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.     

基于模糊控制的公路隧道通风控制系统

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浅谈智能模糊控制恒压供水系统

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用模糊学方法定量评定了学生的综合素质，并按素质的优劣给学生进行了排序，这里是将数学方法引入教学管理的初步尝试。     

PLC在双动压力机控制系统中的应用

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A data model for regions with indeterminate boundaries

Most of spatial phenomena like natural vegetation units and land use areas constantly change over time and have uncertainty spatial extents. Till now, a considerable number of data models have been proposed for spatial objects with sharp boundaries as well as with indeterminate boundaries. However, they mainly concern space and time or space and fuzziness and not yet integrate them into a single unified framework. This paper introduces a formal definition of the conceptual fuzzy spatiotemporal data model, called FSTDM for fuzzy regions based on fuzzy set theory. We also contribute a method of manipulating queries with the presence of both temporal predicate and fuzzy spatial predicate in the condition clause efficiently. We then implement a prototype system.Through the experimental results, we prove that our work can be used to build a specialized system such as GIS, spatial database, and so on.