Wednesday, March 11, 2015

white Arrow-Debreu Security is essentially a delta function ;Arrow Debreu securities are indexed over paths

[PDF]Implied Risk-Neutral Distribution: A Comparison of ...
www2.warwick.ac.uk/fac/soc/wbs/subjects/finance/research/.../98-95.pdf
1 An Arrow—Debreu security is also known as a pure security or elementary claim. It pays one unit of cash in one specific state of the world and nothing in any ...

 

Delta位勢阱- 维基百科，自由的百科全书

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Jump to 雙井迪拉克Delta函數模型 - 記得此模型與其三維分子版本的關係，我們用原子单位制且設 \hbar = m=1 。 ... 令波函數於Delta函數峰值相等可得行列式：.
‎定義 - ‎導引 - ‎雙井迪拉克Delta函數模型 - ‎外部链接

  • Delta位势阱_唐人百科

    www.tangren.us/view/Delta位勢阱
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    Jump to 双井迪拉克Delta函数模型 - 记得此模型与其三维分子版本的关系，我们用原子单位制且设 \hbar = m=1 。 ... 令波函数于Delta函数峰值相等可得行列式：.

  • white Arrow-Debreu Security is essentially a delta function ...

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    Dec 1, 2014 - Delta 位勢阱的束縛態，在任何一個位置，波函數都是連續的；可是，除了 ... 當非等電價，此為三維分子問題，其解為一般化Lambert W函數（見一般化 ...

  • phymath999: 狄拉克δ函数对称性

    phymath999.blogspot.com/2013/.../blog-post_6284.ht...
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    Jan 11, 2013 - 在量子力學裏，Delta 位勢阱是一個阱內位勢為負狄拉克Delta 函數，阱外位勢為0 的位勢阱。 .... 分子如果还在激发态上，势必会自发衰变，跃迁回到基态。 .... 拍频信号波函数拍频现象的价值它把高频信号中的频率信息和位相 ... 引力波代表了一个二阶张量场(矩阵)的微扰,势函數矩阵对角化 ..... 三維BOX簡化為三個一.

  • SSPcsu-第五章_百度文库

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    Oct 15, 2012 - Ek0 ? Ek0' 将k′ ? k = n 2π a Ek( 0 ) = h 2k 2 +V 2m 代入上式波函数的 .... + V (r )]ψ ( r ) = Eψ ( r ) 2m 晶格周期性势波动方程的解布洛赫函数晶格周期性函数三维周期场 .... 轴—— (100) 方向Delta (uppercase ?, lowercase δ) 六方面的中心L( , .... 思想是原子、分子和固体的基本物理性质可以用电子密度函数来描述。

  • 补充和分析一些04sub-physics_GRE SUB_第2页_寄托资讯_ ...

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    Nov 18, 2004 - 问的是量子三维谐振子能量的特点（具体问什么忘了）3. ... 问能量平均值那个，据说波函数未归一，但是能量应该是两个概率好像是一样的。 ... 用两个连续条件做，选的是分子有2ik的那个。6.238U问的是核半径还是原子半径？ ... 其实就是立方体的对角线。12.delta函数积分的那个，将零代入delta(x)前的那个f(x),选那个 ...

  • 矩形复数势和delta复数势的隧穿相时的研究 - 数字出版物超市

    mall.cnki.net/magazine/Article/GZDI201201010.htm
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    <正>在量子力学中,粒子或是波包穿透一个势阱(势垒)所需时间,即所谓的隧穿时间,已经被争论了许多年。 ... 矩形复数势和delta复数势的隧穿相时的研究 ... 关于结构化学中波函数的研究 ... 《原子与分子物理学报》1984年00期 ... G'/G方法构造三维空间中Kle · ITER不同设计方案下的离散阿尔 · 拉曼-纳斯声光衍射性质研究 · SWIFT伽玛暴的 ...

  • [PDF]第一章量子力学基础和原子结构

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    原子和分子的运动可用波函数描述，而电子出现的几率密度可用电子云描述。 3. 不确定关系（测不准 ... 对于三维一粒子体系，波函数可表示为：Ψ(x,y,z,t),或者Ψ (q,t)，q代表粒子的空. 间坐标。 对于三维三 ...... ij称为克罗内克delta符号。 ⎩. ⎨. ⎧. ≠. = = ... 令三维势箱为边长为a,b,c 的矩形箱，箱内势能为0，箱外势能无穷大。 势能函数为 ...

