Browsing by Author "Lee, C. F."

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Constant elasticity of variance (CEV) option pricing model: Integration and detailed derivation
(2008-10-01)
Hsu, Y. L.
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Lin, T. I.
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Lee, C. F.
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資訊管理與財務金融系註：原資管所+財金所
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Department of Information Management and Finance
In this paper we review the renowned constant elasticity of variance (CEV) option pricing model and give the detailed derivations. There are two purposes of this article. First, we show the details of the formulae needed in deriving the option pricing and bridge the gaps in deriving the necessary formulae for the model. Second, we use a result by Feller to obtain the transition probability density function of the stock price at time T given its price at time t with t < T. In addition, some computational considerations are given for the facilitation of computing the CEV option pricing formula. (C) 2007 IMACS. Published by Elsevier B.V. All rights reserved.
Fruits are Vehicles of Drug Resistant Pathogenic Yeasts
(2018-06-01)
Lo, H. J.
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Zhou, Z. L.
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Tsai, S. H.
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Chu, W. L.
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Chen, Y. Z.
Time-domain equalisation for discrete multi-tone transceivers: new results and performance analysis
(2009-07-01)
Wu, W. R.
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Lee, C. F.
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Chen, Y. F.
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電信工程研究所
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Institute of Communications Engineering
The time-domain equaliser (TEQ) is a commonly used device to shorten the channel impulse response in a discrete multitone (DMT) receiver. Many methods have been proposed to design the TEQ with a capacity maximisation criterion. An implicit assumption used by existing methods is that circular convolution can be conducted for the noise signal and the TEQ. This assumption is not valid because the noise vector, observed in a DMT symbol, does not have a cyclic prefix. A similar assumption is also made for the residual inter-symbol interference (ISI) signal. Because of these invalid assumptions, the TEQ-filtered noise and residual ISI powers in each subcarrier were not properly evaluated. As a result, optimum solutions derived are not actually optimal. This paper attempts to resolve this problem. We first analyse the statistical properties of the TEQ-filtered noise signal and the residual ISI signal in detail, and derive precise formulae for the calculation of the TEQ-filtered noise and residual ISI powers. Then, we re-formulate the capacity maximisation criterion to design the true optimum TEQ. Simulations show that the proposed method outperforms the existing ones, and its performance closely approaches the theoretical upper bound.