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Yoshifumi Muroi 《Applied Mathematical Finance》2013,20(2):155-190
In the last decade, many kinds of exotic options have been traded and introduced in the financial market. This paper describes a new kind of exotic option, lookback options with knock‐out boundaries. These options are knock‐out options whose pay‐offs depend on the extrema of a given securities price over a certain period of time. Closed form expressions for the price of seven kinds of lookback options with knock‐out boundaries are obtained in this article. The numerical studies have also been presented. 相似文献
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在内燃机中,HCCI(均值混合气压燃)爆震、汽油机常规爆震、汽油机超级爆震都是由未燃混合气自燃引起的化学能突然释放,从而产生振荡燃烧,但其压升率及压力振荡幅值却截然不同。为了阐明其中机理,根据上述的带震荡的燃烧压力波变化规律,提出以实验测得的放热率为基础的“能量注入法”,建立了3种自燃模式。通过对能量方程中的热源项进行分类改变,进而对3种自燃模式进行数值模拟、对其产生的压力波动进行比较分析。模拟结果表明,不同震荡特征的燃烧压力波源于不同的自燃模式,从而导致其宏观表现的压升率以及压力波振荡幅值有极大的差异。以放热率为基础的“能量注入法”能准确、快捷地探究内燃机燃烧室中压力波的形成与传播。 相似文献
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Atomic scale simulation of radiation damage of pure iron and vanadium has been studied using the JA-IPU code based on Monte Carlo simulation. In response to gamma, neutron and any charged particle irradiation, energetic atoms knocked off their lattice position also generate atomic cascades inside the material besides the projectiles. The atomic cascade initiated by the primary knock on atoms (PKAs) of energy in the range 0–50?keV have been simulated in case of iron and vanadium metals. More realistic energy segregation has been achieved by incorporating electronic energy loss (EEL) along with nuclear stopping in the code. It is revealed that the effect of EEL is definite and different at low PKA energy as compared with high energy. The flip over energy is ~8?keV in iron and ~20?keV in the case of vanadium. This difference is found to be more in the case of the displacements than in the case of the defects. Cascade efficiency of vanadium calculated from the JA-IPU code has also been compared with the molecular dynamic simulation and found to be nearly the same. 相似文献
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J. Lars Kirkby 《Applied Mathematical Finance》2017,24(4):337-386
We present an efficient method for robustly pricing discretely monitored barrier and occupation time derivatives under exponential Lévy models. This includes ordinary barrier options, as well as (resetting) Parisian options, delayed barrier options (also known as cumulative Parisian or Parasian options), fader options and step options (soft-barriers), all with single and double barriers, which have yet to be priced with more general Lévy processes, including KoBoL (CGMY), Merton’s jump diffusion and NIG. The method’s efficiency is derived in part from the use of frame-projected transition densities, which transform the problem into the Fourier domain and accelerate the convergence of intermediate expectations. Moreover, these expectations are approximated by Toeplitz matrix-vector multiplications, resulting in a fast implementation. We devise an augmentation approach that contributes to the method’s robustness, adding protection against mis-specifying a proper truncation support of the transition density. Theoretical convergence is verified by a series of numerical experiments which demonstrate the method’s efficiency and accuracy. 相似文献
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陈立旦 《光谱学与光谱分析》2013,33(2):540-543
现有的人工经验听诊法和仪器辅助诊断法都难以快速诊断发动机异响故障原因,为此创新性地提出了利用原子吸收光谱法对汽车发动机异响故障进行检测。对行驶里程分别为2 000~70 000 km,取样间隔约为2 000 km,35批次的奥迪A6发动机润滑油中的主要金属Fe,Al,Cu,Cr,Pb含量利用原子吸收光谱法进行检测,建立同一车型发动机不同行驶里程数润滑油主要金属含量的数据库。研究结果表明主要金属含量随着汽车行驶里程数在某一范围内波动。在实际工程应用中,通过测定有异响发动机的润滑油中主要金属含量,将其与含量变化趋势图进行比对,在不解体状态下帮助检测维修人员确定发动机异响的类型和部位,降低汽车维修成本,提高了发动机异响故障诊断的准确性。 相似文献
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An ignition time model is developed to model super knock in a compression engine. The model assumes that thermoacoustic interaction is the primary mechanism for the onset of super knock. By ignoring diffusive effects, a simple transport equation for the time to ignition of a fluid particle is derived. The significantly reduced cost of the chemistry model allows for complex hydrocarbon fuels to be simulated. Additionally, a zonal model for the secondary ignition of a charge due to the action of an expanding flame is developed. The flame compresses the unburned gas, causing the temperature and pressure to rise, which yields a pre-ignition in the unburned gas before the charge is engulfed by the flame. It is shown that the ignition time model compares well to the detailed chemical model with less than 1% difference in the prediction of ignition delay. Using this ignition time model, a multi-dimensional simulation of super knock in a rapid compression machine corresponding to the configuration of Wang et al. [1] is performed. It is found that interaction of the shock with the flame and the side wall of the cylinder significantly enhances the strength of the shock, and the in-cylinder pressure exceeds 300 bar. From the pressure rise predicted by the simulation, it is concluded that simulated ignition is a super knock event. Since the ignition time model excludes diffusive effects on the chemistry, it is proposed that acoustic resonance of the cylinder is the primary driver in the development of super knock for the configuration under examination and that inhomogeneous ignition due to transient flame compression could be a key mechanism for super knock. 相似文献
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We attempted to make an accurate depth profiling in secondary ion mass spectrometry (SIMS) including backside SIMS for ultra‐thin nanometer order layer. The depth profiles for HfO2 layers that were 3 and 5 nm thick in a‐Si/HfO2/Si were measured using quadrupole and magnetic sector type SIMS instruments. The depth profiling for an ultra‐thin layer with a high depth resolution strongly depends on how the crater‐edge and knock‐on effects can be properly reduced. Therefore, it is important to control the analyzing conditions, such as the primary ion energy, the beam focusing size, the incidence angle, the rastered area, and detected area to reduce these effects. The crater‐edge effect was significantly reduced by fabricating the sample into a mesa‐shaped structure using a photolithography technique. The knock‐on effect will be serious when the depth of the layer of interest from the surface is located within the depth of the ion mixing region due to the penetration of the primary ions. Finally, we were able to separately assign the origin of the distortion to the crater‐edge effect and knock‐on effect. Copyright © 2012 John Wiley & Sons, Ltd. 相似文献
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