Computation of the effects of uncertainty in volatility on option pricing and hedging

We quantify the effect of uncertainty in the volatility parameter σ on the Black–Scholes price of the European and American put. We apply probabilistic uncertainty analysis to the Black–Scholes model and compare the results with those of the Uncertain Volatility model. From historical data, we calibrate a probability distribution for the volatility. We then use Monte Carlo (MC) and a surrogate Polynomial Chaos (PC)/MC method to compute uncertainty bounds. The calibrated probability distribution is not one related to a standard orthogonal basis, so a basis is constructed numerically for the PC approximation. We show how to construct one stably from the probability distribution. We show that both methods give the same results, and quantify the relative speedup of the surrogate method. Finally, we investigate the effect of the parametric uncertainty, and show, for example, that the presence of uncertainty smoothes out the optimal exercise boundary of the American put.     

The analysis of an adaptive workload balancing strategy in computing system resources management

An adaptive workload balancing scheme is analyzed. This scheme is intended to automatically dissolve the imbalance in resource utilization of computing systems and to bring about the proper balance between throughput and turnaround time. This is done by means of the invisible hand due to the bidding of priorities of resource use, with no contradiction between the flexible bid for each resource and the stable price for the entire service. The result of this analysis shows that this scheme would regulate those imbalances, and that it includes the load balancing policy of IBM OS/VS2-2 as a special case. Some considerations and methods on an actual implementation are also presented.This paper is a revised version of material which appeared as Research Report RC5072 of IBM Thomas J. Watson Research Center, Yorktown Heights, New York.On leave from the University of Electro-Communications, Chofu, Tokyo, Japan.     

输电损耗的分摊原则

在分析现有输电网损耗分配方法的基础上，针对损耗分配中的主要问题，从公平公正、快速高效、收支平衡、过程透明、经济信号、潮流基础和网络拓扑几个方面，分析并提出了输电损耗分配应该满足的主要原则，为进一步研究输电损耗的公正有效分配方法奠定了基础。     

Internet的定价研究

Internet作为一个半公共物品被广泛应用于许多领域，一直面临如何有效对Internet进行定价的问题．提出了Internet定价中存在的问题，分析了定价机制，并尝试性地给出了一个定价模型．Internet定价是一个动态过程，定价依赖于使用者的类型、使用时间和网上阻塞情况。     

信息产品的定价机制研究

分析了信息产品的定价特点，研究了成熟期和衰退期的信息产品的定价机制，得到了重要的研究结论．从而为信息产品的市场交易提供有益的指导．     

商业信用-广告合作的供应链两部定价契约协调

在一个制造商和一个零售商构成的供应链中,考虑制造商以提供商业信用、零售商以广告形式进行的合作对制造商制定批发价格的影响,通过纵向整合分析、Nash均衡分析与Stackelberg均衡分析,阐明两部定价契约在供应链协调及收益分配方面的作用,确定了实现供应链协调的契约参数与条件。最后通过数值算例说明了所得结论。     

竞争环境下的港口企业两种定价策略比较研究

通过建立港口的空间Hotelling模型,分析了同一区域内双垄断港口企业采用不同定价策略时的均衡价格、需求量和利润,并且对比了不同定价策略下港口的利润.理论研究结果表明:在服务水平相同时,两个竞争的港口企业采用统一定价策略会获得更多的利润;在服务水平不相同时,两个竞争的港口企业采取何种定价策略与它们的地理位置、内陆运费率、服务水平有关.     

Dynamic vs static pricing in a make-to-stock queue with partially controlled production

We consider a capacitated make-to-stock production system that offers a product to a market of price-sensitive users. The production process is partially controlled. On the one hand, the decision-maker controls the production of a single facility. On the other hand, an uncontrolled flow of items arrives at the stock. Such a situation occurs in several contexts; for example, when there is a return flow of products or a fixed delivery contract. We model the system as a make-to-stock queue with lost sales. We address the static pricing problem and the dynamic pricing problem with the objective of maximizing the average profit over an infinite horizon. For both problems, we characterize the optimal production and pricing policy. We also obtain analytical results for the static pricing problem. From numerical results, we show that dynamic pricing might be much more beneficial when the production is not totally controlled.      

分组交换网络中拥塞计费策略及拥塞率的计算

随着网络视频和流媒体等应用的逐渐普及,用户对带宽的需求日益增加.基于多TCP流的应用大量挤占网络带宽,影响网页浏览和电子邮件等低数据量应用的体验.如何在不过度限制高带宽需求应用的前提下,有效改善低数据量应用的体验,成为目前分组交换网络亟待解决的问题.拥塞计费是该问题的一种可行的解决方法.其基本思想是在网络发生拥塞时按照用户所造成拥塞量的多少来对用户进行收费.本文介绍了基于拥塞量收费的网络拥塞计费策略,建立了多拥塞点网络的数学模型,给出了计算拥塞率的方法,并对其算法复杂度进行了分析.最后,本文通过网络仿真对所提出的模型进行了验证.