In this article, we consider a class of compound vector-valued problem on upper-half plane C＋, which consists of vector Riemann problem along a closed contour in C＋ with matrix coefficient in H61der class and vector...In this article, we consider a class of compound vector-valued problem on upper-half plane C＋, which consists of vector Riemann problem along a closed contour in C＋ with matrix coefficient in H61der class and vector Hilbert problem on the real axis with essential bounded measurable matrix coefficient. Under appropriate assumption we obtain its solution by use of Corona theorem and factorization of matrix functions in decomposed Banach algebras.展开更多
A compound option is simply an option on an option. In this short paper, by using a martingale technique, we obtain an analytical formula for pricing compound European call options. Numerical results are given to expl...A compound option is simply an option on an option. In this short paper, by using a martingale technique, we obtain an analytical formula for pricing compound European call options. Numerical results are given to explain some economic phenomenon.展开更多
基金supported by the National Natural Science Foundation of China(10471107)RFDP of Higher Education(20060486001)
文摘In this article, we consider a class of compound vector-valued problem on upper-half plane C＋, which consists of vector Riemann problem along a closed contour in C＋ with matrix coefficient in H61der class and vector Hilbert problem on the real axis with essential bounded measurable matrix coefficient. Under appropriate assumption we obtain its solution by use of Corona theorem and factorization of matrix functions in decomposed Banach algebras.
基金The research is supported by the research grant RG081/04-05S/JXQ/FST from University of Macauthe grant 050/2005/A from FDCT
文摘A compound option is simply an option on an option. In this short paper, by using a martingale technique, we obtain an analytical formula for pricing compound European call options. Numerical results are given to explain some economic phenomenon.
