Showing 1 - 10 of 21
In this paper, we investigate static super-replicating strategies for European-type call options written on a weighted sum of asset prices. This class of exotic options includes Asian options and basket options among others. We assume that there exists a market where the plain vanilla options on...
Persistent link: https://www.econbiz.de/10005380679
This paper first provides some useful results on a generalized random coefficient autoregressive model and a Markov plus i.i.d. noise model. These results simultaneously imply strict staionarity, existence of higher-order moments, goemetric ergodicity and b-mixing with exponential decay rates,...
Persistent link: https://www.econbiz.de/10005780761
Let X(N,d) be a N-parameter Omstein-Uhlenbeck process taking values in ##R##d. In this paper, we prove that, for an arbitrary pair of positive integers (N, d) and any open set S in ##R##d, X(N,d) is recurrent to S. This is surprisingly different from the recurrence properties of the N-parameter...
Persistent link: https://www.econbiz.de/10005074627
Persistent link: https://www.econbiz.de/10009325125
Persistent link: https://www.econbiz.de/10009325167
An integrated optimization method is developed for supporting agriculture water management and planning in Tarim River Basin, Northwest China. The developed method couples two-stage stochastic programming (TSP) with inexact quadratic program (IQP). The hydrological model is provided for...
Persistent link: https://www.econbiz.de/10010572987
The paper clarified the effect of humidity adjustment of Trombe wall on indoor environment by the experimental comparison between a passive solar cell and a reference cell. Theoretical analysis on indoor humidity adjustment of Trombe wall in the passive solar cell is also performed based on...
Persistent link: https://www.econbiz.de/10010806395
Greenhouse gas (GHG) concentrations are expected to continue to rise due to the ever-increasing use of fossil fuels and ever-boosting demand for energy. This leads to inevitable conflict between satisfying increasing energy demand and reducing GHG emissions. In this study, an integrated...
Persistent link: https://www.econbiz.de/10008916440
In this study, a two-stage inexact-stochastic programming (TISP) method is developed for planning carbon dioxide (CO2) emission trading under uncertainty. The developed TISP incorporates techniques of interval-parameter programming (IPP) and two-stage stochastic programming (TSP) within a...
Persistent link: https://www.econbiz.de/10008916514
In this study, an inexact fuzzy-stochastic energy model (IFS-EM) is developed for planning energy and environmental systems (EES) management under multiple uncertainties. In the IFS-EM, methods of interval parameter fuzzy linear programming (IFLP) and multistage stochastic programming with...
Persistent link: https://www.econbiz.de/10008917097