In this paper, we introduce the concept of multi-stage compound options to the valuation of convertible bonds (CBs). Rather than evaluating a nested high-dimensional integral that has arisen from the valuation of multi-stage compound options, we found that adopting the finite difference method...

Under the assumption of the movement of rigid, a nonparallel-shift model in the term structure of interest rates is developed by introducing Fisher & Weil duration which is a well-known concept in the area of interest risk management. This paper has studied the hedge and replication for...

Stochastic resonance (SR) induced by the signal modulation is investigated, by introducing the signal-modulated gain into a single-mode laser system. Using the linear approximation method, we detailedly calculate the signal-to-noise ratio (SNR) of a gain-noise model of the single-mode laser,...

Owing to the considerable virtues of semiconductor lasers for applications, they have become the main optical source for fiber communication systems recently. The behavior of stochastic resonance (SR) in direct-modulated semiconductor laser systems is investigated in this article. Considering...

The stochastic resonance phenomenon is studied in a single-mode laser system driven by correlated multiplicative and additive colored noises without modulation by external periodic force. We detect that there are multiple extrema (maximum) in the curve of the mean output laser intensity versus...