自Black-Scholes期权定价模型提出以来,大量的期权定价模型被陆续提出并加以研究,成为国内外金融工程和金融数学的研究热点。由于列维过程能够很好地描述资产运动的动力学特征,近年来基于列维过程的期权定价模型吸引了广泛关注,如FMLS(f...自Black-Scholes期权定价模型提出以来,大量的期权定价模型被陆续提出并加以研究,成为国内外金融工程和金融数学的研究热点。由于列维过程能够很好地描述资产运动的动力学特征,近年来基于列维过程的期权定价模型吸引了广泛关注,如FMLS(finite moment log stable)、CGMY和KoBol模型。这些模型最终归结为数值求解一类分数阶偏微分方程。为此提出了求解这类分数阶偏微分方程的数值离散格式,理论分析给出了数值格式稳定的充分条件。数值实验验证数值格式和算法的可行性和有效性。基于上证50与沪深300的股指期权实际交易数据,利用KoBol分数阶模型进行定价并反演计算波动率曲线,进一步验证了KoBol模型在真实市场中的有效性。展开更多
Atomically thin solid-state channels enabling selective molecular transport could potentially be used in a variety of separation and energy conversion applications.The density of channels,their height,distance and edg...Atomically thin solid-state channels enabling selective molecular transport could potentially be used in a variety of separation and energy conversion applications.The density of channels,their height,distance and edge structure are the key factors that dramatically impact the selective transport performance.However,such channels with small constrictions and atomic precision have been limited to proof-ofconcept demonstrations based on microscale two-dimensional(2D)crystal stripes.Here,we report the engineering of highly ordered,scalable monolayer graphene crystallite arrays by chemical vapor deposition(CVD)method with a modified anisotropic etching approach.The size,shape,distance and edge structure of the graphene crystallite arrays in a large area could be delicately controlled through tailoring the synthetic parameters.This array structure can act as pillars to prop up a smooth single-crystal graphene film,and the fabricated integrated angstrom-size(3.4A)channels allow water transport but exclude hydrated ions,demonstrating potential in selective ionic sieving and nanofiltration practice.展开更多
文摘自Black-Scholes期权定价模型提出以来,大量的期权定价模型被陆续提出并加以研究,成为国内外金融工程和金融数学的研究热点。由于列维过程能够很好地描述资产运动的动力学特征,近年来基于列维过程的期权定价模型吸引了广泛关注,如FMLS(finite moment log stable)、CGMY和KoBol模型。这些模型最终归结为数值求解一类分数阶偏微分方程。为此提出了求解这类分数阶偏微分方程的数值离散格式,理论分析给出了数值格式稳定的充分条件。数值实验验证数值格式和算法的可行性和有效性。基于上证50与沪深300的股指期权实际交易数据,利用KoBol分数阶模型进行定价并反演计算波动率曲线,进一步验证了KoBol模型在真实市场中的有效性。
基金the National Natural Science Foundation of China(51772110,61890940)。
文摘Atomically thin solid-state channels enabling selective molecular transport could potentially be used in a variety of separation and energy conversion applications.The density of channels,their height,distance and edge structure are the key factors that dramatically impact the selective transport performance.However,such channels with small constrictions and atomic precision have been limited to proof-ofconcept demonstrations based on microscale two-dimensional(2D)crystal stripes.Here,we report the engineering of highly ordered,scalable monolayer graphene crystallite arrays by chemical vapor deposition(CVD)method with a modified anisotropic etching approach.The size,shape,distance and edge structure of the graphene crystallite arrays in a large area could be delicately controlled through tailoring the synthetic parameters.This array structure can act as pillars to prop up a smooth single-crystal graphene film,and the fabricated integrated angstrom-size(3.4A)channels allow water transport but exclude hydrated ions,demonstrating potential in selective ionic sieving and nanofiltration practice.
