American option valuation: implied calibration of GARCH pricing models

This study analyzes the issue of American option valuation when the underlying exhibits a GARCH-type volatility process. We propose the usage of Rubinstein's Edgeworth binomial tree (EBT) in contrast to simulation-based methods being considered in previous studies. The EBT-based valuation approach makes an implied calibration of the pricing model feasible. By empirically analyzing the pricing performance of American index and equity options, we illustrate the superiority of the proposed approach.

Analytic approximations for multi-asset option pricing

We derive general analytic approximations for pricing European basket and rainbow options on N assets. The key idea is to express the option’s price as a sum of prices of various compound exchange options, each with different pairs of subordinate multi- or single-asset options. The underlying asset prices are assumed to follow lognormal processes, although our results can be extended to certain other price processes for the underlying. For some multi-asset options a strong condition holds, whereby each compound exchange option is equivalent to a standard single-asset option under a modified measure, and in such cases an almost exact analytic price exists. More generally, approximate analytic prices for multi-asset options are derived using a weak lognormality condition, where the approximation stems from making constant volatility assumptions on the price processes that drive the prices of the subordinate basket options. The analytic formulae for multi-asset option prices, and their Greeks, are defined in a recursive framework. For instance, the option delta is defined in terms of the delta relative to subordinate multi-asset options, and the deltas of these subordinate options with respect to the underlying assets. Simulations test the accuracy of our approximations, given some assumed values for the asset volatilities and correlations. Finally, a calibration algorithm is proposed and illustrated.

Real option pricing in mixed-use development projects

The application of real options theory to commercial real estate has developed rapidly during the last 15 Years. In particular, several pricing models have been applied to value real options embedded in development projects. In this study we use a case study of a mixed use development scheme and identify the major implied and explicit real options available to the developer. We offer the perspective of a real market application by exploring different binomial models and the associated methods of estimating the crucial parameter of volatility. We include simple binomial lattices, quadranomial lattices and demonstrate the sensitivity of the results to the choice of inputs and method.

The bi-cultural option for international human resource management: the Japanese/Brazilian Nikkeijin example

This paper reports on an important subgroup of international boundary-spanners – immigrants and second or third generation migrants from the MNC's home country living in the subsidiary host country. We take as our example the Nikkeijin (Japanese immigrants and their descendants) in Brazil. Such bi-cultural people are a largely unexplored source of boundary-spanning internationally competent talent for multinational enterprises. Using two different surveys, we find that this group is recognized as a source of talent by Japanese MNCs, but that their HRM practices are not appropriate to attract and use them in their global talent management programmes.

Direct observation by time-resolved infrared spectroscopy of the bright and the dark excited states of the [Ru(phen)2(dppz)]2+ light-switch compound in solution and when bound to DNA

The [Ru(phen)2(dppz)]2+ complex (1) is non-emissive in water but is highly luminescent in organic solvents or when bound to DNA, making it a useful probe for DNA binding. To date, a complete mechanistic explanation for this “light-switch” effect is still lacking. With this in mind we have undertaken an ultrafast time resolved infrared (TRIR) study of 1 and directly observe marker bands between 1280–1450 cm-1, which characterise both the emissive “bright” and the non-emissive “dark” excited states of the complex, in CD3CN and D2O respectively. These characteristic spectral features are present in the [Ru(dppz)3]2+ solvent light-switch complex but absent in [Ru(phen)3]2+, which is luminescent in both solvents. DFT calculations show that the vibrational modes responsible for these characteristic bands are predominantly localised on the dppz ligand. Moreover, they reveal that certain vibrational modes of the “dark” excited state couple with vibrational modes of two coordinating water molecules, and through these to the bulk solvent, thus providing a new insight into the mechanism of the light-switch effect. We also demonstrate that the marker bands for the “bright” state are observed for both L- and D enantiomers of 1 when bound to DNA and that photo-excitation of the complex induces perturbation of the guanine and cytosine carbonyl bands. This perturbation is shown to be stronger for the L enantiomer, demonstrating the different binding site properties of the two enantiomers and the ability of this technique to determine the identity and nature of the binding site of such intercalators.

The option market reaction to bank loan announcements

In this study, we examine the options market reaction to bank loan announcements for the population of US firms with traded options and loan announcements during 1996-2010. We get evidence on a significant options market reaction to bank loan announcements in terms of levels and changes in short-term implied volatility and its term structure, and observe significant decreases in short-term implied volatility, and significant increases in the slope of its term structure as a result of loan announcements. Our findings appear to be more pronounced for firms with more information asymmetry, lower credit ratings and loans with longer maturities and higher spreads. Evidence is consistent with loan announcements providing reassurance for investors in the short-term, however, over longer time horizons, the increase in the TSIV slope indicates that investors become increasingly unsure over the potential risks of loan repayment or uses of the proceeds.

