实物期权在专利权价值评估中的应用

专利权的价值评估 ,在我国经济发展过程中起着非常重要的作用 ,根据具体实施专利权过程中的不确定性 ,针对专利权价值评估传统方法的一些缺陷 ,引入了实物期权价值评估方法 ,利用实物期权理论研究了专利权的价值评估问题 ,并利用实物期权定价公式给出了专利权的价值评估公式 .     

4/2随机波动率模型下的期权定价

The existing stochastic volatility models have such a problem: A single-factor volatility model can generate steep curves or flat curves at a given volatility, but it cannot generate both for given parameters, which is inconsistent with the actual observed data. To precisely describe the market implied volatility curve, this paper studied a two-factor 4/2 stochastic volatility model that includes, as special instances, the Heston model and the 3/2 model. Besides, it applied Lewis’s fundamental transform approach to deduce the partial differential equation(PDE). In addition, by adopting the data on S&P 500, it estimated the parameters of the 4/2 model. Furthermore, it investigated the 4/2 model along with the Heston model and the 3/2 model, and compare their different performances. The results indicate that the option price fitting error of the 4/2 model is smaller than that of other two models.     

实物期权方法在生产外包中的应用

生产外包对许多企业来说显得越来越重要．因为它能为企业带来管理柔性和竞争优势。生产外包被看成是一种欧式期权并构建实物期权模型进行价值评价。模型中包含产品价格、市场需求、自制生产成本和外包生产成本等四种不确定性源，并通过蒙特卡罗模拟得到生产外包的期权价值。模拟表明，生产外包的期权价值和产品市场价格的变动率、市场需求的变动率及外包成本的变动率是正相关的，而与自制成本的变动率是负相关的。当市场需求的变动率增加、价格的不确定性增加、或者外包成本的不确定性增加，或者自制成本的变动率降低，生产外包就越有利。研究表明实物期权方法对生产外包决策是一种好工具，能够有效地估计外包的期权价值。     

平衡问题的一个解法

为了求解平衡问题 (EP) ,我们提出了一类辅助问题 (AP) ,并且证明了由 (AP)导出的近似解收敛到 (EP)的精确解 ,从而给出了一个解平衡问题的方法.     

Bifractional Black-Scholes Model for Pricing European Options and Compound Options

Recent empirical studies show that an underlying asset price process may have the property of long memory. In this paper, it is introduced the bifractional Brownian motion to capture the underlying asset of European options. Moreover, a bifractional Black-Scholes partial differential equation formulation for valuing European options based on Delta hedging strategy is proposed. Using the final condition and the method of variable substitution, the pricing formulas for the European options are derived. Furthermore, applying to risk-neutral principle, we obtain the pricing formulas for the compound options. Finally, the numerical experiments show that the parameter H K has a significant impact on the option value.     

区间DEA的一种改进的充分排序方法

区间DEA中决策制定单元（DMU）的效率值是一个区间数，传统的区间DEA研究只能以区间效率值将DMU分为有效、部分有效和无效三类，而对区间DEA中DMU的排序研究较少。本文以两个区间数大小的可能度为基础，并且考虑了区间数退化为实数的情况。通过排序向量从而对输入输出中含有区间数的决策单元进行排序，通过将超效率DEA模型进行区间扩展，从而对同为有效的DMU进行排序，以迭到对所有的DMU进行充分排序的目的。最后给出了一个算例。     

一种随机数据分布识别新方法

本文分析了随机数据分布的识别方法,并提出了基于神经网络的随机数据分布的识别方法.该方法是在最近邻方法的基础上,引入BP神经网络,从而实现了随机数据分布的模糊识别.     

An Approach to RCS Computation for Complex Targets

ＡｎＡｐｐｒｏａｃｈｔｏＲＣＳＣｏｍｐｕｔａｔｉｏｎｆｏｒＣｏｍｐｌｅｘＴａｒｇｅｔｓＺｈａｏＷｅｉｊｉａｎｇ＆ＷａｎｇＭａｏｇｕａｎｇＸｉｄｉａｎＵｎｉｖｅｒｓｉｔｙ，Ｘｉ’ａｎ７１００７１，Ｐ．Ｒ．Ｃｈｉｎａ（ＲｅｃｅｉｖｅｄＡｕｇｕｓｔ９，１９...     

