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     

Looking for contagion in currency futures markets

This article tests whether there are pure contagion effects in both conditional means and volatilities among British pound, Canadian dollar, Deutsche mark, and Swiss franc futures markets during the 1992 ERM crisis. A conditional version of international capital asset pricing model (ICAPM) in the absence of purchasing power parity (PPP) is used to control for economic fundamentals. The empirical results indicate that overall there are no mean spillovers among those futures markets, but they are detected during the crisis period. That is, past return shocks originating in any one of the four markets have no impact on the other three markets during the entire sample period, suggesting that these markets are weak‐form efficient. However, this weak‐form market efficiency fails to hold during the market turmoil, especially for British pound and Swiss franc, and the sources of contagion‐in‐mean effects are mainly due to the return shocks originating in three European currency futures markets. As for the contagion‐in‐volatility, it is detected for British pound only because its conditional volatility is influenced by the negative volatility shocks from Canadian dollar, Deutsche mark, and Swiss franc, with Deutsche mark playing the dominant role in generating these shocks. JEL Classifications: C32; F31; G12. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:957–988, 2003     

穆尔谈2002年世界贸易组织的新动向

<正> 本文是 WTO 总干事麦克·穆尔对成员方的非正式的新年献词,并对2002年 WTO 所要采取的行动提出了建议:过去的一年对于 WTO 来说是成绩辉煌的一年,或许是 WTO 短暂历程中最重要的一年,但是我们没有时间去回顾去年的成就,因为在卡塔尔多哈成功举行的部长会议上,部长们部署了很多我们应在很短时间内就必须完成的事情。正如美国贸易代表 Bob Zoellick 所评价的“多哈是一个使我们的贸易组织抹去西雅图会议的阴影的地方”。但是,现在我们必须保持源于这次     

中国投资体制改革的二元性特征及其趋势研究——兼论投资体制市场化改革的重要性

一、中国投资体制改革的特征及二元投资体制的转化1.改革成为经济增长的基础因素。投资体制改革就是解决投资制度与社会资本的配置问题,其实质就是从国民计划投资体制的一元性投资机制引入市场机制,建立计划投资体制与市场投资体制并存的二元投资体制,其改革的最终目标是建设社     

团队软件过程的研究与实践

迄今为止 ,学术界和产业界公认CMM是进行软件过程改进和软件过程评估的一个有效的指导框架 ,但是CMM中未提供有关实现子过程域所需要的软件过程持续改进的知识和技能 ,另外 ,软件产业的成功与发展 ,与软件开发单位的过程管理和过程规范密不可分。只有熟悉PSP(个人软件过程 )和TSP(团队软件过程 ) ,才能提供实施CMM所需要的过程管理改善的效果和技能 ,因此 ,进行PSP(个人软件过程 )和TSP(团队软件过程 )的研究与实践便显得十分必要。本文着重对TSP过程进行了具体的描述。     

冀北地区幔源成矿作用研究

河淮地幔亚热柱的隆升，使岩石图发生强烈减薄的同时，地幔物质呈蘑菇状向外围造山带之下拆离。当幔源拆离薄层被造山带陡倾韧性剪切带切割造成减压释荷，使韧性软化岩石转变为深熔岩浆上侵，形成沿造山带轴部展布的点状或线状构造岩浆带，表现为以构造岩浆带为核部的隆升构造一幔枝构造。隆升较快的构造区段上覆盖层里揭顶式大幅度拆离，形成典型的变质核杂岩构造。地幔亚热柱→幔枝构造→变质核杂岩演化过程控制着成矿物质的运移、聚集、成矿作用，并在幔枝（变质核杂岩）构造的不同部位形成不同的矿床类型。     

板峪口—上寨地区韧性剪切带的发现及其地质意义

板峪口—上寨地区位于太行山中段阜平穹褶束与五台山—恒山花岗绿岩带汇合部位。该区发育两期韧性剪切带,第一期为拆离—滑脱型韧性剪切带;第二期为逆冲推覆型韧性剪切带。本文重点总结了韧性剪切带地质特征,并对其地质意义进行了讨论。认为原五台群为由一系列韧性剪切带分割的构造岩片叠置体。板峪口组和五台群金刚库组中的部分中深变质片麻岩为“外来岩片。”原五台山群与阜平群为由韧性剪切带接触。并总结了韧性剪切带对金矿的成矿、控矿规律。     

盘山花岗岩裂隙水元素成因

作者通过对比各种成因裂隙水性质，判断表生条件下水岩地球化学作用方向，分析影响裂隙水中可溶组份含量变化的各种因素，分析裂隙水中可溶组份之间相关关系，旨在探讨盘山花岗岩裂隙水中主要元素的成因问题。     

对抓先进典型推动大学生教育管理工作的若干思考

善于抓先进典型,运用典型推动工作,是高校学生教育管理中重要的工作方法之一,高校学生教育管理者要掌握并运用好发现典型,总结典型,推广典型的工作技巧.     

工作流管理系统的结构与应用

本文介绍了用于企业业务流程管理的工作流的结构和应用 ,详细地说明了各个阶段的功能实现以及工作流引擎等 ,最后讨论了工作流在实际实现中的各种应用。