9,560 research outputs found
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
We study the static black holes in the large 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 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 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
,\ , and are two different positive
constants, 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 , 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
around the critical phase transition points
implying a second order phase transition. Besides the parameter , 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
-penalized squared error minimization method Lasso has been popular in
regression models and beyond. In this paper, we combine different norms
including 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
and 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 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
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