A framework for valuing derivative securities

This paper develops a general framework for valuing a wide range of derivative securities. Rather than focusing on the stochastic process of the underlying security and developing an instantaneously-riskless hedge portfolio, we focus on the terminal distribution of the underlying security. This enables the derivative security to be valued as the weighted sum of a number of component pieces. The component pieces are simply the different payoffs that the security generates in different states of the world, and they are weighted by the probability of the particular state of the world occurring. A full set of derivations is provided. To illustrate its use, the valuation framework is applied to plain-vanilla call and put options, as well as a range of derivatives including caps, floors, collars, supershares, and digital options.

An investigation of symptom-specific muscle hyperreactivity in upper extremity cumulative trauma disorder

Objective: The study examined symptom-specific muscle hyperreactivity in patients with chronic pain with upper limb cumulative trauma disorder (CTD). Design: Four tasks were presented in counterbalanced order and included neutral, general stressor, personal stressor, and pain stressor tasks. Ratings of stressfulness and recordings of skin conductance level confirmed the effectiveness of the experimental manipulations in inducing stress experiences for all subject groups. Setting: The study was conducted in a university research center. Patients: Thirty patients with CTD were matched as closely as possible for age and gender to control groups of chronic low back pain, arthritis, and pain-Free subjects Outcome Measures: Surface electromyograph recordings were taken from the frontalis, forearm flexors, trapezius, and lower back during baseline and tasks. Results: The study found no evidence of greater muscle tension increases or extended duration of return to baseline for the CTD or low back pain patients at any of the muscle sites for any of the tasks in comparison to control groups. Conclusions: The results indicate that symptom-specific psychophysiological responses may be limited to certain subgroups rather than being characteristic of chronic musculoskeletal pain patients in general.

Effects of paternal drinking, conduct disorder and childhood home environment on the development of alcohol use disorders in a Thai population

Aims To identify influences on the development of alcohol use disorders in a Thai population, particularly parental drinking and childhood environment. Design Case-control study. Setting A university hospital, a regional hospital and a community hospital in southern Thailand. Participants Ninety-one alcohol-dependents and 177 hazardous/harmful drinkers were recruited as cases and 144 non-or infrequent drinkers as controls. Measurements Data on parental drinking, family demographic characteristics, family activities, parental disciplinary practice, early religious life and conduct disorder were obtained using a structured interview questionnaire. The main outcome measure was the subject's classification as alcohol-dependent, hazardous/harmful drinker or non-/infrequent drinker. Findings A significant relationship was found between having a drinking father and the occurrence of hazardous/harmful drinking or alcohol dependence in the subjects. Childhood factors (conduct disorder and having been a temple boy, relative probability ratios, RPRs and 95% CI: 6.39, 2.81-14.55 and 2.21, 1.19-4.08, respectively) also significantly predicted alcohol dependence, while perceived poverty and ethnic alienation was reported less frequently by hazardous/harmful drinkers and alcohol-dependents (RPRS and 95% CIs = 0.34, 0.19-0.62 and 0.59, 0.38-0.93, respectively) than the controls. The relative probability ratio for the effect of the father's infrequent drinking on the son's alcohol dependence was 2.92 (95% CI = 1.42-6.02) and for the father's heavy or dependent drinking 2.84 (95% CI=1.31-6.15). Conclusions Being exposed to a light-drinking, father increases the risk of a son's alcohol use disorders exhibited either as hazardous-harmful or dependent drinking. However, exposure to a heavy- or dependent-drinking father is associated more uniquely with an increased risk of his son being alcohol-dependent. The extent to which this is seen in other cultures is worthy of exploration.