PRICING ARITHMETIC ASIAN OPTIONS UNDER THE CEV PROCESS

This paper discusses the pricing of arithmetic Asian options when the underlying stock follows the constant elasticity of variance (CEV) process. We build a binomial tree method to estimate the CEV process and use it to price arithmetic Asian options. We find that the binomial tree method for the lognormal case can effectively solve the computational problems arising from the inherent complexities of arithmetic Asian options when the stock price follows CEV process. We present numerical results to demonstrate the validity and the convergence of the approach for the different parameter values set in CEV process.Exotic options; arithmetic Asian options; binomial tree method; CEV proces

Impact of Trade Facilitation on Export Competitiveness: a Regional Perspective

The factors that affect export competitiveness are complex. From a firm's perspective, an appropriate trading environment in which the firm can conduct its business plays an important role in the creation of competitiveness. Thus, a trade-enabling environment, based on (a) adequate trade policies; (b) an efficient trade and customs administration system; and (c) good infrastructure, is critical for enterprises to compete effectively in the global economy.Export, Competitiveness, Trade, Facilitation, Asia, custom, regional

Trade Facilitation Provision in Regional Trade Agreements in Asia and the Pacific

This paper provides a short overview on the trade facilitation provisions in the RTAs in the Asia-Pacific region with a view to identifying the characteristics of trade facilitation provisions in existing RTAs and finding out good practices in this area. With the evolution of the definition of trade facilitation, a broader range of trade facilitation provisions are integrated into RTAs, which cover nine major areas. 1. Customs procedures and cooperation; 2. technical regulations, standards and SPS measures; 3. NTB especially administrative fees and charges; 4. transparency of laws, regulations and administrative rulings; 5. use of information and communication technology and E-Commerce; 6. mobility of business people; 7. freedom of transit; 8. facilitation in transport and logistics; 9. facilitation in payment and trade finance. The data about RTAs mainly come from the Asia-Pacific Trade and Investment Agreements Database (APTIAD).trade facilitation, RTAs, NTB, SPS measures, customs procedures and cooperation, technical regulations, standards, transport and logistics, trade finance, e-commerce, transparency.

Static Gauss-Bonnet Black Holes at Large DD

We study the static black holes in the large $D$ dimensions in the Gauss-Bonnet gravity with a cosmological constant, coupled to the Maxewell theory. After integrating the equation of motion with respect to the radial direction, we obtain the effective equations at large $D$ to describe the nonlinear dynamical deformations of the black holes. From the perturbation analysis on the effective equations, we get the analytic expressions of the frequencies for the quasinormal modes of charge and scalar-type perturbations. We show that for a positive Gauss-Bonnet term, the black hole could become unstable only if the cosmological constant is positive, otherwise the black hole is always stable. However, for a negative Gauss-Bonnet term, we find that the black hole could always be unstable. The instability of the black hole depends not only on the cosmological constant and the charge, but also significantly on the Gauss-Bonnet term. Moreover, at the onset of instability there is a non-trivial static zero-mode perturbation, which suggests the existence of a new non-spherically symmetric solution branch. We construct the non-spherical symmetric static solutions of the large $D$ effective equations explicitly.Comment: 27 pages, 34 figures. arXiv admin note: text overlap with arXiv:1607.0471

Almost periodic solutions for an asymmetric oscillation

In this paper we study the dynamical behaviour of the differential equation \begin{equation*} x''+ax^+ -bx^-=f(t), \end{equation*} where $x^+=\max\{x,0\}$,\ $x^-=\max\{-x,0\}$, $a$ and $b$ are two different positive constants, $f(t)$ is a real analytic almost periodic function. For this purpose, firstly, we have to establish some variants of the invariant curve theorem of planar almost periodic mappings, which was proved recently by the authors (see \cite{Huang}).\ Then we will discuss the existence of almost periodic solutions and the boundedness of all solutions for the above asymmetric oscillation.Comment: arXiv admin note: substantial text overlap with arXiv:1606.0893

On the thermodynamics of the black hole and hairy black hole transitions in the asymptotically flat spacetime with a box

We study the asymptotically flat quasi-local black hole/hairy black hole model with nonzero mass of the scalar filed. We disclose effects of the scalar mass on transitions in a grand canonical ensemble with condensation behaviors of a parameter $\psi_{2}$, which is similar to approaches in holographic theories. We find that more negative scalar mass makes the phase transition easier to happen. We also obtain an analytical relation $\psi_{2}\varpropto(T_{c}-T)^{1/2}$ around the critical phase transition points implying a second order phase transition. Besides the parameter $\psi_{2}$, we show that metric solutions can be used to disclose properties of transitions. In this work, we observe that phase transitions in a box are strikingly similar to holographic transitions in the AdS gravity and the similarity provides insights into holographic theories.Comment: 12 pages, 6 figures. Accepted for publication in EPJC. arXiv admin note: text overlap with arXiv:1705.0869

The composite absolute penalties family for grouped and hierarchical variable selection

Extracting useful information from high-dimensional data is an important focus of today's statistical research and practice. Penalized loss function minimization has been shown to be effective for this task both theoretically and empirically. With the virtues of both regularization and sparsity, the $L_1$-penalized squared error minimization method Lasso has been popular in regression models and beyond. In this paper, we combine different norms including $L_1$ to form an intelligent penalty in order to add side information to the fitting of a regression or classification model to obtain reasonable estimates. Specifically, we introduce the Composite Absolute Penalties (CAP) family, which allows given grouping and hierarchical relationships between the predictors to be expressed. CAP penalties are built by defining groups and combining the properties of norm penalties at the across-group and within-group levels. Grouped selection occurs for nonoverlapping groups. Hierarchical variable selection is reached by defining groups with particular overlapping patterns. We propose using the BLASSO and cross-validation to compute CAP estimates in general. For a subfamily of CAP estimates involving only the $L_1$ and $L_{\infty}$ norms, we introduce the iCAP algorithm to trace the entire regularization path for the grouped selection problem. Within this subfamily, unbiased estimates of the degrees of freedom (df) are derived so that the regularization parameter is selected without cross-validation. CAP is shown to improve on the predictive performance of the LASSO in a series of simulated experiments, including cases with $p\gg n$ and possibly mis-specified groupings. When the complexity of a model is properly calculated, iCAP is seen to be parsimonious in the experiments.Comment: Published in at http://dx.doi.org/10.1214/07-AOS584 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org