Pricing continuously sampled Asian options with perturbation method

This article explores the price of continuously sampled Asian options. For geometric Asian options, we present pricing formulas for both backward‐starting and forward‐starting cases. For arithmetic Asian options, we demonstrate that the governing partial differential equation (PDE) cannot be transformed into a heat equation with constant coefficients; therefore, these options do not have a closed‐form solution of the Black–Scholes type, that is, the solution is not given in terms of the cumulative normal distribution function. We then solve the PDE with a perturbation method and obtain an analytical solution in a series form. Numerical results show that as compared with Zhang's ( 2001 ) highly accurate numerical results, the series converges very quickly and gives a good approximate value that is more accurate than any other approximate method in the literature, at least for the options tested in this article. Graphical results determine that the solution converges globally very quickly especially near the origin, which is the area in which most of the traded Asian options fall. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:535–560, 2003     

现代信用风险度量模型与我国商业银行信用风险管理

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关于中国服装教育若干问题的思考

古老而先进的服装文明建设遭遇了浮躁而滞后的服装教育 ;博大精深的服装文化被简单而肤浅地诠释了。功利主义将服装教育引入了重重误区 ,服装教育的管理体制、院校布局、教育理念、层次划分、专业设置等 ,亟待规范。为此 ,本文提出了中国服装教育标本兼治的思路和一些对策。     

从管理学角度谈网络教育系统的规划

目前网络教育的建设中普遍存在着缺乏整体规划、未能形成完整多功能的系统的现状，本人从管理学的角度出发．结合网络方面的技术知识，给高校网络教育建设提出了一套系统规划与建设的方案。     

中国制造业上市公司多元化经营与企业价值研究

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知识管理在供应链中的应用研究

随着知识经济时代的到来,知识管理的重要性日益突出.本文结合案例,试图将知识管理的基本理念和方法从单个企业拓展到整条供应链中,并提出了其中的一些问题和挑战.     

论转轨时期我国商贸产业规模结构优化

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本文提出了加盟盟主对盟员选择的指标体系,并在此基础上应用基于AHP的模糊综合评价法对盟员进行评价。该方法不仅可以确定“准加盟者”的排序,而且可以确定各自的等级。     

增值销售——企业发展的新起点

本文通过对技术、管理方面日新月异发展现状的分析,指出目前企业正面临着销售困难这一实际问题,并提出了相应的解决方案,即将企业内外部业务合理化改造与实现客户满意有机地结合,才能实现企业增值销售。     

Director expertise and co-option in industry superannuation funds?

This study examines whether independent directors who possess financial expertise and are independent from the CEO (i.e., non-co-opted) are associated with improved outcomes for industry superannuation funds. Our results highlight that independence alone is insufficient to improve fund outcomes. Instead, we find that only non-co-opted independent directors benefit fund members in terms of higher performance and lower fees. Moreover, we find that independent directors' financial expertise is not associated with fund performance and fees. Our study has implications for regulators and superannuation funds who are currently debating the need for one-third independent directors on the board of Australian superannuation funds.