THE REGULARITY OF THE FREE BOUNDARY FOR STRIKE RESET OPTION

A strike reset option is an option that allows its holder to reset the strike price to the prevailing underlying asset price at a moment chosen by the holder. The pricing model of the option can be formulated as a parabolic variational inequality and the optimal reset strategy is the free boundary. The smoothness of the free boundary in some cases was showed in our article published in JDE. We would prove its smoothness in the other case in this paper by a generalized comparison principle for the variational inequality.

具有执行价格和到期日重设型备兑权证的最佳重设策略

本文分析了备兑权证拥有者在执行价格和到期日重设时的最佳重设策略,得出了该策略执行的两个必要条件。研究结果表明重设策略与无风险利率r和分红率q有关,而新执行价格和标的资产大小关系的a与策略的优化有关。

股价服从指数O-U过程的多点重置期权定价

本文在风险中性定价原则下,得到了股价服从指数O-U(Ornstein-Uhlenbeck)过程的n个重置日期m个执行价格的重置期权定价,又在利率服从扩展Vasicek模型下,得到了n个重置日期m个执行价格的重置期权定价.

基于大数据挖掘的立式击弦机磁力自复位水平测试研究

针对传统立式击弦机微弱信号检测率低,导致磁力自复位水平不高的问题,提出一种基于WT-LSTM的微弱信号检测方法。首先,基于长短时神经网络构建基于LSTM的微弱信号检测模型,以检测立式击弦机的原始信号;然后引入小波分解,得到基于WT-LSTM的微弱信号检测模型,通过小波分解提取信号分量的近似系数,去除噪声分量;最后将数据传输至LSTM中进行新特征学习。结果表明,在-13 dB~0 dB的信噪比下,提出的WT-LSTM微弱信号检测方法的检测准确率均保持在85%及以上,其ROC曲线和AUC值明显高于传统的LSTM检测方法和RBF检测方法,虚警概率和漏警概率低于前两种方法。在信噪比为-13 dB时,本方法的检测准确率最高可达99.87%,比另外两种方法分别高出了8.8%和25.8%。由此说明,本方法可实现噪声抑制,提升微弱信号检测准确率,进一步增强立式击弦机磁力自复位水平。