A RBF based finite difference method for option pricing under regime-switching jump-diffusion model

Abstract

In this article, we presented a method for option pricing problem under regime-switching jump-diffusion models. We have proposed a numerical method for solving a partial integro-differential equation (PIDE) for pricing European option and for solving linear complementarity problem (LCP), to evaluate the price of American options. We use implicit explicit method for time semi discretization, followed by radial basis function based finite difference (RBF-FD) method for spatial discretization to solve PIDE. The proposed method is further extended to solve the LCP by coupling it with operator splitting method. Numerical simulation is done for European and American option to demonstrate efficiency and accuracy of the proposed method.     

5G网络中DR-OC型D2D通信收益模型及定价研究

Device-to-Device(D2D)通信是下一代(5G)移动网络的重要组成部分。D2D设备间在不依赖基站的情况下直接进行数据传输,并通过重复使用蜂窝小区的频率资源从而提高移动通信系统的容量。为了激励蜂窝网络用户参与到D2D通信,运营商对D2D通信的定价是一个很关键的问题。文中首先介绍了D2D的基本概念及其四种主要类型,并就其中DR-OC型D2D通信定价提出了运营商和D2D设备的收益模型,然后仿真分析了网络中谱单价和奖励带宽对双方收益的影响。仿真结果显示运营商可以通过调整奖励带宽来协调双方收益以激励更多的用户参与到D2D通信。     

Rational under‐pricing in bidding strategy: a real options model

Under‐pricing in construction tenders is a common phenomenon and is commonly explained by the need of cash flows and penetration strategy. However, these explanations involve profit cutting and therefore are not plausible in explaining a long‐term persistent phenomenon of under‐pricing. A real options model is proposed and using the binomial lattice method a real‐life construction project tender was analysed to examine how management flexibility and uncertainty provide real options value. When uncertainties of cost items in a tender exist and choices are available to defer and switch modes of construction, then a valuable option is available to the bidders. It amounts to about 4% of the lump sum tendered in our case. The under‐priced portion is the options value which the bidder is willing to pay for the flexibility and the uncertainty. These findings enable contractors to be more competitive and to estimate construction costs more accurately in devising their bid strategies.     

基于RO的房地产经济投资决策理论研究

针对传统DCF法在房地产项目评估中的局限性,经比较提出了实物期权的方法,通过修正B-S期权定价模型,并进行案例分析,为房地产投资决策提供了新的分析方法。     

时效性商品最优定价模型及其粒子群优化解

对时效性商品的定价问题进行了研究.基于一种负二项分布的离散需求函数,并在利润最大化原则下,建立了时效商品最优定价模型.由于该模型涉及多个随机变量的概率分布,常规函数极值算法难以获得问题解析解,引入粒子群优化算法,对模型进行演化求解,并给出算例分析.结果表明:利用粒子群算法,可以快速有效得到不同库存量情况下应采取的最优定价.最后提出需要进一步解决的若干问题.     

具有可变执行利率的利率上限定价研究

设计了一种新的利率衍生品,即具有可变执行利率的利率上限、利率下限和利率双限,然后在简单远期利率期限结构MSS模型框架下给出了它们的定价公式,并讨论了以其为融资工具的融资成本优化问题.     

基于发电主市场价格信息的辅助服务定价方法

在分析随机性的基于容量市场的辅助服务期权定价方法的基础上,提出了与发电主市场价格信息直接联系的随机电价模型以及期权定价模型,形成了基于发电主市场价格的通过期权交易获取辅助服务的方法。最后通过算例进行了说明。     

The residual zonal flow in tokamak plasmas with a poloidal electric field

In a tokamak plasma with auxiliary heating by cyclotron waves, a poloidal electric field will be produced, and as a consequence influence the residual zonal flow(RZF) level. The poloidal electric field can also be induced through biasing electrodes at the edge region of tokamaks.Numerical evaluation for a large aspect ratio circular cross section tokamak for the electron cyclotron wave heating indicates that the RZF level decreases significantly when the poloidal electric field increases. Qualitatively, the ion cyclotron wave heating is able to increase the RZF level. It is difficult to apply the calculation to the real cyclotron wave heating experiments since we need to know factors such as the plasma profiles, the exact power deposition and the cross section geometry, etc. It is possible to use the cyclotron wave heating to control the zonal flow and then to control the turbulence level in tokamak experiments.     

乳制品依新鲜度定价模型的建立

建立起一种按照新鲜度给乳制品定价的模型，通过价格调节的机制，削弱甚至消除新鲜度对消费者需求的影响，从而可以达到促进需求．优化库存管理以及减小资源浪费的目的。该定价模型从价格调节的角度给乳制品的销售和管理提供了一种新的思路。     

计入峰谷分时上网电价的天然气发电竞争力分析

针对当前天然气发电燃料成本高、天然气供应不足而导致上网电价水平偏高,难以与煤电竞价的问题,提出考虑在发电侧实施峰谷分时上网电价机制,鼓励燃气电厂提高峰时段的上网电量,同时制定计入峰谷分时电价补贴标准来提高天然气发电的市场竞争力。算例结果表明,该措施明显提高了天然气发电的经济优势、气价的承受能力、与煤电平等竞价上网的竟争力。