866 research outputs found
Fake Geometric Brownian Motion And Its Option Pricing
In this thesis, we begin with introducing the notion of a fake geometric Brownian motion in analogy to the fake Brownian motion. Secondly we construct two discontinuous fake geometric Brownian motion processes via the solutions to the Skorokhod embedding problem. Finally we simulate European and path-dependent option pricings for stock prices following these processes, to see how different the results can be compared with the traditional Black & Scholes setting.\ud
\ud
Key words: fake Brownian motion, fake geometric Brownian motion, Skorokhod embedding problem, Azema-Yor solution, reversed Azema-Yor solution
An Architecture for Distributed Energies Trading in Byzantine-Based Blockchain
With the development of smart cities, not only are all corners of the city
connected to each other, but also connected from city to city. They form a
large distributed network together, which can facilitate the integration of
distributed energy station (DES) and corresponding smart aggregators.
Nevertheless, because of potential security and privacy protection arisen from
trustless energies trading, how to make such energies trading goes smoothly is
a tricky challenge. In this paper, we propose a blockchain-based multiple
energies trading (B-MET) system for secure and efficient energies trading by
executing a smart contract we design. Because energies trading requires the
blockchain in B-MET system to have high throughput and low latency, we design a
new byzantine-based consensus mechanism (BCM) based on node's credit to improve
efficiency for the consortium blockchain under the B-MET system. Then, we take
combined heat and power (CHP) system as a typical example that provides
distributed energies. We quantify their utilities, and model the interactions
between aggregators and DESs in a smart city by a novel multi-leader
multi-follower Stackelberg game. It is analyzed and solved by reaching Nash
equilibrium between aggregators, which reflects the competition between
aggregators to purchase energies from DESs. In the end, we conduct plenty of
numerical simulations to evaluate and verify our proposed model and algorithms,
which demonstrate their correctness and efficiency completely
Decentralized Narrowband and Wideband Spectrum Sensing with Correlated Observations
This dissertation evaluates the utility of several approaches to the design of good distributed sensing systems for both narrowband and wideband spectrum sensing problems with correlated sensor observations
- …