简介：Thecross-fertilizationbetweenartificialintelligenceandcomputationalfinancehasresultedinsomeofthemostactiveresearchareasinfinancialengineering.Onedirectionistheapplicationofmachinelearningtechniquestopricingfinancialproducts,whichiscertainlyoneofthemostcomplexissuesinfinance.Intheliterature,whentheinterestrate,themeanrateofreturnandthevolatilityoftheunderlyingassetfollowgeneralstochasticprocesses,theexactsolutionisusuallynotavailable.Inthispaper,weshallillustratehowgeneticalgorithms(GAs),asanumericalapproach,canbepotentiallyhelpfulindealingwithpricing.Inparticular,wetesttheperformanceofbasicgeneticalgorithmsbyusingittothedeterminationofpricesofAsianoptions,whoseexactsolutionsisknownfromBlack-Scholesoptionpricingtheory.Thesolutionsfoundbybasicgeneticalgorithmsarecomparedwiththeexactsolution,andtheperformanceofGAsisewluatedaccordingly.Basedontheseewluations,somelimitationsofGAsinoptionpricingareexaminedandpossibleextensionstofutureworksarealsoproposed.

简介：这篇论文在波动的环境下面探讨定价和库存补充策略的同时的决心。明确地，我们分析单个条款，周期的评论模型。需求由二部分组成：确定的部件，被价格影响，和随机的部件(不安)。随机的部件的分发由外长的Markov链的当前的国家被决定。在任何给定的时期被控告的价格能动态地被指定。一份补充订单可以被放在一些时期或所有的开始，并且无存货是充分backlogged。订是更低的semicontinuous，并且库存/积压事物的费用或剩余)与多项式生长是连续的费用。有限地平线、无限地平线的问题被处理。最佳的政策的存在被建立。而且，optimality(s，S，p)当订的费用由组成时，类型政策被证明修理，比例的费用部件和剩余花费了(这些费用都是州依赖者的)是凸的。关键词随机的库存管理-Markov链-定价-有限地平线-无限的地平线2000苏布杰克特先生分类90B05-90B06由国家天赋支持了中国的科学基础(号码70621061，号码70890082，号码70671100)并且北京交通的科学基础大学(2007RC014)。

简介：在这份报纸，我们分析定价决定和依靠异构的出售力量在二个时期卖它的产品的一个公司的赔偿策略。卖能力的出售代理人是他们的私人信息并且将决定卖努力的代理人的有效性。我们介绍三赔偿合同策略，即分享，分开半、分开公司能在时期一并且由使用原则代理人理论采用，在每策略在二个时期为公司导出最佳的赔偿合同和最佳的价格。比较这三合同策略，我们发现为公司的最佳的策略取决于折扣因素。我们证明公司将肯定出现在为某小折扣因素，并且为分享合同的某大折扣因素的时期一分开合同肯定在时期一被规定。然而，分开半的合同可以被考虑因为一些调停打折因素，并且不能也在时期一为所有折扣因素出现。当分享合同在时期一被提供并且当分开合同在时期一被提供时，与折扣因素增加时，我们的分析也表明最佳的价格与折扣因素减少。

简介：消费者们对容易腐烂的食物的质量给予越来越多的注意，它被存储温度主要影响。这份报纸在温度控制下面为容易腐烂的食物论述一个动态定价模型。为了最大化全部的利润，最佳的价格和存储，温度用Pontryagins最大的原则被获得。一个静态的定价模型被提供与动态的作比较。它被动态政策能比静态的使更多的收入成为的一个数字例子显示出。而且，经理的含意被分析，建议方法的有效性被表明。

简介：Anewpartialpricingcolumnruleisproposedtothebasis-deficiency-allowingsimplexmethoddevelopedbyPan.ComputationalresultsobtainedwithasetofsmallproblemsandasetofstandardNETLIBproblemsshowitspromiseofsuccess.

