A compound option is simply an option on an option. In this short paper, by using a martingale technique, we obtain an analytical formula for pricing compound European call options. Numerical results are given to expl...A compound option is simply an option on an option. In this short paper, by using a martingale technique, we obtain an analytical formula for pricing compound European call options. Numerical results are given to explain some economic phenomenon.展开更多
This research presents a novel way of labelling human activities from the skeleton output computed from RGB-D data from vision-based motion capture systems. The activities are labelled by means of a Compound Hidden Ma...This research presents a novel way of labelling human activities from the skeleton output computed from RGB-D data from vision-based motion capture systems. The activities are labelled by means of a Compound Hidden Markov Model. The linkage of several Linear Hidden Markov Models to common states, makes a Compound Hidden Markov Model. Each separate Linear Hidden Markov Model has motion information of a human activity. The sequence of most likely states, from a sequence of observations, indicates which activities are performed by a person in an interval of time. The purpose of this research is to provide a service robot with the capability of human activity awareness, which can be used for action planning with implicit and indirect Human-Robot Interaction. The proposed Compound Hidden Markov Model, made of Linear Hidden Markov Models per activity, labels activities from unknown subjects with an average accuracy of 59.37%, which is higher than the average labelling accuracy for activities of unknown subjects of an Ergodic Hidden Markov Model (6.25%), and a Compound Hidden Markov Model with activities modelled by a single state (18.75%).展开更多
European compound option pricing model is established by using the mixed bifractional Brownian motion. Firstly, using the principle of risk-neutral pricing, the European option pricing formulas and the parity formulas...European compound option pricing model is established by using the mixed bifractional Brownian motion. Firstly, using the principle of risk-neutral pricing, the European option pricing formulas and the parity formulas are obtained. Secondly, with the Delta hedging strategy, the corresponding compound option pricing formulas and the parity formulas are got. Finally, using the daily closing price data of “Lingang B shares” and “Yitai B shares” respectively, the results show that the mixed model is closer to the true value than the previous model.展开更多
基金The research is supported by the research grant RG081/04-05S/JXQ/FST from University of Macauthe grant 050/2005/A from FDCT
文摘A compound option is simply an option on an option. In this short paper, by using a martingale technique, we obtain an analytical formula for pricing compound European call options. Numerical results are given to explain some economic phenomenon.
文摘This research presents a novel way of labelling human activities from the skeleton output computed from RGB-D data from vision-based motion capture systems. The activities are labelled by means of a Compound Hidden Markov Model. The linkage of several Linear Hidden Markov Models to common states, makes a Compound Hidden Markov Model. Each separate Linear Hidden Markov Model has motion information of a human activity. The sequence of most likely states, from a sequence of observations, indicates which activities are performed by a person in an interval of time. The purpose of this research is to provide a service robot with the capability of human activity awareness, which can be used for action planning with implicit and indirect Human-Robot Interaction. The proposed Compound Hidden Markov Model, made of Linear Hidden Markov Models per activity, labels activities from unknown subjects with an average accuracy of 59.37%, which is higher than the average labelling accuracy for activities of unknown subjects of an Ergodic Hidden Markov Model (6.25%), and a Compound Hidden Markov Model with activities modelled by a single state (18.75%).
文摘European compound option pricing model is established by using the mixed bifractional Brownian motion. Firstly, using the principle of risk-neutral pricing, the European option pricing formulas and the parity formulas are obtained. Secondly, with the Delta hedging strategy, the corresponding compound option pricing formulas and the parity formulas are got. Finally, using the daily closing price data of “Lingang B shares” and “Yitai B shares” respectively, the results show that the mixed model is closer to the true value than the previous model.
