Search results for "difference [momentum]"
showing 10 items of 141 documents
European Option Pricing and Hedging with Both Fixed and Proportional Transaction Costs
2003
Abstract In this paper we provide a systematic treatment of the utility based option pricing and hedging approach in markets with both fixed and proportional transaction costs: we extend the framework developed by Davis et al. (SIAM J. Control Optim., 31 (1993) 470) and formulate the option pricing and hedging problem. We propose and implement a numerical procedure for computing option prices and corresponding optimal hedging strategies. We present a careful analysis of the optimal hedging strategy and elaborate on important differences between the exact hedging strategy and the asymptotic hedging strategy of Whalley and Wilmott (RISK 7 (1994) 82). We provide a simulation analysis in order …
American Option Pricing and Exercising with Transaction Costs
2005
In this paper we examine the problem of finding the reservation option prices and corresponding exercise policies of American options in a market with proportional transaction costs using the utility based approach proposed by Davis and Zariphopoulou (1995). We present a model where the option holder has a constant absolute risk aversion. We discuss the numerical algorithm and propose a new characterization of the option holder's value function. We suggest original discretization schemes for computing reservation prices and exercise policies of American options. The discretization schemes are implemented for the cases of American put and call options. We present the study of the optimal tra…
Annihilation Operators for Exponential Spaces in Subdivision
2022
We investigate properties of differential and difference operators annihilating certain finite-dimensional subspaces of exponential functions in two variables that are connected to the representation of real-valued trigonometric and hyperbolic functions. Although exponential functions appear in a variety of contexts, the motivation behind this work comes from considering subdivision schemes with the capability of preserving those exponential functions required for an exact description of surfaces parametrized in terms of trigonometric and hyperbolic functions.
Design & Optimization of Large Cylindrical Radomes with Subcell and Non-Orthogonal FDTD Meshes Combined with Genetic Algorithms
2021
The word radome is a contraction of radar and dome. The function of radomes is to protect antennas from atmospheric agents. Radomes are closed structures that protect the antennas from environmental factors such as wind, rain, ice, sand, and ultraviolet rays, among others. The radomes are passive structures that introduce return losses, and whose proper design would relax the requirement of complex front-end elements such as amplifiers. The radome consists mostly in a thin dielectric curved shape cover and sometimes needs to be tuned using metal inserts to cancel the capacitive performance of the dielectric. Radomes are in the near field region of the antennas and a full wave analysis of th…
Option Pricing and Hedging in the Presence of Transaction Costs and Nonlinear Partial Differential Equations
2008
In the presence of transaction costs the perfect option replication is impossible which invalidates the celebrated Black and Scholes (1973) model. In this chapter we consider some approaches to option pricing and hedging in the presence of transaction costs. The distinguishing feature of all these approaches is that the solution for the option price and hedging strategy is given by a nonlinear partial differential equation (PDE). We start with a review of the Leland (1985) approach which yields a nonlinear parabolic PDE for the option price, one of the first such in finance. Since the Leland's approach to option pricing has been criticized on different grounds, we present a justification of…
Las cuatro muertes de Cleonice: poder, sexo, violencia y fantasmas
2019
Greek tradition links the death of regent Pausanias of Sparta with ghosts. In this paper, we focus on the well-known episode that revolves around Pausanias himself and a Byzantine maiden and is transmitted by Aristodemus, Plutarch and Pausanias Periegetes. The multiplicity of versions demands a comparative analysis, which we carry out taking into account the three spaces where the narrative action takes place (civic, intimate and ritual spaces). Results indicate a concordance between Plutarch and Pausanias Periegetes, as well as a dissonance between them and Aristodemus. This difference especially affects the narrative treatment of the maiden, a ghost properly so-called in Plutarch and Paus…
Combination of finite impulse response neural network technique with FDTD method for simulation of electromagnetic problems
1996
The finite difference time domain (FDTD) method requires long computation times for simulating resonant or high-Q structures. The authors incorporate the finite impulse response neural network technique as a predictor in order to save time in FDTD simulations. The applicability of the technique is demonstrated by carrying out an analysis of a waveguide filter.
Difference testing: Methods and appropriate use
2010
National audience; Difference tests are some of the most common methods employed in sensory evaluation of food and beverages. The objective of difference tests is basically to determine whether a difference exists between two products. There are many different types of test, such as the duo-trio test, the triangle test, the same-different test and the A-not A test. These tests, with their strengths and weaknesses, will be presented briefly during the talk. Whatever the test employed, some basic principles must be respected, e.g. sample coding with three digit numbers, and sample presentation in a balanced order. In some instances the tests must be restricted to one sensory modality. In such…
Analyzing the metrics of the perceptual space in a new multistage physiological colour vision model
2009
In this work, the metric of a new multistage colour vision model, ATTD05, is assessed and a new colour difference formula is suggested. Firstly, the uniformity of the ATTD05 colour space was compared with that of CIECAM02 for some Munsell samples, because if the model yields a uniform perceptual space, we will be able to implement a colour difference formula as a Euclidian distance between two points. Secondly, we developed a new space based on the perceptual descriptors of the model: brightness, hue, colourfulness, and saturation. After that, we calculated the free parameters of the space that better fit the measured and experimental data of two datasets (small-magnitude and large-magnitud…
Sport and Quality of Life
2022
Negli ultimi trent’anni lo sport ha assunto un significato molto rilevante nella vita delle persone e, seppure con notevoli differenze, sia nei paesi a sviluppo economico avanzato, sia in quelli in via di sviluppo. A livello individuale, esso ha costituito un’area di investimento identitario quando ha assunto la forma di sport spettacolo del quale fruire, alimentando la pratica del tifo e il fandom o costituendo il modello di uno stile di vita vincente; ma anche quando ha assunto la forma di pratica del tempo libero attraverso la quale tenersi in forma, facendo crescere, in questo caso, la diffusione di una cultura della salute e del benessere. Si tratta di due modalità di approcciare al co…