An Agent-Based Approach for Time-Series Momentum and Reversal

This paper proposes a novel agent-based model combining private information diffusion to explain time-series momentum and reversal. Private information transmission allows heterogeneous trading strategies coexist in the artificial market. The experiments reproduce momentum in short horizon and reversal in long horizon in the artificial financial market. Moreover, the authors also analyze how the private information contagion affects the momentum. Meanwhile, the authors find the significant price trend and excess volatility of volume when private information diffuses gradually.     

证券组合投资分析的进化博弈方法

给出证券组合选择的一个进化博弈方法。将证券市场看成投资者群体博弈，其中财富流入更成功的投资策略，证券的价格由市场出清条件决定。在投资者为风险中性的假设下，我们指出惟一的纯策略Nash均衡是所有投资者按证券的(归一化后)期望收益成比例地分配财富，即根据证券的基本价值投资。进一步我们证明了该Nash均衡策略是Schaffer意义下的进化稳定策略。     

An Efficient Approach for Fuzzy Project Network Analysis

1　 IntroductionProject network analysis is a successful instrument in the planning and control of large,complex project.A network G( N,A) is a picture of a project with node set N and arc setA.The network representing the project is acyclic,compact and directed.The nodesstand for the events,while the arcs stand for the activities of the project.Each activity isdefined as a task requiring time for its completion,and each event represents a point intime that signifies the completion of some …     

基于ACP方法的电子商务系统复杂性研究

运用复杂系统研究中的“人工系统＋计算实验＋平行执行（ACP）”方法,结合新兴电子商务的特点,提出了基于ACP方法的电子商务复杂性研究方法论。讨论了其中的代理建模、实验、决策和量化计算4个主要问题;设计了与真实电子商务系统平行执行的电子商务社会实验平台,为复杂性研究结果的评估、验证和修正提供了实验环境。该方法论与实验平台的研究,有助于加快新兴电子商务复杂性研究的步伐、提升企业的国际竞争能力。     

时变条件下允许等待的最短路问题

在组合优化过程中,往往需要获得从起点到终点之间的最短路,而其所考虑的目标可能是一个与时间相关的变量.有时,网络中的节点进行一定时间的等待,可以在一定程度上减少目标值.给出了求解时变条件下允许等待且有到达时间限制的最短路模型,并设计了无等待时间限制和有等待时间限制条件下的算法,并对算法的复杂性进行了分析.最后,给出了一个应用算例.     

An Interactive Approach to Classification

Classification, entangled with obscurity and complexity, is not a task performed with ease. The obscurity in differentiating empirical taxonomy from conceptual typology plus the complexity of people’s perceptions as well as the difficulty in developing a versatile approach—all impinge on the path towards settling a classification structure grounded in consensus. This paper reviews the conventional approach and the prevailing approach to dealing with classification, scrutinizes the fundamental structures of classification and puts forward Interactive Management as a mechanism for unfolding the hierarchical structure of classification through a participatory and disciplined way. A case study—relating to structuring the value model of precision grinding machines in a multicriteria decision making context—demonstrates the manifold structures in classification, and demonstrates the establishment of consensus on classification structure from different participants’ perceptions, rather than a single designer’s preference.     

组织描述方法研究

概括了组织描述研究的方法和理论 ,分析了这一研究领域的难点和重点 ,并在计算组织适应性理论和分阶段设计理论基础上提出了一种组织的分层描述思想 ,定义组织核心元素 :组织、目标、决策实体、平台和环境 ,以及四个链接 (平台 -任务链接、决策实体 -平台链接、决策实体间链接以及组织 -环境链接 ) ,通过这五个元素和四个链接来描述组织模型和组织行为 ,基于这一思想对组织适应性过程给出了数学描述 .     

An Approach for Integrating Quantitative Decision Model with Qualitative Judgment

ＡｎＡｐｐｒｏａｃｈｆｏｒＩｎｔｅｇｒａｔｉｎｇＱｕａｎｔｉｔａｔｉｖｅＤｅｉｓｉｏｎＭｏｄｅｌｗｉｔｈＱｕａｌｉｔａｔｉｖｅＪｕｄｇｍｅｎｔTXＡｎＡｐｐｒｏａｃｈｆｏｒＩｎｔｅｇｒａｔｉｎｇＱｕａｎｔｉｔａｔｉｖｅＤｅｃｉｓｉｏｎＭｏｄｅｌｗｉｔｈ...     

一种基于聚类分析的多阶段情景生成方法

提出一种基于聚类分析的多阶段情景生成方法,并给出了排除套利的线性规划模型.该方法能更好地模拟历史数据的变化趋势,为多阶段投资组合决策提供一个有效的情景分析工具.