In this paper, the binomial tree method is introduced to price the European option under a class of jump-diffusion model. The purpose of the addressed problem is to find the parameters of the binomial tree and design ...In this paper, the binomial tree method is introduced to price the European option under a class of jump-diffusion model. The purpose of the addressed problem is to find the parameters of the binomial tree and design the pricing formula for European option. Compared with the continuous situation, the proposed value equation of option under the new binomial tree model converges to Merton’s accurate analytical solution, and the established binomial tree method can be proved to work better than the traditional binomial tree. Finally, a numerical example is presented to illustrate the effectiveness of the proposed pricing methods.展开更多
This paper is concerned with the pricing problem of the discrete arithmetic average Asian call option while the discrete dividends follow geometric Brownian motion. The volatility of the dividends model depends on the...This paper is concerned with the pricing problem of the discrete arithmetic average Asian call option while the discrete dividends follow geometric Brownian motion. The volatility of the dividends model depends on the Markov-Modulated process. The binomial tree method, in which a more accurate factor has been used, is applied to solve the corresponding pricing problem. Finally, a numerical example with simulations is presented to demonstrate the effectiveness of the proposed method.展开更多
In this paper, the parameter estimation problem is investigated for the continuous time stochastic logistic diffusion system. A new continuous process is built based on the likelihood ratio scheme, the Radon-Nikodym d...In this paper, the parameter estimation problem is investigated for the continuous time stochastic logistic diffusion system. A new continuous process is built based on the likelihood ratio scheme, the Radon-Nikodym derivative and the explicit expressions of the error of estimation are given under this new continuous process. By using the random time transformations, law of large numbers for martingales, law of iterated logarithm and stationary distribution of solution, the consistency property are proved for the estimation error. Finally, a numerical simulation is presented to demonstrate the effectiveness of the proposed method in this paper.展开更多
The compositions of the secondary structures of protein in the human breast normal, hyperplasia, fibroadenoma and invasive ductal carcinoma tissues have been estimated from the Fourier self deconvolved spectra, the se...The compositions of the secondary structures of protein in the human breast normal, hyperplasia, fibroadenoma and invasive ductal carcinoma tissues have been estimated from the Fourier self deconvolved spectra, the second derivative spectra and the curve-fitting analysis of the amide I bands in their spectra. Some parameters of the secondary structures of proteins in these 4 types of tissues are significantly different and located in separate ranges.展开更多
Some remarkable FTIR spectral differences are observed and the differences at the molecular level are extracted between benign and malignant breast tissue samples. For the malignant tissue, the relative content of nuc...Some remarkable FTIR spectral differences are observed and the differences at the molecular level are extracted between benign and malignant breast tissue samples. For the malignant tissue, the relative content of nucleic acids is increased whereas the collagen is decreased. The proteins are phosphorylated and become more flexible and disordered. And these significant differences have important implications not only for probing the process of the breast lesion at the molecular level, but also for evaluating the histological types and grades of breast diseases.展开更多
文摘In this paper, the binomial tree method is introduced to price the European option under a class of jump-diffusion model. The purpose of the addressed problem is to find the parameters of the binomial tree and design the pricing formula for European option. Compared with the continuous situation, the proposed value equation of option under the new binomial tree model converges to Merton’s accurate analytical solution, and the established binomial tree method can be proved to work better than the traditional binomial tree. Finally, a numerical example is presented to illustrate the effectiveness of the proposed pricing methods.
文摘This paper is concerned with the pricing problem of the discrete arithmetic average Asian call option while the discrete dividends follow geometric Brownian motion. The volatility of the dividends model depends on the Markov-Modulated process. The binomial tree method, in which a more accurate factor has been used, is applied to solve the corresponding pricing problem. Finally, a numerical example with simulations is presented to demonstrate the effectiveness of the proposed method.
文摘In this paper, the parameter estimation problem is investigated for the continuous time stochastic logistic diffusion system. A new continuous process is built based on the likelihood ratio scheme, the Radon-Nikodym derivative and the explicit expressions of the error of estimation are given under this new continuous process. By using the random time transformations, law of large numbers for martingales, law of iterated logarithm and stationary distribution of solution, the consistency property are proved for the estimation error. Finally, a numerical simulation is presented to demonstrate the effectiveness of the proposed method in this paper.
文摘The compositions of the secondary structures of protein in the human breast normal, hyperplasia, fibroadenoma and invasive ductal carcinoma tissues have been estimated from the Fourier self deconvolved spectra, the second derivative spectra and the curve-fitting analysis of the amide I bands in their spectra. Some parameters of the secondary structures of proteins in these 4 types of tissues are significantly different and located in separate ranges.
文摘Some remarkable FTIR spectral differences are observed and the differences at the molecular level are extracted between benign and malignant breast tissue samples. For the malignant tissue, the relative content of nucleic acids is increased whereas the collagen is decreased. The proteins are phosphorylated and become more flexible and disordered. And these significant differences have important implications not only for probing the process of the breast lesion at the molecular level, but also for evaluating the histological types and grades of breast diseases.
