Arbitrage‐free call option surface construction using regression splines

In this work, we suggest a novel quadratic programming‐based algorithm to generate an arbitrage‐free call option surface. The empirical performance of the proposed method is evaluated using S&P 500 Index call options. Our results indicate that the proposed method provides a more precise fit to observed option prices than other alternative methodologies. Copyright © 2014 John Wiley & Sons, Ltd.     

The effects of resource limitation and consensual incentives on cooperation

Exploring the evolution of cooperation has been one of the most challenging topics and attracted increasing attention in various realms. Hereby, we institute an analytic model where the relationship between the common benefits and contributions is the typical saturation nonlinearity. We investigate the evolutionary dynamics of cooperation with and without consensual incentives respectively. The population always evolves to full defection when the incentives are absent. Cooperation, however, can be promoted by consensual incentives when the degree of cooperators' preferences for incentives is great. There exists an intermediate amount of resources at which the positive effect of consensual incentives on cooperation is minimized. Furthermore, there is a U-shape relationship between the degree of cooperators' preference for an incentive and the evolution of cooperation. A greater basin of full cooperation can be induced when the cooperators' preference for reward is more pronounced than that for punishment.     

Carathéodory's method for a class of dynamic games

The method of equivalent variational methods, originally due to Carathéodory for free problems in the calculus of variations is extended to investigate feedback Nash equilibria for a class of n-person differential games. Both the finite-horizon and infinite-horizon cases are considered. Examples are given to illustrate the presented results.     

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.     

A rigid subspace of the real line whose square is a homogeneous subspace of the plane

Working in ZFC, we give an example as indicated in the title.

     

合作联盟资源集成计划一种新方法

合作联盟里，资源集成计划往往是联盟成员群体谈判博弈的结果。本以两人博弈为例，对联盟的资源集成计划给出一个谈判博弈模型，能够较好地模仿和反映合作联盟资源整合计划的制订过程。     

Upper Bounds of the Pursuer Control Based on a Linear-Quadratic Differential Game

Differential game formulations provide an adequate basis for a guidance law synthesis against highly maneuvering targets. This paper deals with a guidance law based on a linear-quadratic differential game formulation. This guidance law has many attractive properties: it is continuous, linear with respect to the state variables, and its gain coefficients can be precalculated offline. Nevertheless, due to the lack of hard control constraints in the formulation, the magnitude of the control can exceed the admissible level imposed by the nature of the problem. In this paper, the upper bound of the interceptor control is obtained depending on the system parameters and the penalty coefficients of the game performance index. It is shown that the interceptor can guarantee an arbitrarily small miss distance without exceeding the control constraints if it has sufficient maneuverability and if the penalty coefficients are chosen properly. By manipulating the penalty coefficients, it is possible to reduce significantly the maneuverability requirements compared to the case of zero interceptor penalty coefficient.     

Dynamic Strategic Pricing and Speed of Diffusion

Defining speed of diffusion as the amount of time it takes to get from one penetration level to a higher one, we introduce a dynamic model in which we study the link between pricing policy, speed of diffusion, and number of competitors in the market. Our analysis shows that, in the case of strategic (oligopolistic) competition, the speed of diffusion has an important influence on the optimal pricing policy. In particular, we find that higher speeds of diffusion create an incentive to strategically interacting firms to lower their prices.     

关于实Hilbert环

通过引进“强实Hilbert环”这一概念,本文证明了,一个环A是强实Hilbert环,当且仅当多项式环A[X]是实Hilbert环,当且仅当A[X]的每个实极大理想在A上的局限是实极大的,从而文献[1]中两个主要结果被否定.此外,本文还研究了所谓的“严格的实Hilbert环”,这类环对于半代数零点定理等方面的探讨更具应用意义.     

激光除锈过程的实时监测技术研究

对激光除锈过程中的实时监测技术进行了实验研究,结果表明:除锈过程中产生的声波强度会随着表面清洁度的变化而发生明显的变化,声波信号包含了除锈过程中的大量信息,可作为激光除锈实时监测的基本信号.