The passport option is a call option on the balance of a trading account. The option holder retains the gain from trading, while the issuer is liable for the net loss. In this article, the mathematical foundation for ...The passport option is a call option on the balance of a trading account. The option holder retains the gain from trading, while the issuer is liable for the net loss. In this article, the mathematical foundation for pricing the European passport option is established. The pricing equation which is a fully nonlinear equation is derived using the dynamic programming principle. The comparison principle, uniqueness and convexity preserving of the viscosity solutions of related H J13 equation are proved. A relationship between the passport and lookback options is discussed.展开更多
Short-time dynamics and universality are investigated for the random-bond Potts model with a trinary distribu tion of quenched randomness on a two-dimensional triangular lattice. The universal power-law scaling behavi...Short-time dynamics and universality are investigated for the random-bond Potts model with a trinary distribu tion of quenched randomness on a two-dimensional triangular lattice. The universal power-law scaling behaviour is applied to estimate the exponents z and β/v. Emphasis is placed on dynamic Monte Carlo evolutions for different multi-disorder amplitudes. Our results indicate that the quenched impurities cause a change of the critical universality.展开更多
基金supported in partby National Science Foundation of China (10371088,10671144)National Basic Research Program of China(2007CB814903)+3 种基金Development Funds of Shanghai Higher Education (05D210)the Special Funds for Major Specialties of Shanghai Education Committee (T0401)Supported by Special Fund for the Excellent Young Teachers of Shanghai Higher Learning Institutions (ssd08029)the Research Program of Shanghai Normal University (SK200812)
文摘The passport option is a call option on the balance of a trading account. The option holder retains the gain from trading, while the issuer is liable for the net loss. In this article, the mathematical foundation for pricing the European passport option is established. The pricing equation which is a fully nonlinear equation is derived using the dynamic programming principle. The comparison principle, uniqueness and convexity preserving of the viscosity solutions of related H J13 equation are proved. A relationship between the passport and lookback options is discussed.
基金Supported by the National Natural Science Foundation of China under Grant Nos.19975041 and 19631050。
文摘Short-time dynamics and universality are investigated for the random-bond Potts model with a trinary distribu tion of quenched randomness on a two-dimensional triangular lattice. The universal power-law scaling behaviour is applied to estimate the exponents z and β/v. Emphasis is placed on dynamic Monte Carlo evolutions for different multi-disorder amplitudes. Our results indicate that the quenched impurities cause a change of the critical universality.
