股票价格遵循几何分式Brown运动的期权定价

讨论了股票价格过程遵循几何分式B row n运动的欧式期权定价.由于该过程存在套利机会使得传统的期权定价方法(如资本资产定价模型(CAPM),套利定价模型(APT),动态均衡定价理论(DEPT))不可能对该期权定价.利用保险精算定价法,在对市场无其它任何假设条件下,获得了欧式期权的定价公式.并讨论了在有效期内股票支付已知红利和红利率的推广公式.     

LehmerDH数在模p剩余系的分布

设 p≥ 3为素数 ,集合A ={a|1≤a 相似文献   

Changes in the kurtosis parameter of super-Gaussian beams passing through a spherically aberrated lens

Based on the Collins formula and irradiance moments definition, the propagation of the kurtosis parameter of super-Gaussian beams through a spherically aberrated lens is studied. Detailed numerical results are given. It is shown that, as compared with aberration-free super-Gaussian beams, the profile of spherically aberrated super-Gaussian beams can be leptokurtic, mesokurtic or platykurtic, depending on the aberration and propagation distance. The results for the spherically aberrated Gaussian beams can be dealt with as a special case treated in this paper. Finally, the advantage of our method is pointed out.     

The Iyengar Type Inequalities with Exact Estimations and the Chebyshev Central Algorithms of Integrals

In this paper, both low order and high order extensions of the Iyengar type inequality are obtained. Such extensions are the best possible in the same sense as that of the Iyengar inequality. hzrthermore, the Chebyshev central algorithms of integrals for some function classes and some related problems are also considered and investigated.     

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.     

On Non-Continuous Dirichlet Processes

We introduce here some Itô calculus for non-continuous Dirichlet processes. Such calculus extends what was known for continuous Dirichlet processes or for semimartingales. In particular we prove that non-continuous Dirichlet processes are stable under C ¹ transformation.     

R~(n+1)中常高阶平均曲率超曲面

本文给出了Rn+1中超曲面的一些积分公式,并利用这些积分公式得到了以球面为边界的常高阶平均曲率超曲面的一些唯一性结果.     

On a Generalized Cochrane Sum and Its Hybrid Mean Value Formula

The main purpose of this paper is to use a mean value theorem of Dirichlet L-functions to study the asymptotic property of a hybrid mean value of a generalized Cochrane sum, and give an interesting mean value formula.2000 Mathematics Subject Classification: Primary—11F20; Secondary—11F99     

合金铸铁激光处理的探讨——Ⅱ.激光辐照工艺参数的控制

用热传导方程控制激光辐照温度,建立了一种新回归方程以控制激光辐照硬化深度,选用卡尔丹公式列热传导方程及同归方程联立求解,可得到同时满足一定的硬化深度及表面最高温度双重要求的工艺参数,此种方法可作为激光硬化处理工艺参数的控制或预报,对本合金铸铁的激光硬化处理,其表面温度的下限应大于其熔点温度,即以表面产生微熔的快速冷凝处理为宜,并以选取低功率慢扫描为最佳。     

Neutral Community Theory: How Stochasticity and Dispersal-Limitation Can Explain Species Coexistence

Neutral community theory explains biodiversity, i.e. the coexistence of several species, as the result of a stochastic balance between immigration and extinction on a local level, and between speciation and extinction on a regional level. The most popular model, presented by Hubbell in 2001, has seen many analytical developments in recent years, which can be used in model analysis, model testing and model comparison. We review these developments here, and present alternative derivations and shine previously unnoticed lights on them.