Using physical probability measure of price process and the principle of fair premium, the results of Mogens Bladt and Hina Hviid Rydberg are generalized. In two cases of paying intermediate divisends and no intermedi...Using physical probability measure of price process and the principle of fair premium, the results of Mogens Bladt and Hina Hviid Rydberg are generalized. In two cases of paying intermediate divisends and no intermediate dividends, the Black_Scholes model is generalized to the case where the risk_less asset (bond or bank account) earns a time_dependent interest rate and risk asset (stock) has time_dependent the continuously compounding expected rate of return, volatility. In these cases the accurate pricing formula and put_call parity of European option are obtained. The general approach of option pricing is given for the general Black_Scholes of the risk asset (stock) has the continuously compounding expected rate of return, volatility. The accurate pricing formula and put_call parity of European option on a stock whose price process is driven by general Ornstein_Uhlenback (O_U) process are given by actuarial approach.展开更多
A new approach is proposed for analyzing non-repudiation and fairness of e-commerce protocols. The authentication e-mail protocol CMP1 is modeled as finite state machine and analyzed in two vital aspects- non-repudiat...A new approach is proposed for analyzing non-repudiation and fairness of e-commerce protocols. The authentication e-mail protocol CMP1 is modeled as finite state machine and analyzed in two vital aspects- non-repudiation and fairness using SME. As a result, the CMP1 protocol is not fair and we have improved it. This result shows that it is effective to analyze and check the new features of e-commerce protocols using SMV model checker.展开更多
基金This work is supported by the 863 High-Tcch Project （No. 2004AA104340）, the National Natural Science Foundation of China （No. 60173026） and SEC E-Institute： Shanghai High Institutions Grid （No. 200301-1）.
文摘Using physical probability measure of price process and the principle of fair premium, the results of Mogens Bladt and Hina Hviid Rydberg are generalized. In two cases of paying intermediate divisends and no intermediate dividends, the Black_Scholes model is generalized to the case where the risk_less asset (bond or bank account) earns a time_dependent interest rate and risk asset (stock) has time_dependent the continuously compounding expected rate of return, volatility. In these cases the accurate pricing formula and put_call parity of European option are obtained. The general approach of option pricing is given for the general Black_Scholes of the risk asset (stock) has the continuously compounding expected rate of return, volatility. The accurate pricing formula and put_call parity of European option on a stock whose price process is driven by general Ornstein_Uhlenback (O_U) process are given by actuarial approach.
基金Supported by the Natural Science Foundation of Guizhou Province(No.20050119)the Natural Science Foundation of Guizhou Education(No.2004219)
文摘A new approach is proposed for analyzing non-repudiation and fairness of e-commerce protocols. The authentication e-mail protocol CMP1 is modeled as finite state machine and analyzed in two vital aspects- non-repudiation and fairness using SME. As a result, the CMP1 protocol is not fair and we have improved it. This result shows that it is effective to analyze and check the new features of e-commerce protocols using SMV model checker.
