For a non-Gaussian Levy model, it is shown that if the model exists a trivial arbitrage-free interval, option pricing by mean correcting method is always arbitrage-free, and if the arbitrage-free interval is non-trivi...For a non-Gaussian Levy model, it is shown that if the model exists a trivial arbitrage-free interval, option pricing by mean correcting method is always arbitrage-free, and if the arbitrage-free interval is non-trivial, this pricing method may lead to arbitrage in some cases. In the latter case, some necessary and sufficient conditions under which option price is arbitrage-free are obtained.展开更多
In view of the problems that the encoding complexity of quasi-cyclic low-density parity-check(QC-LDPC) codes is high and the minimum distance is not large enough which leads to the degradation of the error-correction ...In view of the problems that the encoding complexity of quasi-cyclic low-density parity-check(QC-LDPC) codes is high and the minimum distance is not large enough which leads to the degradation of the error-correction performance, the new irregular type-Ⅱ QC-LDPC codes based on perfect cyclic difference sets(CDSs) are constructed. The parity check matrices of these type-Ⅱ QC-LDPC codes consist of the zero matrices with weight of 0, the circulant permutation matrices(CPMs) with weight of 1 and the circulant matrices with weight of 2(W2CMs). The introduction of W2CMs in parity check matrices makes it possible to achieve the larger minimum distance which can improve the error-correction performance of the codes. The Tanner graphs of these codes have no girth-4, thus they have the excellent decoding convergence characteristics. In addition, because the parity check matrices have the quasi-dual diagonal structure, the fast encoding algorithm can reduce the encoding complexity effectively. Simulation results show that the new type-Ⅱ QC-LDPC codes can achieve a more excellent error-correction performance and have no error floor phenomenon over the additive white Gaussian noise(AWGN) channel with sum-product algorithm(SPA) iterative decoding.展开更多
基金Supported by National Natural Science Foundation of China(Grant No.11171101)National Social Science Fund of China(Grant No.11BTJ011)Research Projects of Humanities and Social Sciences Foundation of Ministry of Education of China(Grant No.12YJAZH173)1)
文摘For a non-Gaussian Levy model, it is shown that if the model exists a trivial arbitrage-free interval, option pricing by mean correcting method is always arbitrage-free, and if the arbitrage-free interval is non-trivial, this pricing method may lead to arbitrage in some cases. In the latter case, some necessary and sufficient conditions under which option price is arbitrage-free are obtained.
基金supported by the National Natural Science Foundation of China(No.61472464)the Research Foundation of Education Bureau of Hunan Province in China(No.16C0686)the Key Discipline Construction Project Funding for Hunan University of Science and Engineering(Electrical systems)
文摘In view of the problems that the encoding complexity of quasi-cyclic low-density parity-check(QC-LDPC) codes is high and the minimum distance is not large enough which leads to the degradation of the error-correction performance, the new irregular type-Ⅱ QC-LDPC codes based on perfect cyclic difference sets(CDSs) are constructed. The parity check matrices of these type-Ⅱ QC-LDPC codes consist of the zero matrices with weight of 0, the circulant permutation matrices(CPMs) with weight of 1 and the circulant matrices with weight of 2(W2CMs). The introduction of W2CMs in parity check matrices makes it possible to achieve the larger minimum distance which can improve the error-correction performance of the codes. The Tanner graphs of these codes have no girth-4, thus they have the excellent decoding convergence characteristics. In addition, because the parity check matrices have the quasi-dual diagonal structure, the fast encoding algorithm can reduce the encoding complexity effectively. Simulation results show that the new type-Ⅱ QC-LDPC codes can achieve a more excellent error-correction performance and have no error floor phenomenon over the additive white Gaussian noise(AWGN) channel with sum-product algorithm(SPA) iterative decoding.
