In this paper, under the assumption that the exchange rate follows the extended Vasicek model, the pricing of the reset option in FBM model is investigated. Some interesting themes such as closed-form formulas for the...In this paper, under the assumption that the exchange rate follows the extended Vasicek model, the pricing of the reset option in FBM model is investigated. Some interesting themes such as closed-form formulas for the reset option with a single reset date and the phenomena of delta of the reset jumps existing in the reset option during the reset date are discussed. The closed-form formulae of pricing for two kinds of power options are derived in the end.展开更多
This paper considers a discrete-time queue with N-policy and LAS-DA(late arrival system with delayed access) discipline.By using renewal process theory and probability decomposition techniques,the authors derive the r...This paper considers a discrete-time queue with N-policy and LAS-DA(late arrival system with delayed access) discipline.By using renewal process theory and probability decomposition techniques,the authors derive the recursive expressions of the queue-length distributions at epochs n^-,n^+,and n.Furthermore,the authors obtain the stochastic decomposition of the queue length and the relations between the equilibrium distributions of the queue length at different epochs(n^-,n^+,n and departure epoch D_n).展开更多
This paper develops and analyzes a moving mesh finite difference method for solving partial integro-differential equations. First, the time-dependent mapping of the coordinate transformation is approximated by a a pie...This paper develops and analyzes a moving mesh finite difference method for solving partial integro-differential equations. First, the time-dependent mapping of the coordinate transformation is approximated by a a piecewise linear function in time. Then, piecewise quadratic polynomial in space and an efficient method to discretize the memory term of the equation is designed using the moving mesh approach. In each time slice, a simple piecewise constant approximation of the integrand is used, and thus a quadrature is constructed for the memory term. The central finite difference scheme for space and the backward Euler scheme for time are used. The paper proves that the accumulation of the quadrature error is uniformly bounded and that the convergence of the method is second order in space and first order in time. Numerical experiments are carried out to confirm the theoretical predictions.展开更多
文摘In this paper, under the assumption that the exchange rate follows the extended Vasicek model, the pricing of the reset option in FBM model is investigated. Some interesting themes such as closed-form formulas for the reset option with a single reset date and the phenomena of delta of the reset jumps existing in the reset option during the reset date are discussed. The closed-form formulae of pricing for two kinds of power options are derived in the end.
基金supported by the National Natural Science Foundation of China under Grant No.70871084The Specialized Research Fund for the Doctoral Program of Higher Education of China under Grant No. 200806360001a grant from the "project 211(PhaseⅢ)" of the Southwestern University of Finance and Economics, Scientific Research Fund of Southwestern University of Finance and Economics
文摘This paper considers a discrete-time queue with N-policy and LAS-DA(late arrival system with delayed access) discipline.By using renewal process theory and probability decomposition techniques,the authors derive the recursive expressions of the queue-length distributions at epochs n^-,n^+,and n.Furthermore,the authors obtain the stochastic decomposition of the queue length and the relations between the equilibrium distributions of the queue length at different epochs(n^-,n^+,n and departure epoch D_n).
基金partly supported by SRF for ROCS, SEMsupported by a grant from the "project 211 (phase Ⅲ)" of the Southwestern University of Finance and Economics
文摘This paper develops and analyzes a moving mesh finite difference method for solving partial integro-differential equations. First, the time-dependent mapping of the coordinate transformation is approximated by a a piecewise linear function in time. Then, piecewise quadratic polynomial in space and an efficient method to discretize the memory term of the equation is designed using the moving mesh approach. In each time slice, a simple piecewise constant approximation of the integrand is used, and thus a quadrature is constructed for the memory term. The central finite difference scheme for space and the backward Euler scheme for time are used. The paper proves that the accumulation of the quadrature error is uniformly bounded and that the convergence of the method is second order in space and first order in time. Numerical experiments are carried out to confirm the theoretical predictions.
