A neural network versus Black–Scholes: a comparison of pricing and hedging performances

An Erratum has been published for this article in Journal of Forecasting 22(6‐7) 2003, 551 The Black–Scholes formula is a well‐known model for pricing and hedging derivative securities. It relies, however, on several highly questionable assumptions. This paper examines whether a neural network (MLP) can be used to find a call option pricing formula better corresponding to market prices and the properties of the underlying asset than the Black–Scholes formula. The neural network method is applied to the out‐of‐sample pricing and delta‐hedging of daily Swedish stock index call options from 1997 to 1999. The relevance of a hedge‐analysis is stressed further in this paper. As benchmarks, the Black–Scholes model with historical and implied volatility estimates are used. Comparisons reveal that the neural network models outperform the benchmarks both in pricing and hedging performances. A moving block bootstrap is used to test the statistical significance of the results. Although the neural networks are superior, the results are sometimes insignificant at the 5% level. Copyright © 2003 John Wiley & Sons, Ltd.     

谈家庭害虫的危害及防治

家庭是人们生活居住的重要场所，伴人而居的害虫影响到人们的生活质量。因此，采用环境卫生防治、保管技术防治、化学防治、物理与机械防治、人工捕杀害虫等措施，能够有效地改善家庭生活环境。     

空气自动站监测与传统监测方法测定值的对比分析

为保证不同监测方法下监测数据的连续性、可比性以及正确判断环境空气变化规律，通过自动监测与传统的连续监测、五日法监测方法进行实验对比分析，找出传统方法与自动监测定值之间的偏差，探讨产生偏差的原因。     

图像相关方法中采用多种子区进行位移测量

在图像相关位移测量方法中一般采用正方型子区搜索中心点的位移.当测量靠近裂纹或缺陷部位的位移时中心型子区失去效果,为了解决这一问题提出了非中心型子区的方法.证明了方法的有效性.认为在相关搜索时测量点既可选定在子区的中心位置,也可选定在非中心位置.进而提出了将测量点确定在子区角点的多种子区的方法.除通常的中心型子区外,至少还有4种子区可以采用,分别是右下角型、左下角型、右上角型和左上角型,这4种子区不但适用于表面裂纹或缺陷部位的位移测量,而且增加了图像有效信息的提取面积.     

托梁换柱技术在某砖混结构住宅改造中的应用

介绍了某砖混结构的住宅在旧城区改造过程中,运用托梁换柱的技术,将底层外墙拆除,改建为商铺的设计、施工等情况.     

Solving Non-Uniqueness in Agglomerative Hierarchical Clustering Using Multidendrograms

In agglomerative hierarchical clustering, pair-group methods suffer from a problem of non-uniqueness when two or more distances between different clusters coincide during the amalgamation process. The traditional approach for solving this drawback has been to take any arbitrary criterion in order to break ties between distances, which results in different hierarchical classifications depending on the criterion followed. In this article we propose a variable-group algorithm that consists in grouping more than two clusters at the same time when ties occur. We give a tree representation for the results of the algorithm, which we call a multidendrogram, as well as a generalization of the Lance andWilliams’ formula which enables the implementation of the algorithm in a recursive way. The authors thank A. Arenas for discussion and helpful comments. This work was partially supported by DGES of the Spanish Government Project No. FIS2006–13321–C02–02 and by a grant of Universitat Rovira i Virgili.     

对档案材料收集的再思考

档案材料的收集是衡量档案工作管理水平的一个基本标志。必须坚持科学合理的收集方法,以保证归档文件材料的完整、齐全、有价值。     

体育专业教师创新思维的建构途径

培养体育专业学生的创新精神和创造能力的关键在于教师，因此体育教师的创新思维至关重要．运用调查法、逻辑分析法建构了体育专业教师创新思维的途径．     

耗散准模腔场与激子相互作用的量子统计性质

研究了耗散准模腔场与激子相互作用的量子统计特性 ,给出了当腔场初始处于真空态而激子处于真空态与粒子数态大于 2的叠加态时的腔场与激子能量交换的表达式。研究结果表明 ,激子和腔场可以呈现亚泊松分布状态 ,激子与腔场之间的关联是经典的 ,不存在Cauchy Schwartz不等式的偏离现象。     

统计因素分析法刍议

本文主要就统计因素分析法中不变因素的固定时期问题．提出了“先变因素和后变因素”的观点，从而对统计指数理论难以解释的问题．变得较为容易处理。