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In this essay, we empirically test the Constant–Elasticity-of-Variance (CEV) option pricing model by Cox (1975, 1996) and Cox and Ross (1976), and compare the performances of the CEV and alternative option pricing models, mainly the stochastic volatility model, in terms of European option pricing and cost-accuracy based analysis of their numerical procedures.

In European-style option pricing, we have tested the empirical pricing performance of the CEV model and compared the results with those by Bakshi et al. (1997). The CEV model, introducing only one more parameter compared with Black-Scholes formula, improves the performance notably in all of the tests of in-sample, out-of-sample and the stability of implied volatility. Furthermore, with a much simpler model, the CEV model can still perform better than the stochastic volatility model in short term and out-of-the-money categories. When applied to American option pricing, high-dimensional lattice models are prohibitively expensive. Our numerical experiments clearly show that the CEV model performs much better in terms of the speed of convergence to its closed form solution, while the implementation cost of the stochastic volatility model is too high and practically infeasible for empirical work.

In summary, with a much less implementation cost and faster computational speed, the CEV option pricing model could be a better candidate than more complex option pricing models, especially when one wants to apply the CEV process for pricing more complicated path-dependent options or credit risk models.

Real-time hybrid shaking table test for high-speed maglev vehicle–bridge interaction (VBI) system is an important method to study dynamic response of the system. Numerical experiments are usually conducted in advance to guarantee the test performed smoothly. This paper presents a novel moving load integration method combined with a truncated bridge model for fast calculation of bridge responses, and presents a framework for performing numerical experiment of a real-time hybrid test of VBI system. A realistic numerical experiment is conducted on a real-time simulator, i.e. xPC Target, integrating three commercial software, i.e. SIMPACK, ANSYS, and MATLAB-Simulink${}^{\circledR }$, to model a real TR08 single-carriage maglev train, a 5-spans bridge and 28 shaking tables, respectively. The driving speed is 400–600km/h and the time step size in the test is 1/256s. The accuracy of moving load integration method with truncated bridge model is verified, the effects of speed on the dynamic responses of VBI systems are studied, the time delay of shaking tables and compensation algorithm is investigated, and the effects of local nonlinearity of the bridge on system responses are studied. This paper provides a practical method and valuable reference for the real-time hybrid shaking table test of vehicle–bridge coupled systems.

The stress–strain state of a pipeline segment with a branch pipe of smaller diameter, which is under internal pressure, is investigated. The mathematical model of this mechanical object is a boundary value problem for a system of six partial differential equations. This boundary value problem describes the deformation of an elastic surface containing a singular line and immersed in three-dimensional space. From this three-dimensional mathematical model in a domain with curved boundary, a resolving boundary value problem in a planar domain is obtained. An algorithm for numerical analysis of the deformed state of a pipeline with a branch pipe by the finite element method is created and implemented. An approach to suppress the error of the numerical solution, which significantly improved the accuracy of the results, is proposed. As a result of numerical experiments, it is found that the proposed algorithms and methods make it possible to approximate a given solution of the reduced pipe deformation problem with a branch pipe by its numerical solution with high accuracy.

A numerical study is performed on the cyclic capacity degradation of a lithium manganese oxide (LMO) cell, under 21 different combinations of temperature and state of charge (SOC), based on the phenomenological model developed earlier. Out of the 21 sets, six are used for fitting in order to establish the degradation parameters of the model and the rest could be predicted with an average accuracy of about 90%. Two optimization algorithms (Genetic and Nelder Mead) are used and the consistency of the convergence is verified. The discussion includes sensitivity analysis of a selected set of degradation parameters. In addition, an analysis of the evolution of solid electrolyte interphase (SEI) and isolation (islanding) mechanisms under varying conditions of SOC and temperatures is performed which brings out the relative contribution of each mechanism to the overall capacity fade.

In this chapter, we empirically test the Constant–Elasticity-of-variance (CEV) option pricing model by Cox (1975, 1996) and Cox and Ross (1976), and compare the performances of the CEV and alternative option pricing models, mainly the stochastic volatility model, in terms of European option pricing and cost-accuracy-based analysis of their numerical procedures. In European-style option pricing, we have tested the empirical pricing performance of the CEV model and compared the results with those by Bakshi et al. (1997). The CEV model, introducing only one more parameter compared with Black–Scholes formula, improves the performance notably in all of the tests of in-sample, out-of-sample and the stability of implied volatility. Furthermore, with a much simpler model, the CEV model can still perform better than the stochastic volatility model in short-term and out-of-the-money categories. When applied to American option pricing, high-dimensional lattice models are prohibitively expensive. Our numerical experiments clearly show that the CEV model performs much better in terms of the speed of convergence to its closed-form solution, while the implementation cost of the stochastic volatility model is too high and practically infeasible for empirical work. In summary, with a much less implementation cost and faster computational speed, the CEV option pricing model could be a better candidate than more complex option pricing models, especially when one wants to apply the CEV process for pricing more complicated path-dependent options or credit risk models.

In this essay, we empirically test the Constant–Elasticity-of-Variance (CEV) option pricing model by Cox (1975, 1996) and Cox and Ross (1976), and compare the performances of the CEV and alternative option pricing models, mainly the stochastic volatility model, in terms of European option pricing and cost-accuracy based analysis of their numerical procedures.

In European-style option pricing, we have tested the empirical pricing performance of the CEV model and compared the results with those by Bakshi, Cao and Chen (1997). The CEV model, introducing only one more parameter compared with Black-Scholes formula, improves the performance notably in all of the tests of in-sample, out-of-sample and the stability of implied volatility. Furthermore, with a much simpler model, the CEV model can still perform better than the stochastic volatility model in short term and out-of-the-money categories. When applied to American option pricing, high-dimensional lattice models are prohibitively expensive. Our numerical experiments clearly show that the CEV model performs much better in terms of the speed of convergence to its closed form solution, while the implementation cost of the stochastic volatility model is too high and practically infeasible for empirical work.

In summary, with a much less implementation cost and faster computational speed, the CEV option pricing model could be a better candidate than more complex option pricing models, especially when one wants to apply the CEV process for pricing more complicated path-dependent options or credit risk models.

In order to truly reflect the influence of the process of the altitude difference between the cargo oil level and sea surface, the physical experiments and numerical experiments were designed,and contrasting the processes and results in two experiments, by the contrast, it shows that the numerical calculation of leakage process by Fluent is fine, and could obtain the general rules of the effect of oil spill when the altitude difference changed.