泊松过程共同驱动的一类混合模型，通过这一模型的欧式未定权益的一般定价公式，求出了2种新型期权的定价公式．     

具有固定敲定价格的算术平均亚式期权的计算

本文研究算术平均的欧式亚式期权.我们将充分利用偏微分方程的Fichera理论和边值问题的定解理论,求出了一个简单的近似解析表达式.经实际数据验算,有较满意的逼近结果,特别地,在部分区域内的计算效果好于文章[1].