OPTION

作品数：409被引量：479H指数：10
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相关机构：苏州大学哈尔滨工程大学苏州浪潮智能科技有限公司吉林大学更多>>
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A Multi-Customer Supply Chain Scheduling with Subcontracting Option on a Single Machine
《Journal of Applied Mathematics and Physics》2022年第12期3749-3757,共9页Xiaoping Ou Fei Luo 
This paper studies the cost problem caused by the activity of the work-piece in the supply chain. The objective function is to find an optimal ordering that minimizes the total cost of production, transportation and s...
关键词：Supply Chain Scheduling Singe-Machine Dynamic Programming Algorithm 
Classical and Quantum Structures of the Wave: Modelling the Controlled, Optimised, Continuum-System
《Journal of Applied Mathematics and Physics》2022年第3期611-622,共12页Tafireyi Nemaura 
A projected plasma efavirenz concentration profile of a patient who had been on an orally administered 600 mg daily dose of efavirenz is used as the variable that is a directing lead. A four compartmental model of ord...
关键词：BOUNCE QUANTUM Control OPTION CONTINUUM Structure 
A New Binomial Tree Method for European Options under the Jump Diffusion Model被引量：1
《Journal of Applied Mathematics and Physics》2019年第12期3012-3021,共10页Lingkang Zhu Xiu Kan Huisheng Shu Zifeng Wang 
In this paper, the binomial tree method is introduced to price the European option under a class of jump-diffusion model. The purpose of the addressed problem is to find the parameters of the binomial tree and design ...
关键词：OPTION PRICING BINOMIAL TREE JUMP-DIFFUSION Process MOMENT Estimation 
Valuation of European and American Options under Variance Gamma Process
《Journal of Applied Mathematics and Physics》2014年第11期1000-1008,共9页Ferry Jaya Permana Dharma Lesmono Erwinna Chendra 
Geometric Brownian Motion (GBM) is widely used to model the asset price dynamics. Option price models such as the Black-Sholes and the binomial tree models rely on the assumption that the underlying asset price dynami...
关键词：Geometric BROWNIAN Motion EUROPEAN OPTION AMERICAN OPTION Variance GAMMA Process 
The SABR Model: Explicit Formulae of the Moments of the Forward Prices/Rates Variable and Series Expansions of the Transition Probability Density and of the Option Prices
《Journal of Applied Mathematics and Physics》2014年第7期540-568,共29页Lorella Fatone Francesca Mariani Maria Cristina Recchioni Francesco Zirilli 
The SABR stochastic volatility model with β-volatility β ? (0,1) and an absorbing barrier in zero imposed to the forward prices/rates stochastic process is studied. The presence of (possibly) nonzero correlation bet...
关键词：SABR Stochastic VOLATILITY Models OPTION PRICING SPECTRAL DECOMPOSITION FX Data 
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