  • 为啥波函数必须是连续的？ - 豆瓣

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    Jul 19, 2011 - 一阶导相当于一个连续函数的导数叠加一个delta函数？ .... 我想的是，譬如说，波函数在三维空间中一个球面上间断。 .... 物理作用”，由正则方程知存在无穷大且无穷窄能量区，即delta势，但delta势我们已经有一个连续的函数的解，而 ...

  • 科学网—通过无限深势阱理解量子力学非定域性- 刘全慧的博文

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    May 13, 2011 - 其一就是p.37中，有如下一句话，无限深势阱中的定态波函数“是由两个沿相反 ..... 我完全可以给你一个在阱内位置完全确定的量子态\delta(x-x_0). ..... 在一个分子的空间内（分子可以看成是一个三维势井），任何真实体系的波数都是离 ...
    •  
    Relationship between butterfly spreads and the risk neutral ...
    www.frouah.com/.../Butterfly%20Spread%20and%20the%20RND.pdf
    the terminal payoff of the portfolio is the Dirac delta function. +*,. dK→#. V ST ,K,T,dK! ... terminal value converges to an Arrow#Debreu security. Consider an ...

  • white Arrow-Debreu Security is essentially a delta function ...

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    Dec 1, 2014 - 5.1 Using the Convex Hull Function to Find the Optimal Hedge Ratio and the ... that the jumps in the individual security being considered was ...

  • [PDF]Schmelzle [2010] Fourier Pricing

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    by M Schmelzle - ‎Cited by 35 - ‎Related articles
    Fourier transforms and characteristic functions, survey the most popular pricing algorithms and .... point to the inherent connections to Arrow–Debreu securities and state price ...... denotes the Dirac delta function and is the indicator function.

  • [PDF]Nonparametric Risk Management and Implied Risk Aversion

    faculty.chicagobooth.edu/finance/papers/risk.pdf
    Booth School of Business
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    by Y Aït-Sahalia - ‎Cited by 580 - ‎Related articles
    Jan 4, 1998 - construct a limited set of Arrow-Debreu securities by forming portfolios of ..... of the butter y tends to a Dirac delta function with mass at , i.e., in the limit the ..... the former approach (see White (1992)), and the nonstationarities ...

  • [PDF]CONVERGENCE RATES FOR DIFFUSIONS ON ...

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    by C ALBANESE - ‎Cited by 6 - ‎Related articles
    convergence rate for the probability density function of the discretized ... example (Hull & White 1988), (Madan, Milne & Shefrin 1991), (Derman, Kani & Chriss 1996)). ... to conclude that the delta and the gamma of Arrow-Debreu securities also ...

  • [PDF]Deriving Derivatives of Derivative Securities (Greeks for ...

    www.math.nyu.edu/research/carrp/.../dddpres3.pdf
    New York University
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    by P Carr - ‎Cited by 57 - ‎Related articles
    Hull and White (1987). • multi-factor greeks .... where δ(·) is the Dirac delta function. ... these Arrow Debreu securities are indexed over paths and also pay out in ...

  • Spectral properties of trinomial trees | Proceedings of the ...

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    by A Mijatović - ‎2007 - ‎Cited by 4 - ‎Related articles
    Jul 8, 2007 - The probability density function (PDF) of a random process can be viewed, in terms of pricing theory, as a forward value of an option whose pay-off is the Dirac delta function. ..... theory, this result can be interpreted in terms of the convergence of the prices of Arrow–Debreu securities. ... Hull J,; White A.

  • [PDF]Implied Risk-Neutral Distribution: A Comparison of ...

    www2.warwick.ac.uk/fac/soc/wbs/.../98-95.pdf
    University of Warwick
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    1 An Arrow—Debreu security is also known as a pure security or elementary claim. ... 2 Indeed, the payoff function of the portfolio H tends to a Dirac delta function with .... Cox and Ross (1976) constant elasticity variance model, Hull and White ...

  • Arrow-Debreu Prices state-price - Academia.edu

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    Academia.edu
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    White academia logo ... Arrow-Debreu securities pay off $1 only in a single state of the world and $0 in all the ..... Each vector contains four parameters: the first two multiply the values of the step function at breakpoints K0 = 0 and K1 = K, while ...

  • [PDF]Nonparametric risk management - Princeton University

    www.princeton.edu/~yacine/risk.pdf
    Princeton University
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    by Y Ait-Sahaliaa - ‎Cited by 580 - ‎Related articles
    Now known as Arrow—Debreu securities, they are widely recognized as ..... s tend to zero, the payoff function of the butterfly tends to a Dirac delta function with mass .... of the recursive nature of the former approach (White, 1992), and the non-.
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