【目的】为使Heston(赫斯顿)模型能更细致地刻画标的资产价格演变规律以应对复杂多变的金融市场,提出了带跳的非仿射粗糙Heston模型。【方法】首先用傅里叶余弦级数(Fourier Cosine Series Expansion,Fourier-Cosine)方法分离期权密度...【目的】为使Heston(赫斯顿)模型能更细致地刻画标的资产价格演变规律以应对复杂多变的金融市场,提出了带跳的非仿射粗糙Heston模型。【方法】首先用傅里叶余弦级数(Fourier Cosine Series Expansion,Fourier-Cosine)方法分离期权密度函数和特征函数,用扰动法转化非线性偏积分微分方程,并用Adams-Bashforth-Moulton(亚当斯-巴什福斯-默尔顿)预测-校正法求解分数黎卡提方程,从而得到欧式看涨期权定价公式;然后用蒙特卡洛模拟结果验证解的有效性;最后分析了模型非仿射参数、粗糙参数和跳幅度参数对期权价格的影响,并对比了不同模型的定价结果。【结果】数值解与蒙特卡洛模拟结果相对误差为0.01%~0.2%,非仿射参数、粗糙参数和跳幅度参数对模型有不同程度的影响同时又相互制约。【结论】本模型刻画标的资产价格变化规律更具灵活性和多样性,从而为期权定价提供了理论支撑。展开更多
Based on a transformed Painlev~ property and the variable separated ODE method, a function transfor- mation method is proposed to search for exact solutions of some partial differential equations （PDEs） with hyperbo...Based on a transformed Painlev~ property and the variable separated ODE method, a function transfor- mation method is proposed to search for exact solutions of some partial differential equations （PDEs） with hyperbolic or exponential functions. This approach provides a more systematical and convenient handling of the solution process of this kind of nonlinear equations. Its key point is to eradicate the hyperbolic or exponential terms by a transformed Painleve property and reduce the given PDEs to a variable-coefficient the resulting equations by some methods. As an application, are formally derived. ordinary differential equations, then we seek for solutions to exact solutions for the combined sinh-cosh-Gordon equation展开更多
Due to coarse quantization, block-based discrete cosine transform(BDCT) compression methods usually suffer from visible blocking artifacts at the block boundaries. A novel efficient de-blocking method in DCT domain is...Due to coarse quantization, block-based discrete cosine transform(BDCT) compression methods usually suffer from visible blocking artifacts at the block boundaries. A novel efficient de-blocking method in DCT domain is proposed. A specific criterion for edge detection is given, one-dimensional DCT is applied on each row of the adjacent blocks and the shifted block in smooth region, and the transform coefficients of the shifted block are modified by weighting the average of three coefficients of the block. Mean square difference of slope criterion is used to judge the efficiency of the proposed algorithm. Simulation results show that the new method not only obtains satisfactory image quality, but also maintains high frequency information.展开更多
The nonlocal symmetry of the Boussinesq equation is obtained from the known Lax pair. The explicit analytic interaction solutions between solitary waves and cnoidal waves are obtained through the localization procedur...The nonlocal symmetry of the Boussinesq equation is obtained from the known Lax pair. The explicit analytic interaction solutions between solitary waves and cnoidal waves are obtained through the localization procedure of nonlocal symmetry. Some other types of solutions, such as rational solutions and error function solutions, are given by using the fourth Painlev~ equation with special values of the parameters. For some interesting solutions, the figures are given out to show their properties.展开更多
A generalized Kadomtsev–Petviashvili equation is studied by nonlocal symmetry method and consistent Riccati expansion(CRE) method in this paper. Applying the truncated Painlevé analysis to the generalized Kadomt...A generalized Kadomtsev–Petviashvili equation is studied by nonlocal symmetry method and consistent Riccati expansion(CRE) method in this paper. Applying the truncated Painlevé analysis to the generalized Kadomtsev–Petviashvili equation, some B¨acklund transformations(BTs) including auto-BT and non-auto-BT are obtained. The auto-BT leads to a nonlocal symmetry which corresponds to the residual of the truncated Painlevé expansion. Then the nonlocal symmetry is localized to the corresponding nonlocal group by introducing two new variables. Further,by applying the Lie point symmetry method to the prolonged system, a new type of finite symmetry transformation is derived. In addition, the generalized Kadomtsev–Petviashvili equation is proved consistent Riccati expansion(CRE)solvable. As a result, the soliton-cnoidal wave interaction solutions of the equation are explicitly given, which are difficult to be found by other traditional methods. Moreover, figures are given out to show the properties of the explicit analytic interaction solutions.展开更多