简介：这份报纸的主要目标是与用模糊集合理论跟随跳散开的内在的财产在Mertons框架定价欧洲选择。由于真实金融市场的含糊的变化，一般水准跳评价并且跳尺寸不能精确地被记录或收集。这份报纸的主要想法因此是作为一个三角形的模糊数字为率建模并且跳作为模糊随机的变量和使用缩放模糊集合的性质推出位于合理期望平衡价格的原则下面的二个不同跳散开模型。不同于许多传统的模型，欧洲选择价格现在将变成一个模糊数字。这个模型的主要优点之一是它允许投资者在可接受的信仰度下面选择合理欧洲选择价格。实验结果将在建议模型上为改进提供同样有用的反馈信息。

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简介：Thepurposeofthispaperistodiscusshowthevalueofhigh-techfirmcanberationallyvaluedbytakingintoaccountmanagerialflexibilitywhenitsfuturerevenueisuncertain,therebythefirm'smanagercanmakerationalinvestmentdecisionS.Usingstochasticcontroltheory,thepaperwillpresentthatthefirm'svaluesatisfiesapartiallydifferentiateequation,andanalyzethemanagerialflexibilityvaluewithinaframeworkofreal-optionanalytictheorey.Finally,thecomparativestaticanalysisandthemodel'ssimpleapplicationaregiven.

简介：MotivatedbytheresetoptionwithnpredetermineddatesanalyzedbyW.Cheng,weconsiderakindofresetoptionwithuncertaindatesbyintroducingNpre-specifiedbarrierlevels.Weclaimthisresetoptionconsistsofsomestandardknock-inandknock-outbarrieroptions.Theclosed-formpricingformulaisderivedbymeansofaPDE'sapproach.

简介：Thispaperstudiesdynamicpricingandcooperativeadvertisingstrategiesinatwo-memberchannelofdistribution.Weproposedifferentialgamemodelsthatincorporatethecarryovereffectsofadvertisingovertimeforbothmanufacturerandretailer.Twodifferentmodelsarestudied.Firstly,wediscussedanon-cooperativedifferentialgamewhichthemanufacturersupportspartiallythecostofthepromotionactivities.Secondly,bothchannelmemberscooperativelydeterminetheirrespectivestrategies.Inthesetwocases,dynamiccooperativeadvertisingandpricingstrategiesarecharacterized.Thennumericalsimulationmethodisappliedtoanalyzethesensitivityofmainmodelparametersandcomparethemainresultsofthetwomodels.Thesimulationresultsshowthatthecooperativemodelachievesbettercoordinationthanthenon-cooperativemodelwiththefollowingfeatures:allchannelmembersachievehigheradvertisingeffortsandprofitlevelinthecooperativecaseratherthanindienon-cooperativecase.

简介：Acompoundoptionissimplyanoptiononanoption.Inthisshortpaper,byusingamartingaletechnique,weobtainananalyticalformulaforpricingcompoundEuropeancalloptions.Numericalresultsaregiventoexplainsomeeconomicphenomenon.

简介：能力获得和定价决定是一公司长期的战略决定。然而，多重产品的需求无常和substitutability引起困难解决能力和定价决定问题。在这份报纸，我们与需求无常和比赛探讨一个多重产品定价和多重资源能力获得问题。在要求前为每个资源和产品价格决定能力承诺的公司需要被认识到以便全部的利润被最大化。如果需求超过承诺的能力，额外的数量能从点市场被购买。费用被考虑的可变单位生产费用，能力获得和维护。我们首先分析一个单个公司基本问题并且在价格和能力上发现最佳的答案。基于单个公司模型，我们探讨越过产品并且越过公司价格比赛因素考虑的二产品的、二公司的能力承诺和定价问题。价格和能力承诺上的平衡的存在和唯一被证明，然后我们延长了结果到多重产品，多重公司大小写。

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简介：Theauthorsanalyzeafinitehorizon,singleproduct,periodreviewmodelinwhichpricingandinventorydecisionsaremadesimultaneously.Demandsindifferentperiodsarerandomvariablesthatareindependentofeachotherandtheirdistributionsdependontheproductprice.Pricingandorderingdecisionsaremadeatthebeginningofeachperiodandallshortagearebacklogged.Orderingcostisaconvexfunctionoftheamountordered.Theobjectiveistofindaninventoryandpricingpolicymaximizingexpecteddiscountedprofitoverthefinitehorizon.Theauthorscharacterizethestructureoftheoptimalcombinedpricingandinventorystrategyforthismodel.Moreover,theauthorsdemonstratehowtheprofit-to-gofunction,orderuptolevel,reorderpointandoptimalpricechangewithrespecttostateandtime.

