带交易费和时间依赖型的多资产金融衍生品的定价方法-Lie代数法(英文)

本文提出了一种定价带时间参数的多资产金融衍生品的定价方法-Lie代数法,利用金融衍生品的定价偏微分方程的动力对称性,直接得到了定价方程的封闭解析解,该方法提供了一种有效的且易于操作的金融衍生品的定价方法.

Algebraic Structure of the Dynamical Equations of Holonomic Mechanical System in Relative Motion

Aim To study an algebraic of the dynamical equations of holonomic mechanical systems in relative motion. Methods The equations of motion were presented in a contravariant algebraic form and an algebraic product was determined. Results and Conclusion The equations a Lie algebraic structure if any nonpotential generalized force doesn't exist while while the equations possess a Lie-admissible algebraic structure if nonpotential generalized forces exist .

带交易费和时间依赖型的波动率弹性为常数的期权定价模型(英文)

提出了一种基于Lie-代数法和Wei～Norman定理的带交易费和时间依赖型波动率弹性为常数(CEV)的期权定价模型,通过不同的弹性系数得到了CEV期权定价模型的解析解,并且我们发现,当模型不依赖时间时,该解析解的形式是相同的.另外,李代数方法较容易对代数结构较好的其他的期权进行定价.例如:带有交易费的单壁垒CEV期权的定价估计.

Characteristic Numbers of Matrix Lie Algebras

A notion of characteristic number of matrix Lie algebras is defined, which is devoted to distinguishing various Lie algebras that are used to generate integrable couplings of soliton equations. That is, the exact classification of the matrix Lie algebras by using computational formulas is given. Here the characteristic numbers also describe the relations between soliton solutions of the stationary zero curvature equations expressed by various Lie algebras.

On the A-extended Lie Rinehart Algebras

The purpose of this paper is to give a brief introduction to the category of Lie Rinehart algebras and introduces the concept of smooth manifolds associated with a unitary, commutative, associative algebra A. It especially shows that the A-extended algebra as well as the action algebra can be realized as the space of A-left invariant vector fields on a Lie group, analogous to the well known relationship of Lie algebras and Lie groups.

A New Integrable Lattice Hierarchy and Its Two Discrete Integrable Couplings

A new and efficient way is presented for discrete integrable couplings with the help of two semi-direct sum Lie algebras. As its applications, two discrete integrable couplings associated with the lattice equation are worked out. The approach can be used to study other discrete integrable couplings of the discrete hierarchies of solition equations.

Generalized Multi-component TC Hierarchy and Its Multi-component Integrable Coupling System

A new 3M-dimensional Lie algebra X is constructed firstly. Then, the corresponding loop algebra X is produced, whose commutation operation defined by us is as simple and straightforward as that in the loop algebra A1.It follows that a generalscheme for generating multi-component integrable hierarchy is proposed. By taking advantage of X, a new isospectral problem is established, and then well-known multi-component TC hierarchy is obtained. Finally,an expanding loop algebra FM of the loop algebra X is presented. Based on the FM, the multi-component integrable coupling system of the generalized multi-component TC hierarchy has been worked out. The method in this paper can be applied to other nonlinear evolution equations hierarchies. It is easy to find that we can construct any finite-dimensional Lie algebra by this approach.

A New Three-Dimensional Lie Algebra and a Modified AKNS Hierarchy of Soliton Equations

A new three-dimensional Lie algebra and its corresponding loop algebra are constructed, from which a modified AKNS soliton-equation hierarchy is obtained.

Two Types of Expanding Lie Algebra and New Expanding Integrable Systems

From a new Lie algebra proposed by Zhang, two expanding Lie algebras and its corresponding loop algebrasare obtained.Two expanding integrable systems are produced with the help of the generalized zero curvature equation.One of them has complex Hamiltion structure with the help of generalized Tu formula (GTM).

Two types of new Lie algebras and related Liouville integrable hierarchies

Based on the generalization of Lie algebra An- 1, two types of new Lie algebras were worked out and the integrability of the related hierarchies of evolution equations were proved in the sense of Liouville.

Upper Triangular Matrix of Lie Algebra and a New Discrete Integrable Coupling System

The upper triangular matrix of Lie algebra is used to construct integrable couplings of discrete solition equations. Correspondingly, a feasible way to construct integrable couplings is presented. A nonlinear lattice soliton equation spectral problem is obtained and leads to a novel hierarchy of the nonlinear lattice equation hierarchy. It indicates that the study of integrable couplings using upper triangular matrix of Lie algebra is an important step towards constructing integrable systems.

