The Binomial Black–Scholes model and the Greeks

This article returns to the choice of method for calculating option hedge ratios discussed by Pelsser and Vorst (1994). Where they demonstrated that numerical differentiation of a binomial model compared poorly to their design of an extended tree, this study shows that the Binomial Black–Scholes method advocated by Broadie and Detemple (1996) does not suffer from the same problem; therefore, it is very effective in the calculation of the Greeks. © 2002 John Wiley & Sons, Inc. Jrl Fut Mark 22:143–153, 2002     

Two‐State Option Pricing: Binomial Models Revisited

This article revisits the topic of two‐state option pricing. It examines the models developed by Cox, Ross, and Rubinstein (1979), Rendleman and Bartter (1979), and Trigeorgis (1991) and presents two alternative binomial models based on the continuous‐time and discrete‐time geometric Brownian motion processes, respectively. This work generalizes the standard binomial approach, incorporating the main existing models as particular cases. The proposed models are straightforward and flexible, accommodate any drift condition, and afford additional insights into binomial trees and lattice models in general. Furthermore, the alternative parameterizations are free of the negative aspects associated with the Cox, Ross, and Rubinstein model. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:987–1001, 2001     

Shapley Value of Uncertain Coalitional Game based on Hurwicz Criterion with Application to Water Resource Allocation

Group Decision and Negotiation - Coalitional game studies the situation where the players cooperate. In an actual game, due to a lack of information, the payoffs are generally hard to be precisely...     

Canonical Distribution,Implied Binomial Tree,and the Pricing of American Options

In this study, a new approach to pricing American options is proposed and termed the canonical implied binomial (CIB) tree method. CIB takes advantage of both canonical valuation (Stutzer, 1996) and the implied binomial tree method (Rubinstein, 1994). Using simulated returns from geometric Brownian motions (GBM), CIB produced very similar prices for calls and European puts as those of Black–Scholes (BS). Applied to a set of over 15,000 American‐style S&P 100 Index puts, CIB outperformed BS with historic volatility in pricing out‐of‐the‐money options; in addition, it outperformed the canonical least‐squares Monte Carlo (Liu, 2010) in the dynamic hedging of in‐the‐money options. Furthermore, CIB suggests that regular GBM‐based Monte Carlo can be extended to American options pricing by also utilizing the implied binomial tree. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark     

基于BWT和对称密钥的加密算法

用Burrows-Wheeler变换(Burrows-Wheeler Transformation,BWT)打乱明文次序,用行程长度编码(Run Length Encoding,RLE)缩小密文体积,然后使用密钥进行XOR运算.这是一种采用对称密钥方案的数据加密算法,具有较强的抗攻击能力.     

基于最大缩短信噪比算法的对称时域均衡器的设计

本文首先分析最大缩短信噪比(MSSNR)算法的原理,然后证实基于该算法的时域均衡器有对称性的特性,并通过仿真验证。最后提出改进算法,即对称的最大缩短信噪比算法,该算法能有效强化均衡器的对称性,使运算量大大减少,复杂度降低。     

我国蜂蜜出口美国的区域显示性对称比较优势分析

本文分析了我国蜂蜜出口美国的状况,比较了“显示性比较优势指数”、“显示性对称比较优势指数”和“区域显示性对称比较优势指数”在针对单一出口市场时的准确性,并测算了我国蜂蜜出口美国的“区域显示性对称比较优势指数”,对比分析了主要对手的竞争力和我国蜂蜜出口美国的比较优势。根据分析的优势状况,提出了相应的建议。     

Symmetric and asymmetric leadership cultures: A comparative study of leadership and organizational culture at Hyundai and Toyota

This study compares national cultures, leadership strategies, and work environments in two successful global automobile companies, Hyundai Motor Group and Toyota Motor Corporation. Despite competing head-on in the same market, it was found that these companies use very different leadership strategies as a basis for both global competition and local operations. Based on the results of a comparative case study, structured interviews, and related media and empirical data, it was found that Toyota competes both strategically and managerially by emphasizing planning and work systems to mitigate the impact of any turbulence in the external environment (stability is key), while Hyundai competes by accepting environmental uncertainty and risk as a part of normal daily operations (flexibility is key). We refer to these approaches as symmetric and asymmetric leadership and organizational cultures. As a result of these differences, Hyundai is able to change course more quickly than its larger competitor as new opportunities and technologies emerge. While national cultures played a role in differentiating between the two firms, leadership differences had a more pronounced effect on organizational behaviors and subsequent performance. Results are consistent with previous research and reinforce the conclusion that top management leaders’ behavior can have a significant influence on emergent organizational cultures and performance.