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We extend and generalize some results on bounding security prices under two stochastic volatility models that provide closed-form expressions for option prices. In detail, we compute analytical expressions for benchmark and standard good-deal bounds. For both models, our findings show that our benchmark results generate much tighter bounds. A deep analysis of the properties of option prices and bounds involving a sensitivity analysis and analytical derivation of Greeks for both option prices and bounds is also presented. These results provide strong practical applications taking into account the relevance of pricing and hedging strategies for traders, financial institutions, and risk managers. 相似文献
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介绍了机车综合无线通信设备CIR在铁路和谐号大功率机车上的应用情况,重点分析了CIR常见故障产生的原因及处理方法,并预测了CIR设备在和谐号大功率机车上未来的发展趋势。 相似文献
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建立了Cox-Ingersoll—Ross随机利率下的关于两个投资者的投资组合效用微分博弈模型.市场利率具有CIR动力,博弈双方存在唯一的损益函数,损益函数取决于投资者的投资组合财富.一方选择动态投资组合策略以最大化损益函数,而另一方则最小化损益函数.运用随机控制理论,在一般的效用函数下得到了基于效用的博弈双方的最优策略.特别考虑了常数相对风险厌恶情形,获得了显示的最优投资组合策略和博弈值.最后给出了数值例子和仿真结果以说明本文的结论. 相似文献
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Svetlana Boyarchenko 《Applied Mathematical Finance》2013,20(1):26-49
Abstract We consider the Heston model with the stochastic interest rate of Cox–Ingersoll–Ross (CIR) type and more general models with stochastic volatility and interest rates depending on two CIR-factors; the price, volatility and interest rate may correlate. Time-derivative and infinitesimal generator of the process for factors that determine the dynamics of the interest rate and/or volatility are discretized. The result is a sequence of embedded perpetual options arising in the time discretization of a Markov-modulated Lévy model. Options in this sequence are solved using an iteration method based on the Wiener–Hopf factorization. Typical shapes of the early exercise boundary are shown, and good agreement of option prices with prices calculated with the Longstaff–Schwartz method and Medvedev–Scaillet asymptotic method is demonstrated. 相似文献
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提出了一种应用于TD-SCDMA系统中的快速频率估计算法.这种算法利用训练序列估计信道冲击响应,恢复不受信道干扰的发送信号;然后利用最大似然估计算法和二分数值估计算法,估计出较为准确的频率偏移值.仿真表明,该算法比常用的频率估计算法具有更低的复杂度,而且在高斯白噪(AWGN)和多径衰落环境下,均能够对TD-SCDMA系统中的频率偏移获得较为准确的估计结果. 相似文献
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随机期度与利率反向变动关系的初步研究 总被引:1,自引:0,他引:1
本文介绍了随机利率下相应的期度—随机期度的定义及其性质.对常见的随机利率模型Vasciek 模型和CIR模型,证明了随机期度与随机利率之间存在着反向的变动关系,从而辅证了随机期度定义的合理性. 相似文献
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Chang Yi Kong Yuan Yuan Gu Masato Nakamura Toshitaka Funazukuri Seiichiro Kagei 《Fluid Phase Equilibria》2010
Binary diffusion coefficients, D12, of the metal acetylacetonates, palladium(II) acetylacetonate and cobalt(III) acetylacetonate, were measured from 308.2 to 343.2 K over the pressure range from 9 to 40 MPa at infinite dilution in supercritical carbon dioxide using the chromatographic impulse response method. The effects of pressure, temperature, density, and viscosity on D12 values were examined. It was observed that the D12 values of palladium(II) acetylacetonate and cobalt(III) acetylacetonate were larger than those of lipids with similar molecular weights, such as arachidonic acid and monoolein, respectively. Furthermore, the measured D12 data of each metal acetylacetonate were well correlated by the hydrodynamic equation D12/T as a function of carbon dioxide viscosity. 相似文献