简介：0.IntroductionandSummaryThecelebratedpapersof[2]and[3],pavedthewayforpricingoptionsonstocks,onthebasisofthefollowingprinciple:inacompletemarket(suchastheoneinSection1.5),everycontingentclaimcanbeattainedexactlybyinvestinginthemarketandstartingwithala...

简介：Abstract.WeobtainaBlack-Scholesformulaforthearbitrage-freepricingofEu-ropeanCalloptionswithconstantcoefficientswhentheunderlylngstockgeneratesdividends.TohedgetheCalloption,wewillalwaysborrowmoneyfrombank.WeseetheinfluenceofthedividendtermontheoptionpricingviathecomparisontheoremofBSDE(backwardstochasticdi~erentialequation[5],[7]).WealsoconsidertheoptionpricingproblemintermsoftheborrowingrateRwhichisnotequaltotheinterestrater.ThecorrespondingBlack-Sdxolesformulaisgiven.Wenoticethatitisinfacttheborrowingratethatplaystheroleinthepricingformula.

简介：Thispaperemploystherealoptiontheorytodevelopapricingmodelforthetransferofpropertyrights.Welisttheconditionsforthegood,intermediateandbadfirmsrespectively,andworkouttheclosed-formsolutiontotheequilibriumtransferprice,theoptimaltransfertiming.Usingthecomparativestaticanalysis,wefindthatforgoodfirmsthetransferpriceofthetargetisincreasinginitscapital.Thehigherthecapitalofthetargetowns,thefasteritwillbetransferred.Forintermediateandbadfirms,similarconclusionscanbederived.Thelargergapbetweentheacquirer'ssizeandmarketpowerandthoseofthetarget,thelowerthetransfertriggeredprice.Thetransferpricegoesupasthecapitalratiooftheacquireroverthetargetdiminishes,whileitisdecreasingintheamountofthecapitalthetargetowns.

简介：Withthedeepenofmarketcompetition,productpricingandproductiondecisionprobleminmanyfirmshavebecomemoreandmoreimportant.Abilevelmodelisproposedtodescribethepricingandproductiondecisionswithfuzzydemandandfuzzycostparameters.Theupperlevelistodeterminetheoptimalpriceandproductionquantitywithcapacityconstraints.Usingthisinformation,thelowerlevelproblemtriestostructurearesponse(thedistributionpatternofcustomers(ormarkets))thatwillsatisfyhisdemandatminimumcost.AndaftertransformingthefuzzynumbersintothecrispvaluebyGradedMeanIntegrationRepresentationmethod,thesolutionalgorithmbasedondifferencemethodisgiven.Finally,theapplicationofthemodelanditsalgorithmareillustratedwithasimpleexample.

简介：Mileage-basedpricinginsurance,suchasPAYD,isknownasthe'greeninsurance'becauseitislow-carbonandenvironmentallyeffective,whichisthebiggestinnovationintheglobalautoinsuranceindustryseeninthepastdecade.Startingfromtheperspectiveofeconomicexternalities,vehiclenegativeexternalitiesinChinaaredescribed.Inordertointroducemileage-basedpricinginsurancetotheChineseinsuranceindustry,thispaperreviewsthecurrentpracticeofPAYDinsuranceanditsimpactsontransportexternalities,includingairpollution,climatechange,energydependency,congestion,accidents,andothers.Finally,enlightenmentandpolicysuggestionsareproposed,inthehopeofbetterpromotingthelow-carboneconomydevelopmentoverthewholeofChina.