文摘【目的】为使Heston(赫斯顿)模型能更细致地刻画标的资产价格演变规律以应对复杂多变的金融市场,提出了带跳的非仿射粗糙Heston模型。【方法】首先用傅里叶余弦级数(Fourier Cosine Series Expansion,Fourier-Cosine)方法分离期权密度函数和特征函数,用扰动法转化非线性偏积分微分方程,并用Adams-Bashforth-Moulton(亚当斯-巴什福斯-默尔顿)预测-校正法求解分数黎卡提方程,从而得到欧式看涨期权定价公式;然后用蒙特卡洛模拟结果验证解的有效性;最后分析了模型非仿射参数、粗糙参数和跳幅度参数对期权价格的影响,并对比了不同模型的定价结果。【结果】数值解与蒙特卡洛模拟结果相对误差为0.01%~0.2%,非仿射参数、粗糙参数和跳幅度参数对模型有不同程度的影响同时又相互制约。【结论】本模型刻画标的资产价格变化规律更具灵活性和多样性,从而为期权定价提供了理论支撑。
基金Supported by National Natural Science Foundation of China under Grant No.10926057 Foundation of Zhejiang Educational Committee under Grant No.Y200908784
文摘Based on a transformed Painlev~ property and the variable separated ODE method, a function transfor- mation method is proposed to search for exact solutions of some partial differential equations （PDEs） with hyperbolic or exponential functions. This approach provides a more systematical and convenient handling of the solution process of this kind of nonlinear equations. Its key point is to eradicate the hyperbolic or exponential terms by a transformed Painleve property and reduce the given PDEs to a variable-coefficient the resulting equations by some methods. As an application, are formally derived. ordinary differential equations, then we seek for solutions to exact solutions for the combined sinh-cosh-Gordon equation
基金Science and Technology Project of Guangdong Province(2006A10201003) 2005 Jinan University StartupProject(51205067) Soft Science Project of Guangdong Province(2006B70103011)
文摘Due to coarse quantization, block-based discrete cosine transform(BDCT) compression methods usually suffer from visible blocking artifacts at the block boundaries. A novel efficient de-blocking method in DCT domain is proposed. A specific criterion for edge detection is given, one-dimensional DCT is applied on each row of the adjacent blocks and the shifted block in smooth region, and the transform coefficients of the shifted block are modified by weighting the average of three coefficients of the block. Mean square difference of slope criterion is used to judge the efficiency of the proposed algorithm. Simulation results show that the new method not only obtains satisfactory image quality, but also maintains high frequency information.
基金supported by the National Natural Science Foundation of China(Nos.11275072,11435005)the Research Fund for the Doctoral Program of Higher Education of China(No.20120076110024)+3 种基金the Innovative Research Team Program of the National Natural Science Foundation of China(No.61321064)the Shanghai Knowledge Service Platform for Trustworthy Internet of Things(No.ZF1213)the Shanghai Minhang District Talents of High Level Scientific Research Project and the Talent FundK.C.Wong Magna Fund in Ningbo University
文摘The nonlocal symmetry of the Boussinesq equation is obtained from the known Lax pair. The explicit analytic interaction solutions between solitary waves and cnoidal waves are obtained through the localization procedure of nonlocal symmetry. Some other types of solutions, such as rational solutions and error function solutions, are given by using the fourth Painlev~ equation with special values of the parameters. For some interesting solutions, the figures are given out to show their properties.
基金Supported by the Global Change Research Program of China under Grant No.2015CB953904National Natural Science Foundation of under Grant Nos.11275072 and 11435005+3 种基金Doctoral Program of Higher Education of China under Grant No.20120076110024the Network Information Physics Calculation of Basic Research Innovation Research Group of China under Grant No.61321064Shanghai Collaborative Innovation Center of Trustworthy Software for Internet of Things under Grant No.ZF1213Zhejiang Provincial Natural Science Foundation of China under Grant No.LY14A010005
文摘A generalized Kadomtsev–Petviashvili equation is studied by nonlocal symmetry method and consistent Riccati expansion(CRE) method in this paper. Applying the truncated Painlevé analysis to the generalized Kadomtsev–Petviashvili equation, some B¨acklund transformations(BTs) including auto-BT and non-auto-BT are obtained. The auto-BT leads to a nonlocal symmetry which corresponds to the residual of the truncated Painlevé expansion. Then the nonlocal symmetry is localized to the corresponding nonlocal group by introducing two new variables. Further,by applying the Lie point symmetry method to the prolonged system, a new type of finite symmetry transformation is derived. In addition, the generalized Kadomtsev–Petviashvili equation is proved consistent Riccati expansion(CRE)solvable. As a result, the soliton-cnoidal wave interaction solutions of the equation are explicitly given, which are difficult to be found by other traditional methods. Moreover, figures are given out to show the properties of the explicit analytic interaction solutions.
