Sufficient Conditions for Non-Bazilevič Functions

Qun-fa, Cui; Wang, Zhigang; Chen, Xiaohong; Wen, Fenghua

doi:10.1155/2013/154912

Cited by 3 publications

(2 citation statements)

References 7 publications

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“…When negotiating rounds tend to be infinite, Shaked and Sutton's [31] and Cui et al 's [32] research results show that the subgame refining Nash equilibrium of the game equals the investors' balance payment in the first round:…”

Section: Model Hypothesesmentioning

confidence: 99%

Concession Period Decision Models for Public Infrastructure Projects Based on Option Games

Zhi

Tan

Wang

et al. 2015

Mathematical Problems in Engineering

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Concession period is an important decision-making variable for the investment and construction of public infrastructure projects. However, we currently have few scientific methods to exactly determine the concession period. This paper managed to seek out concession period decision models for public infrastructure with option game theory, studied the influence of minimum government income guarantee and government investment on concession period, and demonstrated those models in the formulas mentioned in the paper. The research results showed that the increase of minimum government income guarantee value would shorten the concession period, while the increase of income volatility, that is, the uncertainty, would lengthen the concession period. In terms of government investment, optimal concession period would lengthen to some extent with the increase of government investment ratio and the income and the decrease of its guarantee value. Yet, optimal concession period would shorten in case of extreme highness of the government investment ratio due to its high guarantee value. And the government would accordingly shorten the concession period in case of the unchanged government investment ratio with the increased income volatility and risks. Still, the paper put forward the argument that the government would apply various guarantee methods and implement flexible concession period in accordance with the specific circumstances of public infrastructure projects.

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Section: Model Hypothesesmentioning

confidence: 99%

Concession Period Decision Models for Public Infrastructure Projects Based on Option Games

Zhi

Tan

Wang

et al. 2015

Mathematical Problems in Engineering

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“…Due to the theory that Hermite orthogonal polynomials can approximate random distribution with the arbitrary precision, Leccadito et al [11] raised the Hermite binary tree, which can contain any high-order moments of random distribution, and overcame the problem of numerical instability in Johnson binary tree. Cui et al, Qin et al, and Huang et al studied the application of functional differential equations to pricing derivatives [12][13][14]. Wen et al investigated the impact of the high-order moment and correlation on the prices of options [15,16].…”

Section: Introductionmentioning

confidence: 99%

Randomized Binomial Tree and Pricing of American-Style Options

Cao

2014

Mathematical Problems in Engineering

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Randomized binomial tree and methods for pricing American options were studied. Firstly, both the completeness and the no-arbitrage conditions in the randomized binomial tree market were proved. Secondly, the description of the node was given, and the cubic polynomial relationship between the number of nodes and the time steps was also obtained. Then, the characteristics of paths and storage structure of the randomized binomial tree were depicted. Then, the procedure and method for pricing American-style options were given in a random binomial tree market. Finally, a numerical example pricing the American option was illustrated, and the sensitivity analysis of parameter was carried out. The results show that the impact of the occurrence probability of the random binomial tree environment on American option prices is very significant. With the traditional complete market characteristics of random binary and a stronger ability to describe, at the same time, maintaining a computational feasibility, randomized binomial tree is a kind of promising method for pricing financial derivatives.

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Extension of Modified Polak-Ribière-Polyak Conjugate Gradient Method to Linear Equality Constraints Minimization Problems

Dai

2014

Abstract and Applied Analysis

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Combining the Rosen gradient projection method with the two-term Polak-Ribière-Polyak (PRP) conjugate gradient method, we propose a two-term Polak-Ribière-Polyak (PRP) conjugate gradient projection method for solving linear equality constraints optimization problems. The proposed method possesses some attractive properties: (1) search direction generated by the proposed method is a feasible descent direction; consequently the generated iterates are feasible points; (2) the sequences of function are decreasing. Under some mild conditions, we show that it is globally convergent with Armijio-type line search. Preliminary numerical results show that the proposed method is promising.

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Sufficient Conditions for Non-Bazilevič Functions

Abstract: The main purpose of this paper is to derive some sufficient conditions for analytic functions to be of non-Bazilevič type.

Cited by 3 publications

References 7 publications

Concession Period Decision Models for Public Infrastructure Projects Based on Option Games

Concession Period Decision Models for Public Infrastructure Projects Based on Option Games

Randomized Binomial Tree and Pricing of American-Style Options

Extension of Modified Polak-Ribière-Polyak Conjugate Gradient Method to Linear Equality Constraints Minimization Problems

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