Black-Scholes Model (B-SM) simulates the dynamics of financial market and contains instruments such as options and puts which are major indices requiring solution. B-SM is known to estimate the correct prices of Europ...Black-Scholes Model (B-SM) simulates the dynamics of financial market and contains instruments such as options and puts which are major indices requiring solution. B-SM is known to estimate the correct prices of European Stock options and establish the theoretical foundation for Option pricing. Therefore, this paper evaluates the Black-Schole model in simulating the European call in a cash flow in the dependent drift and focuses on obtaining analytic and then approximate solution for the model. The work also examines Fokker Planck Equation (FPE) and extracts the link between FPE and B-SM for non equilibrium systems. The B-SM is then solved via the Elzaki transform method (ETM). The computational procedures were obtained using MAPLE 18 with the solution provided in the form of convergent series.展开更多
自本栏目开辟以来,好评如潮。一位澳大利亚的作家,不远万里来到中国,在上海的郊区金山和松江的两所中学任教一年。这是她一生难忘的一年,她的快乐和欣喜、困惑和迷茫、寂寞与痛苦、希望和憧憬,等等,都在本专栏得以真实而又生动的折射。...自本栏目开辟以来,好评如潮。一位澳大利亚的作家,不远万里来到中国,在上海的郊区金山和松江的两所中学任教一年。这是她一生难忘的一年,她的快乐和欣喜、困惑和迷茫、寂寞与痛苦、希望和憧憬,等等,都在本专栏得以真实而又生动的折射。本专栏的上期披露了这样一个令人心疼的事实:Once,theywere so naughty I stormed outside and cried while they laughed at me through thewindows。不少读者发来邮件,对这些naught学生表示了强烈的不满,cried/laughed在上句形成了强烈对比。在素质教育的呼声日甚一日之今日,让人觉得,这些学生已非一般意义上的naughty(顽皮;淘气)了。本文,Denise Noblet又向读者披露了她在上海遇到的一件让她至今不能理解的真实故事。】展开更多
Global tea consumption has risen significantly alongside rapid expansion of international trade in recent years.However,few studies have systematically examined the relationship among the major tea markets worldwide.U...Global tea consumption has risen significantly alongside rapid expansion of international trade in recent years.However,few studies have systematically examined the relationship among the major tea markets worldwide.Using weekly data from 2012-2019,this study empirically analyzed the price series of the world’s major black tea auction markets.The estimation results showed that these markets are connected,even though heterogeneities vary.This finding holds not only for regional markets but also for international markets.The findings offer important implications for tea-producing countries with millions of smallholder farmers.展开更多
We obtain a Black Scholes formula for the arbitrage free pricing of European Call options with constant coefficients when the underlying stock generates dividends. To hedge the Call option, we will always borrow mon...We obtain a Black Scholes formula for the arbitrage free pricing of European Call options with constant coefficients when the underlying stock generates dividends. To hedge the Call option, we will always borrow money form bank. We see the influence of the dividend term on the option pricing via the comparison theorem of BSDE(backward stochastic differential equation,). We also consider the option pricing problem in terms of the borrowing rate R which is not equal to the interest rate r. The corresponding Black Scholes formula is given. We notice that it is in fact the borrowing rate that plays the role in the pricing formula.展开更多
In this paper, we present a new approach for solving boundary value problem in partial differential equation arising in financial market by means of the Laplace transform. The result shows that the Laplace transform f...In this paper, we present a new approach for solving boundary value problem in partial differential equation arising in financial market by means of the Laplace transform. The result shows that the Laplace transform for the price of the European call option which pays dividend yield reduces to the Black-Scholes-Merton model.展开更多
文摘Black-Scholes Model (B-SM) simulates the dynamics of financial market and contains instruments such as options and puts which are major indices requiring solution. B-SM is known to estimate the correct prices of European Stock options and establish the theoretical foundation for Option pricing. Therefore, this paper evaluates the Black-Schole model in simulating the European call in a cash flow in the dependent drift and focuses on obtaining analytic and then approximate solution for the model. The work also examines Fokker Planck Equation (FPE) and extracts the link between FPE and B-SM for non equilibrium systems. The B-SM is then solved via the Elzaki transform method (ETM). The computational procedures were obtained using MAPLE 18 with the solution provided in the form of convergent series.
文摘自本栏目开辟以来,好评如潮。一位澳大利亚的作家,不远万里来到中国,在上海的郊区金山和松江的两所中学任教一年。这是她一生难忘的一年,她的快乐和欣喜、困惑和迷茫、寂寞与痛苦、希望和憧憬,等等,都在本专栏得以真实而又生动的折射。本专栏的上期披露了这样一个令人心疼的事实:Once,theywere so naughty I stormed outside and cried while they laughed at me through thewindows。不少读者发来邮件,对这些naught学生表示了强烈的不满,cried/laughed在上句形成了强烈对比。在素质教育的呼声日甚一日之今日,让人觉得,这些学生已非一般意义上的naughty(顽皮;淘气)了。本文,Denise Noblet又向读者披露了她在上海遇到的一件让她至今不能理解的真实故事。】
基金supported by the National Natural Science Foundation of China(71773150 and 71934003)。
文摘Global tea consumption has risen significantly alongside rapid expansion of international trade in recent years.However,few studies have systematically examined the relationship among the major tea markets worldwide.Using weekly data from 2012-2019,this study empirically analyzed the price series of the world’s major black tea auction markets.The estimation results showed that these markets are connected,even though heterogeneities vary.This finding holds not only for regional markets but also for international markets.The findings offer important implications for tea-producing countries with millions of smallholder farmers.
文摘We obtain a Black Scholes formula for the arbitrage free pricing of European Call options with constant coefficients when the underlying stock generates dividends. To hedge the Call option, we will always borrow money form bank. We see the influence of the dividend term on the option pricing via the comparison theorem of BSDE(backward stochastic differential equation,). We also consider the option pricing problem in terms of the borrowing rate R which is not equal to the interest rate r. The corresponding Black Scholes formula is given. We notice that it is in fact the borrowing rate that plays the role in the pricing formula.
文摘In this paper, we present a new approach for solving boundary value problem in partial differential equation arising in financial market by means of the Laplace transform. The result shows that the Laplace transform for the price of the European call option which pays dividend yield reduces to the Black-Scholes-Merton model.
