164 research outputs found
Option Pricing Model with Stochastic Exercise Price
This paper discusses the problem of pricing on some multi-asset option European exchange option in jump-diffusion model by martingale method. Supposing that risk assets pay continuous dividend regarded as the function of time. By changing basic assumption of William Margrabe exchange option pricing model to the assumption that jump process is count process that more general than Poisson process. It is established that the behavior model of the stock pricing process is jump-diffusion process. With risk-neutral martingale measure, pricing formula and put-call parity of European exchange options with continuous dividends are obtained by stochastic analysis method. The results of Margrabe are generalized
Response Dynamics of Alkali Metal-Noble Gas Hybrid Trispin System
With numerical calculation of coupled Bloch equations, we have simulated the
spin dynamics of nuclear magnetic resonance gyroscope based on alkali
metal-noble gas hybrid trispin system. From the perspective of damping harmonic
oscillator, a thorough analysis of the response dynamics is demonstrated. The
simulation results shows a linear increasing response of gyroscope signal while
the noblge gas nuclear spin magnetization and alkali atomic spin lifetime
parameters are at the over damping condition. An upper limit of response is
imposed on the NMR gyroscope signal due to the inherent dynamics of the hybrid
trispin system. The results agrees with present available experimental results
and provide useful guidings for future experiments.Comment: 5 pages, 3 figure
Option Pricing Model With Continuous Dividends
This paper discusses the problem of pricing on European options in jump-diffusion model by martingale method. We assuming jump process are more commen then Possion process a kind of nonexplosive counting process. Supposing that the dividend for each share of the security is paid continuously in time at a rate equal to a fixed fraction of the price of the security. By changing the basic assumption of R.C.Merton option pricing model to the assumption. It is established that the behavior model of the stock pricing process is jump-diffusion process. With risk-neutral martingale measure, pricing formula and put-call parity for European options with continuous dividends are obtained by stochastic analysis method. The results of Margrabe are generalized
Self-driven Hybrid Atomic Spin Oscillator
A self-driven hybrid atomic spin oscillator is demonstrated in theory and
experiment with a vapor Rb-Xe dual-spin system. The raw signal of Rb spin
oscillation is amplified, phase-shifted and sent back to drive the Xe spins
coherently. By fine tuning the driving field strength and phase, a
self-sustaining spin oscillation signal with zero frequency shift is obtained.
The effective coherence time is infinitely prolonged beyond the intrinsic
coherence time of Xe spins, forming a hybrid atomic spin oscillator. Spectral
analysis indicates that a frequency resolution of 13.1 nHz is achieved,
enhancing the detection sensitivity for magnetic field. Allan deviation
analysis shows that the spin oscillator can operate in continuous wave mode
like a spin maser. The prototype spin oscillator can be easily implanted into
other hybrid spin systems and enhance the detection sensitivity of alkali
metal-noble gas comagnetometers.Comment: 6 pages,5 figure
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