Fast and accurate pricing of discretely monitored barrier options by numerical path integration

Barrier options are financial derivative contracts that are activated or deactivated according to the crossing of specified barriers by an underlying asset price. Exact models for pricing barrier options assume continuous monitoring of the underlying dynamics, usually a stock price. Barrier options in traded markets, however, nearly always assume less frequent observation, e.g. daily or weekly. These situations require approximate solutions to the pricing problem. We present a new approach to pricing such discretely monitored barrier options that may be applied in many realistic situations. In particular, we study daily monitored up-and-out call options of the European type with a single underlying stock. The approach is based on numerical approximation of the transition probability density associated with the stochastic differential equation describing the stock price dynamics, and provides accurate results in less than one second whenever a contract expires in a year or less. The flexibility of the method permits more complex underlying dynamics than the Black and Scholes paradigm, and its relative simplicity renders it quite easy to implement.     

利用射线路径反演层状介质速度的方法

本文根据欧拉方程对于连续层状介质进行了方程推导，得出一个波传播的射线路径公式，利用中 公式导出了ＶＳＰ资料处理中的速度反演公式。     

谈中国特色的信息化道路

论述了我国在信息化道路上要正确处理如信息技术与信息资源等的四个关系，同时强调推进信息化要关注中国国情的9个特点。     

论黄河三角洲流路演变及河口治理的指导原则

通过分析黄河三角洲流路演变中溯源堆积及溯源冲刷对典河下游河道影响的范围，幅度和作用历时，提出在黄河泥沙从根本上减少之前，河口治理的指导原则应是在有利于工农业发展和有利于防洪防凌前提下，有计划地安排河口流路。     

经纬仪竖盘检测新方法及综合检验仪

本文提出一种检定经纬仪竖直盘测角误差的新方法．该方法精度高，稳定性好，能直接与国家角度标准溯源．由它组成的“经纬仪综合检验仪”可以检测ＪＪＧ４１４—９４光学经纬仪检定规程中所有的项目及细分误差，其总不确定度为０．４″．被测仪器包括各种类型及精度的光学经纬仪、电子经纬仪、水准仪等．     

制丝线FT651型叶片垂直分片机控制系统的改进方案

针对叶片垂直分片机使用过程中出现的劈坏烟箱、纵向移动刀架失控和系统无报警功能等问题,分析故障产生的原因,并对其控制系统进行改进。     

基于最短路径树的优化生存时间路由算法

为提高无线传感网的生存时间,提出基于最短路径树的优化生存时间路由算法(LORA_SPT).该算法引入节点分类概念,构造基于链路能耗因子、自身节点剩余能量因子、邻居节点剩余能量因子和类型权重因子等多个因子的权值函数.针对不同类型的节点采用不同的权重因子,最后利用dijkstra算法完成最短路径树,所有节点沿着最短路径树将...     

认知定位系统的自适应精度研究

为了能够实现定位精度的自适应,本文分析了认知无线电定位系统(cognitive positioning systems,CPS)的原理。该系统利用频谱及环境感知等模块中的传感器单元来获取所需的定位参数,并将其与到达时间(time of arrival,TOA)定位估计算法相结合,以克拉美罗下界(Cramer-Rao lower bound,CRLB)为准则分析最大似然(maximum likelihood,ML)定位精度自适应算法。本文还对单径和多径环境条件下定位精度自适应性能进行了比较。仿真结果表明,该算法能够实现定位精度的自适应,并能通过改善系统可用的频带带宽、分散频谱的数目、信号的调制方式等因素来提高定位精度。     

基于云自适应遗传算法的NoC路径分配研究

路径分配是NoC设计流程中的两个关键步骤之一;路径分配的结果对NoC系统的性能尤其是通讯延时有着很重要的影响;多约束条件下的NoC路径分配问题是NP完全问题,要求出其最优解比较困难,目前常用的方法是利用启发式算法求得其较优解;文中提出一种基于云自适应遗传算法的NoC路径分配解决方案,该算法利用云模型对传统遗传算法加以改进,采取新的方法自动调整遗传算法过程中的交叉概率pc和变异概率pm,将适应度与云模型的3个参数Ex、En、He相互结合,从而达到优化遗传算法的目的;将此算法应用于2D-Mesh拓扑结构的NoC中,以平衡链路负载和联合优化为实验目标,以优化静态通讯分配结果;实验证明,文章所采取的算法在平衡链路负载和联合优化方面均取得了良好的效果。     

A robust critical path in an environment with hybrid uncertainty

In this article, we consider the project critical path problem in an environment with hybrid uncertainty. In this environment, the duration of activities are considered as random fuzzy variables that have probability and fuzzy natures, simultaneously. To obtain a robust critical path with this kind of uncertainty a chance constraints programming model is used. This model is converted to a deterministic model in two stages. In the first stage, the uncertain model is converted to a model with interval parameters by alpha-cut method and distribution function concepts. In the second stage, the interval model is converted to a deterministic model by robust optimization and min-max regret criterion and ultimately a genetic algorithm with a proposed exact algorithm are applied to solve the final model. Finally, some numerical examples are given to show the efficiency of the solution procedure.