In this paper, we use a modified path simulation method for valuation of Asian American Options. This method is a modification of the path simulation model proposed by Tiley. We assume that the behavior of the log ret...In this paper, we use a modified path simulation method for valuation of Asian American Options. This method is a modification of the path simulation model proposed by Tiley. We assume that the behavior of the log return of the underlying assets follows the Variance Gamma (VG) process, since its distribution is heavy tail and leptokurtic. We provide sensitivity analysis of this method and compare the obtained prices to Asian European option prices.展开更多
In order to ensure the safety and efficiency of planetary exploration rovers,path planning and tracking control of a planetary rover are expected to consider factors such as complex 3D terrain features,the motion cons...In order to ensure the safety and efficiency of planetary exploration rovers,path planning and tracking control of a planetary rover are expected to consider factors such as complex 3D terrain features,the motion constraints of the rover,traversability,etc.An improved path planning and tracking control method is proposed for planetary exploration rovers on rough terrain in this paper.Firstly,the kinematic model of the planetary rover is established.A 3D motion primitives library adapted to various terrains and the rover’s orientations is generated.The state expansion process and heuristic function of the A*algorithm are improved using the motion primitives and terrain features.Global path is generated by improved A*-based algorithm that satisfies the planetary rover’s kinematic constraints and the 3D terrain restrictions.Subsequently,an optional arc path set is designed based on the traversable capabilities of the planetary rover.Each arc path corresponds to a specific motion that determines the linear and angular velocities of the planetary rover.The optimal path is selected through the multi-objective evaluation function.The planetary rover is driven to accurately track the global path by sending optimal commands that corresponds to the optimal path for real-time obstacle avoidance.Finally,the path planning and tracking control method is effectively validated during a given mission through two simulation tests.The experiment results show that the improved A*-based algorithm reduces planning time by 30.05% and generates smoother paths than the classic A^(*) algorithm.The multi-objective arc-based method improves the rover’s motion efficiency,ensuring safer and quicker mission completion along the global path.展开更多
为兼顾发行方与投资者的利益,确保融资效率,本文设计了含股权回售与赎回条款的或有可转债(share-putable&callable Co Cos,SPCCs).首先将其分解为普通或有可转债多头、下降-敲入看跌障碍期权多头以及上升-敲入看涨障碍期权空头的组...为兼顾发行方与投资者的利益,确保融资效率,本文设计了含股权回售与赎回条款的或有可转债(share-putable&callable Co Cos,SPCCs).首先将其分解为普通或有可转债多头、下降-敲入看跌障碍期权多头以及上升-敲入看涨障碍期权空头的组合;然后针对债券价值的"路径依赖"特征,引入Jarrow-Turnbull模型确定生存概率,继而推导出以股价为触发器的SPCCs定价公式;最后针对瑞信集团(credit suisse)2011年2月发行的或有可转债进行实证分析.结果表明:SPCCs价格与债转股触发强度增速显著负相关;同时发行方股价波动率会对SPCCs价格产生间接影响,且影响方向取决于"Co Cos价值随股价波动率的增加幅度"与"股权回售与赎回条款价值随股价波动率的减少幅度"孰大孰小.展开更多
文摘In this paper, we use a modified path simulation method for valuation of Asian American Options. This method is a modification of the path simulation model proposed by Tiley. We assume that the behavior of the log return of the underlying assets follows the Variance Gamma (VG) process, since its distribution is heavy tail and leptokurtic. We provide sensitivity analysis of this method and compare the obtained prices to Asian European option prices.
基金funded by the State Key Laboratory,China(KJW6142210210308)the National Natural Science Founda-tion of China(61806183).
文摘In order to ensure the safety and efficiency of planetary exploration rovers,path planning and tracking control of a planetary rover are expected to consider factors such as complex 3D terrain features,the motion constraints of the rover,traversability,etc.An improved path planning and tracking control method is proposed for planetary exploration rovers on rough terrain in this paper.Firstly,the kinematic model of the planetary rover is established.A 3D motion primitives library adapted to various terrains and the rover’s orientations is generated.The state expansion process and heuristic function of the A*algorithm are improved using the motion primitives and terrain features.Global path is generated by improved A*-based algorithm that satisfies the planetary rover’s kinematic constraints and the 3D terrain restrictions.Subsequently,an optional arc path set is designed based on the traversable capabilities of the planetary rover.Each arc path corresponds to a specific motion that determines the linear and angular velocities of the planetary rover.The optimal path is selected through the multi-objective evaluation function.The planetary rover is driven to accurately track the global path by sending optimal commands that corresponds to the optimal path for real-time obstacle avoidance.Finally,the path planning and tracking control method is effectively validated during a given mission through two simulation tests.The experiment results show that the improved A*-based algorithm reduces planning time by 30.05% and generates smoother paths than the classic A^(*) algorithm.The multi-objective arc-based method improves the rover’s motion efficiency,ensuring safer and quicker mission completion along the global path.
文摘为兼顾发行方与投资者的利益,确保融资效率,本文设计了含股权回售与赎回条款的或有可转债(share-putable&callable Co Cos,SPCCs).首先将其分解为普通或有可转债多头、下降-敲入看跌障碍期权多头以及上升-敲入看涨障碍期权空头的组合;然后针对债券价值的"路径依赖"特征,引入Jarrow-Turnbull模型确定生存概率,继而推导出以股价为触发器的SPCCs定价公式;最后针对瑞信集团(credit suisse)2011年2月发行的或有可转债进行实证分析.结果表明:SPCCs价格与债转股触发强度增速显著负相关;同时发行方股价波动率会对SPCCs价格产生间接影响,且影响方向取决于"Co Cos价值随股价波动率的增加幅度"与"股权回售与赎回条款价值随股价波动率的减少幅度"孰大孰小.
