APPROXIMATE HEDGING PROBLEM WITH TRANSACTION COSTS IN STOCHASTIC VOLATILITY MARKETS

International audienceThis paper studies the problem of option replication in general stochastic volatility markets with transaction costs, using a new specification for the volatility adjustment in Leland's algorithm. We prove several limit theorems for the normalized replication error of Leland's strategy, as well as that of the strategy suggested by Lépinette. The asymptotic results obtained not only generalize the existing results, but also enable us to fix the underhedging property pointed out by Kabanov and Safarian. We also discuss possible methods to improve the convergence rate and to reduce the option price inclusive of transaction costs

A new inverse trigonometric shear deformation theory for isotropic and functionally graded sandwich plates

A new inverse trigonometric shear deformation theory is proposed for the static, buckling and free vibration analyses of isotropic and functionally graded (FG) sandwich plates. It accounts for a inverse trigonometric distribution of transverse shear stress and satisfies the traction free boundary conditions. Equations of motion obtained here are solved for three types of FG plates: FG plates, sandwich plates with FG core and sandwich plates with FG faces. Closed-form solutions are obtained to predict the deflections, stresses, critical buckling loads and natural frequencies of simply supported plates. A good agreement between the obtained predictions and the available solutions of existing shear deformation theories is found to demonstrate the accuracy of the proposed theory

A nonlocal sinusoidal plate model for micro/nanoscale plates

A nonlocal sinusoidal plate model for micro/nanoscale plates is developed based on Eringen’s nonlocal elasticity theory and sinusoidal shear deformation plate theory. The small scale effect is considered in the former theory while the transverse shear deformation effect is included in the latter theory. The proposed model accounts for sinusoidal variations of transverse shear strains through the thickness of the plate, and satisfies the stress-free boundary conditions on the plate surfaces, thus a shear correction factor is not required. Equations of motion and boundary conditions are derived from Hamilton’s principle. Analytical solutions for bending, buckling, and vibration of simply supported plates are presented, and the obtained results are compared with the existing solutions. The effects of small scale and shear deformation on the responses of the micro/nanoscale plates are investigated

Size-dependent behaviour of functionally graded sandwich microbeams based on the modified couple stress theory

Abstract Static bending, buckling and free vibration behaviours of size-dependent functionally graded (FG) sandwich microbeams are examined in this paper based on the modified couple stress theory and Timoshenko beam theory. To avoid the use of a shear correction factor, equilibrium equations were used to compute the transverse shear force and shear stress. Two types of sandwich beams were considered: (1) homogeneous core and FG skins and (2) FG core and homogeneous skins. Numerical results were presented to illustrate the small scale effects on the behaviours of FG sandwich beams. The results reveals that the inclusion of the size effects results in an increase in the beam stiffness, and consequently, leads to a reduction of deflections and stresses and an increase in natural frequencies and critical buckling loads. Such effects are more pronounced when the beam depth was small, but they become negligible with the increase of the beam depth

A quasi-3D hyperbolic shear deformation theory for functionally graded plates

A quasi-3D hyperbolic shear deformation theory for functionally graded plates is developed. The theory accounts for both shear deformation and thickness-stretching effects by a hyperbolic variation of all displacements across the thickness, and satisfies the stress-free boundary conditions on the top and bottom surfaces of the plate without requiring any shear correction factor. The benefit of the present theory is that it contains a smaller number of unknowns and governing equations than the existing quasi-3D theories, but its solutions compare well with 3D and quasi-3D solutions. Equations of motion are derived from the Hamilton principle. Analytical solutions for bending and free vibration problems are obtained for simply supported plates. Numerical examples are presented to verify the accuracy of the present theory

Nonlinear static and transient isogeometric analysis of functionally graded microplates based on the modified strain gradient theory

The objective of this study is to develop an effective numerical model within the framework of an isogeometric analysis (IGA) to investigate the geometrically nonlinear responses of functionally graded (FG) microplates subjected to static and dynamic loadings. The size effect is captured based on the modified strain gradient theory with three length scale parameters. The third-order shear deformation plate theory is adopted to represent the kinematics of plates, while the geometric nonlinearity is accounted based on the von Kármán assumption. Moreover, the variations of material phrases through the plate thickness follow the rule of mixture. By using Hamilton’s principle, the governing equation of motion is derived and then discretized based on the IGA technique, which tailors the non-uniform rational B-splines (NURBS) basis functions as interpolation functions to fulfil the C2-continuity requirement. The nonlinear equations are solved by the Newmark’s time integration scheme with Newton-Raphson iterative procedure. Various examples are also presented to study the influences of size effect, material variations, boundary conditions and shear deformation on the nonlinear behaviour of FG microplates