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