检索结果-南通市图书馆

第二十七届中国控制会议

作者： Yang Bing,Yang Yanrong,Meng Lina Department of Applied Mathematics,Shandong University at Weihai,Weihai,Shandong 264209,P.R.China

A game option is a general American-type option with the added possibility that not only the option holder,but also the option writer,may terminate the contract at any *** this paper,We establish some equivalent forms between game option pricing problems and Reflected Backward Stochastic Differential Equations（RBSDEs for short） with one reflected barrier and obtain the existence and uniqueness of the solution for the game *** applying the RBSDE methods,we obtain some properties of value function of the game option and prove the comparison theorem for RBSDEs with one reflected barrier.

关键词： optimal stopping problem Game Option RBSDE Zero-sum Two Player Stochastic Differential Game

来源： cnki会议评论

在线全文

cnki会议

学校读者我要写书评

暂无评论

optimal stopping of multi-project software testing in the context of software cybernetics

引用

Science China(Information Sciences) 2003年第5期46卷 335-354页

作者：蔡开元 Beijing University of Aeronautics and Astronautics Beijing China 100083 Department of Automatic Control

Software cybernetics explores the interplay between control theory/engineering and software theory/engineering. The controlled Markov chains (CMC) approach to software testing follows the idea of software cybernetics and treats software testing as a control problem. The software under test serves as a controlled object and the software testing strategy serves as the corresponding controller. The software under test and the software testing strategy make up a closed-loop feedback control system, and the theory of controlled Markov chains can be used to design and optimize software testing strategies in accordance with testing/reliability goals given a priori. In this paper we apply the CMC approach to the optimal stopping problem of multi-project software testing. The problem under consideration assumes that a single stopping action can stop testing of all the software systems under test simultaneously. The theoretical results presented in this paper describe how to test multiple software systems and whe

关键词： multi-project software testing optimal stopping problem controlled Markov chain software cybernetics.

来源：

同方期刊数据库评论

在线全文

同方期刊数据库

学校读者我要写书评

暂无评论

The pricing of perpetual convertible bond with credit risk

引用

Applied Mathematics(A Journal of Chinese Universities) 2010年第3期25卷 277-290页

作者： WANG Le-le BIAN Bao-jun Department of Mathematics, Tongji University, Shanghai 200092, China Department of Mathematics Tongji University Shanghai China

Convertible bond gives holder the right to choose a conversion strategy to maximize the bond value, and issuer also has the right to minimize the bond value in order to maximize equity value. When there is default occurring, conversion and calling strategies are invalid. In the framework of reduced form model, we reduce the price of convertible bond to variational inequalities, and the coefficients of variational inequalities are unbounded at the original point. Then the existence and uniqueness of variational inequality are proven. Finally, we prove that the conversion area, the calling area and the holding area are connected subsets of the state space.

关键词： Convertible bond default risk optimal stopping problem variational inequality free boundary.

来源：

维普期刊数据库

同方期刊数据库评论

在线全文

学校读者我要写书评

暂无评论

Efficient Numerical Valuation of Continuous Installment Options

引用

Advances in Applied Mathematics and Mechanics 2011年第2期3卷 141-164页

作者： Anton Mezentsev Anton Pomelnikov Matthias Ehrhardt IDE Halmstad UniversityBox 82330118HalmstadSweden Lehrstuhl fur Angewandte Mathematik und Numerische Analysis Fachbereich C-Mathematik und NaturwissenschaftenBergische Universitat WuppertalGaußstr.2042119 WuppertalGermany

In this work we investigate the novel Kryzhnyi method for the numerical inverse Laplace transformation and apply it to the pricing problem of continuous installment *** compare the results with the one obtained using other classical methods for the inverse Laplace transformation,like the Euler summation method or the Gaver-Stehfest method.

关键词： Installment options Black-Scholes equation numerical inverse Laplace transform Gaver-Stehfest method Euler summation method optimal stopping problem non-monotonic stopping boundary

来源：

维普期刊数据库评论

在线全文

维普期刊数据库

学校读者我要写书评

暂无评论

Double Exponential Jump Diffusion Processes and Its Application to Real Options

Double Exponential Jump Diffusion Processes and Its Applicat...

引用

第八届运筹学及其应用国际研讨会

作者： Atsuo Suzuki Katsushige Sawaki Faculty of Urban Science Meijo University 4-3-3 NijigaokaKaniGifu 509-0261Japan Nanzan Business School Nanzan University 18 YamazatoNagoyaAichi 466-8673Japan

＜正＞In this paper,we consider optimal stopping problem for double exponential jump diffusion ***,we derive the value function of the option to postpone and its optimal *** some numerical results are presented to dem... 详细信息

关键词： Double exponential Jump diffusion process optimal stopping problem

来源： cnki会议评论

在线全文

cnki会议

学校读者我要写书评

暂无评论

欢迎您,

建议与咨询留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

时间限定

文献类型

馆藏选择

核心期刊

语言

文献类型

帮助

文字说明：

检索规则说明：

检索范例：

分类表

所选分类

限定检索结果

文献类型

馆藏范围

日期分布

学科分类号

主题

机构

作者

语言

在线全文

在线全文

在线全文

在线全文

在线全文

请选择保存的检索档案：

请选择收藏分类：

通借通还

欢迎您,

建议与咨询 留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

时间限定

文献类型

馆藏选择

核心期刊

语言

文献类型

帮助

文字说明：

检索规则说明：

检索范例：

分类表

所选分类

限定检索结果

文献类型

馆藏范围

日期分布

学科分类号

主题

机构

作者

语言

在线全文

在线全文

在线全文

在线全文

在线全文

请选择保存的检索档案： 新增检索档案 确定 取消

请选择收藏分类： 新增自定义分类 确定 取消

通借通还

建议与咨询留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

请选择保存的检索档案：

请选择收藏分类：