5,920 research outputs found
A mathematical model for contingent claim pricing in a preannounced policy
This paper presents a mathematical model for contingent claim pricing in a preannounced policy. There are some properties in the model. First, one can distinguish the preannouncement effects on the mean and volatility of asset returns. Second, the European call option pricing solution in the model can reduce to the Black-Sholes (1973) formula as no preannouncement effects occur before maturity.Preannounced policy, Preannouncement effect, Fat tails, Discontinuity, Option pricing.
Electromagnetic emissions from near-horizon region of an extreme Kerr-Taub-Nut black hole
We have studied electromagnetic line emissions from near-horizon region in
the extremal Kerr-Taub-NUT black hole spacetime and then probe the effects of
NUT charge on the electromagnetic line emissions. Due to the presence of the
NUT charge, the equatorial plane is no more a symmetry plane of the KTN
spacetime, which leads to that the dependence of electromagnetic line emission
on the NUT charge for the observer in the Southern Hemisphere differs from that
in the Northern one. Our result indicate that the electromagnetic line emission
in the Kerr-Taub-NUT black hole case is brighter than that in the case of Kerr
black hole for the observer in the equatorial plane or in the Southern
Hemisphere, but it becomes more faint as the observer's position deviates far
from the equatorial plane in the Northern one. Moreover, we also probe effects
of redshift factor on electromagnetic emission from near-horizon region in the
extremal Kerr-Taub-NUT black hole spacetime.Comment: 18 pages, 7 figure
Downlink Small-cell Base Station Cooperation Strategy in Fractal Small-cell Networks
Coordinated multipoint (CoMP) communications are considered for the
fifth-generation (5G) small-cell networks as a tool to improve the high data
rates and the cell-edge throughput. The average achievable rates of the
small-cell base stations (SBS) cooperation strategies with distance and
received signal power constraints are respectively derived for the fractal
small-cell networks based on the anisotropic path loss model. Simulation
results are presented to show that the average achievable rate with the
received signal power constraint is larger than the rate with a distance
constraint considering the same number of cooperative SBSs. The average
achievable rate with distance constraint decreases with the increase of the
intensity of SBSs when the anisotropic path loss model is considered. What's
more, the network energy efficiency of fractal smallcell networks adopting the
SBS cooperation strategy with the received signal power constraint is analyzed.
The network energy efficiency decreases with the increase of the intensity of
SBSs which indicates a challenge on the deployment design for fractal
small-cell networks.Comment: 5 figures. Accepted by Globecom 201
Semidiscrete least squares methods for linear convection-diffusion problem
AbstractIn this paper, some approximate methods for solving linear convection-diffusion problems are presented. The methods consist in discretizing with respect to time and solving the resulting convection dominated elliptic problem for fixed time by least squares finite element methods. An analysis of least squares approximations is given, including optimal order estimates for piecewise polynomial approximation spaces. The model problem considered is the time-dependent convection dominated linear convection-diffusion equation. Numerical results for the Burgers' equation will also be presented
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