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In this paper, a -times integrated C-regularized cosine functions and mild a -times integrated C-existence families of second order are introduced. Equivalences are proved among a -times integrated C-regularized cosine function for a linear operator A, C-wellposed of (a + l)-times abstract Cauchy problem and mild a -times integrated C-existence family of second order for A when the commutable condition is satisfied. In addition, if A = C~1AC, they are also equivalent to A generating the a -times integrated C-regularized cosine function. The characterization of an exponentially bounded mild a -times integrated C-existence family of second order is given out in terms of a Laplace transform. 相似文献
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假设市场利率服从Vasicek模型.用PDE方法讨论了随机利率下两类重置期权的定价问题,建立它们的定价模型并得到了相应的解析表达式. 相似文献
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根据初始股票价格S0的位置将双障碍期权划分为两大类,研究了双障碍期权的定价问题,发现双障碍期权或由一份单障碍期权和一份双边敲出期权组合而成或由两份单障碍期权组合而成,从而将双障碍期权的定价问题转化为单障碍期权和双边敲出期权的定价问题. 相似文献
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In this paper, α -times integrated C-regularized cosine functions and mild α-times integrated C-existence families of second order are introduced. Equivalences are proved among α -times integrated C-regularized cosine function for a linear operator A, C-wellposed of (α + 1)-times abstract Cauchy problem and mild α -times integrated C-existence family of second order for A when the commutable condition is satisfied. In addition, if A = C-1AC, they are also equivalent to A generating the α -times integrated C-regularized cosine finction.The characterization of an exponentially botnded mild α -times integrated C-existence family of second order is given out in terms of a Laplace transform. 相似文献
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重置期权的创新及其定价问题 总被引:1,自引:0,他引:1
结合回望期权的买入按低价,卖出按高价的特点对重置期权进行创新.应用最高与最低原生资产价格的概率分布得出了一类创新重置看涨期权、看跌期权的定价公式. 相似文献
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"不可交易"是经理股票期权(ESO)的重要特征之一.受制于此,经理股票期权无法通过对冲其标的资产来完成定价.考虑一类具有再装条款的经理股票期权,基于效用无差别方法,运用随机控制理论,推导出了定价模型满足的Hamilton-Jacobi-Bellman(HJB)方程,并运用格林函数,计算得到了经理股票期权无差别价格的解析解.最后,对模型的解析解进行了参数分析. 相似文献
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本文我们利用Hopf分支定理给出了Liénard方程存在极限环和两个推广的判别准则。 相似文献
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This paper is concerned with the convergence rates of ergodic limits and approximation for regularized resolvent families for a linear Volterra integral equation. The results contain C0-semigroups, cosine operator functions and α-times integrated resolvent family as special cases. 相似文献