In order to price European contingent claim in a class of fractional Black-Scholes market,where the prices of assets follow a Wick-It stochastic differential equation driven by the fractional Brownian motion and mar...In order to price European contingent claim in a class of fractional Black-Scholes market,where the prices of assets follow a Wick-It stochastic differential equation driven by the fractional Brownian motion and market coefficients are deterministic functions,the pricing formula of European call option was explicitly derived by the method of the stochastic calculus of the fractional Brownian motion.A result about fractional Clark derivative was also obtained.展开更多
The purpose of this paper is to model ethical consumption behaviour based on price-dependent preferences. We motivate ethical consumption founded on the idea that ethical consumers compete for moral superiority relati...The purpose of this paper is to model ethical consumption behaviour based on price-dependent preferences. We motivate ethical consumption founded on the idea that ethical consumers compete for moral superiority relative to their peers by purchasing more expensive ethical conspicuous goods. An ethical consumer model in which consumers display moral consumption choices by purchasing ethical conspicuous goods is developed. This requires de_ning ethical conspicuous goods, social labels, and formalizing a set of assumptions on price-dependent ethical preferences. We show that an ethical utility function exists without relying on the usual transitivity assumption. We utilise Blashke's Rolling Theorem to show our main result.展开更多
基金National Natural Science Foundation of China(No.10826098)Natural Science Foundation of Anhui Province,China(No.090416225)Anhui Natural Science Foundation of Universities,China(No.KJ2010A037)
文摘In order to price European contingent claim in a class of fractional Black-Scholes market,where the prices of assets follow a Wick-It stochastic differential equation driven by the fractional Brownian motion and market coefficients are deterministic functions,the pricing formula of European call option was explicitly derived by the method of the stochastic calculus of the fractional Brownian motion.A result about fractional Clark derivative was also obtained.
文摘The purpose of this paper is to model ethical consumption behaviour based on price-dependent preferences. We motivate ethical consumption founded on the idea that ethical consumers compete for moral superiority relative to their peers by purchasing more expensive ethical conspicuous goods. An ethical consumer model in which consumers display moral consumption choices by purchasing ethical conspicuous goods is developed. This requires de_ning ethical conspicuous goods, social labels, and formalizing a set of assumptions on price-dependent ethical preferences. We show that an ethical utility function exists without relying on the usual transitivity assumption. We utilise Blashke's Rolling Theorem to show our main result.