A New Lie Algebra and Its Related Liouville Integrable Hierarchies

A new Lie algebra G and its two types of loop algebras G1 and G2 are constructed. Basing on G1 and G2, two different isospectral problems are designed, furthermore, two Liouville integrable soliton hierarchies are obtained respectively under the framework of zero curvature equation, which is derived from the compatibility of the isospectral problems expressed by Hirota operators. At the same time, we obtain the Hamiltonian structure of the first hierarchy and the bi-Hamiltonian structure of the second one with the help of the quadratic-form identity.

New Convenient Way for Disentangling Exponential Operator Composed of Angular Momentum Operators

In the preceding paper （Commun. Theor. Phys. 51 （2009） 321） we have recommended a convenient method for disentangling exponential operators. In this work we use this method for disentangling exponential operators composed of angular momentum operators. We mainly desentangle the form of exp[2hJz ＋ g J＋ ＋ kJ_] as the ordering exp（... J＋）exp（... Jz）exp（... J_）, we employ the Schwinger Bose realization J_ = bta, J＋ = atb, Jz=（ata - btb）/2 to fulfil this task, without appealing to Lie algebra method. Note that this operator＇s desentanglng is different from its decomposition in normal ordering.

Lie Ideals in AF C~*-Algebras

We study Lie ideals in unital AF C^＊-algebras. It is shown that if a linear manifold L in an AF C^＊-algebra A is a closed Lie ideal in A, then there exists a closed associative ideal I and a closed subalgebra EI of the canonical masa D of A such that [A,I]^- belong to L belong to I ＋ EI, and that every closed subspace in this form is a closed Lie ideal in A.

Non-abelian extensions of Lie 2-algebras

In this paper,we give the notion of derivations of Lie 2-algebras using explicit formulas,and construct the associated derivation Lie 3-algebra.We prove that isomorphism classes of non-abelian extensions of Lie 2-algebras are classified by equivalence classes of morphisms from a Lie 2-algebra to a derivation Lie 3-algebra.

COMPLETE LIE ALGEBRAS WITH l-STEP NILPOTENT RADICALS

The authors first give a necessary and sufficient condition for some solvable Lie algebras with l-step nilpotent radicals to be complete, and then construct a new class of infinite dimensional complete Lie algebras by using the modules of simple Lie algebras. The quotient algebras of this new constructed Lie algebras are non-solvable complete Lie algebras with l-step nilpotent radicals.

ON THE VARIATIONS OF G_2

In [1], Shen Guangyu constructed several classes of new simple Lie algebras of characteristic 2, which are called the variations of G2. In this paper, the authors investigate their derivation algebras. It is shown that G2 and its variations all possess unique nondegenerate associative forms. The authors also find some nonsingular derivations of ViG for i = 3,4, 5, 6, and thereby construct some left-symmetric structures on Vi G for i = 3,4,5,6. Some errors about the variations of sl(3, F) in [1] are corrected.

Compatible Lie Bialgebras

A compatible Lie algebra is a pair of Lie algebras such that any linear combination of the two Lie brackets is a Lie bracket. We construct a bialgebra theory of compatible Lie Mgebras as an analogue of a piiLie bialgebra. They can also be regarded as a ＂compatible version＂ of Lie bialgebras, that is, a pair of Lie biaJgebras such that any linear combination of the two Lie bialgebras is still a Lie bialgebra. Many properties of compatible Lie bialgebras as the ＂compatible version＂ of the corresponding properties of Lie biaJgebras are presented. In particular, there is a coboundary compatible Lie bialgebra theory with a construction from the classical Yang-Baxter equation in compatible Lie algebras as a combination of two classical Yang-Baxter equations in lAe algebras. FUrthermore, a notion of compatible pre-Lie Mgebra is introduced with an interpretation of its close relation with the classical Yang-Baxter equation in compatible Lie a/gebras which leads to a construction of the solutions of the latter. As a byproduct, the compatible Lie bialgebras fit into the framework to construct non-constant solutions of the classical Yang-Baxter equation given by Golubchik and Sokolov.

ON SOLVABLE COMPLETE LIE SUPERALGEBRAS

The authors discuss the properties of solvable complete Lie superalgebra, proving that solvable Lie superalgebras of maximal rank are complete.

Quasi-triangular Hopf algebras and invariant Jacobians

We show that two module homomorphisms for groups and Lie algebras established by Xi(2012)can be generalized to the setting of quasi-triangular Hopf algebras.These module homomorphisms played a key role in his proof of a conjecture of Yau(1998).They will also be useful in the problem of decomposition of tensor products of modules.Additionally,we give another generalization of result of Xi(2012)in terms of Chevalley-Eilenberg complex.