Moral uncertainty and permissibility: evaluating option sets

In this essay, we explore an issue of moral uncertainty: what we are permitted to do when we are unsure about which moral principles are correct. We develop a novel approach to this issue that incorporates important insights from previous work on moral uncertainty, while avoiding some of the difficulties that beset existing alternative approaches. Our approach is based on evaluating and choosing between option sets rather than particular conduct options. We show how our approach is particularly well-suited to address this issue of moral uncertainty with respect to agents that have credence in moral theories that are not fully consequentialist.

Bone Remodeling Adjacent to Morse Cone-Connection Implants with Platform Switch: A Fluorescence Study in the Dog Mandible

Purpose: The aim of this study was to evaluate, through fluorescence analysis, the effect that different interimplant distances, after prosthetic restoration, will have on bone remodeling in submerged and nonsubmerged implants restored with a ""platform switch."" Materials and Methods: Fifty-six Ankylos implants were placed 1.5 mm subcrestally in seven dogs. The implants were placed so that two fixed prostheses, with three interimplant contacts separated by 1-mm, 2-mm, and 3-mm distances, could be fabricated for each side of the mandible. The sides and the positions of the groups were selected randomly. To better evaluate bone remodeling, calcein green was injected 3 days before placement of the prostheses at 12 weeks postimplantation. At 3 days before sacrifice (8 weeks postloading), alizarin red was injected. The amounts of remodeled bone within the different interimplant areas were compared statistically before and after loading in submerged and nonsubmerged implants. Results: Statistically significant differences existed in the percentage of remodeled bone seen in the different regions. Mean percentages of remodeled bone in the submerged and nonsubmerged groups, respectively, were as follows: for the 1-mm distance, 23.0% +/- 0.05% and 23.1% +/- 0.03% preloading and 27.0% +/- 0.03% and 25.2% +/- 0.04% postloading, for the 2-mm distance, 18.2% +/- 0.05% and 18.1% +/- 0.04% preloading and 21.3% +/- 0.07% and 19.9% +/- 0.03% postloading, for the 3-mm distance, 18.3% +/- 0.03% and 18.3% +/- 0.03% preloading and 18.8% +/- 0.04% and 19.8% +/- 0.04% postloading, for distal-extension regions, 16.6% +/- 0.02% and 17.4% +/- 0.04% preloading and 17.0% +/- 0.04% and 18.4% +/- 0.04% postloading. Conclusions: Based upon this animal study, loading increases bone formation for submerged or nonsubmerged implants, and the interimplant distance of 1 mm appears to result in more pronounced bone remodeling than the 2-mm or 3-mm distances in implants with a ""platform switch."" INT J ORAL MAXILLOFAC IMPLANTS 2009;24:257-266

Are biofuels a feasible option?

Recently a number of objections have been raised against the use of ethanol produced from agricultural products such as maize, sugarcane, wheat or sugar beets as a replacement for gasoline, despite some of their advantages such as being cleaner and to some extent renewable. We address these objections in this paper. Topics discussed include the ""corn connection"" (which was theorized to be a cause of deforestation in the Amazonia), the rise of food prices due to ethanol production and the real possibilities of ethanol in reducing greenhouse gas emissions. It has been shown that such concerns are grossly exaggerated and that ethanol from sugarcane, as produced in Brazil, is the preferred option for the production of fuel not only in terms of cost but also as a favourable energy balance. Finally, the possibility of expanding ethanol production to other sugar-producing countries is also discussed. (C) 2008 Elsevier Ltd. All rights reserved.

A Single Mutation at the Sheet Switch Region Results in Conformational Changes Favoring lambda 6 Light-Chain Fibrillogenesis

Systemic amyloid light-chain (LC) amyloidosis is a disease process characterized by the pathological deposition of monoclonal LCs in tissue. All LC subtypes are capable of fibril formation although lambda chains, particularly those belonging to the lambda 6 type, are overrepresented. Here, we report the thermodynamic and in vitro fibrillogenic properties of several mutants of the lambda 6 protein 6aJL2 in which Pro7 and/or His8 was substituted by Ser or Pro. The H8P and H8S mutants were almost as stable as the wildtype protein and were poorly fibrillogenic. In contrast, the P7S mutation decreased the thermodynamic stability of 6aJL2 and greatly enhanced its capacity to form amyloid-like fibrils in vitro. The crystal structure of the P7S mutant showed that the substitution induced both local and long-distance effects, such as the rearrangement of the V(L) (variable region of the light chain)-V(L) interface. This mutant crystallized in two orthorhombic polymorphs, P2(1)2(1)2(1) and C222(1). In the latter, a monomer that was not arranged in the typical Bence-Jones dimer was observed for the first time. Crystal-packing analysis of the C222(1) lattice showed the establishment of intermolecular beta-beta interactions that involved the N-terminus and beta-strand B and that these could be relevant in the mechanism of LC fibril formation. Our results strongly suggest that Pro7 is a key residue in the conformation of the N-terminal sheet switch motif and, through long-distance interactions, is also critically involved in the contacts that stabilized the V(L) interface in lambda 6 LCs. (C) 2009 Elsevier Ltd. All rights reserved.

Ca(2+)-mediated thiolysis of peptide-resin linkage as an option for preparing protected peptide thioesters

A mild new procedure for preparing protected peptide thioesters, based oil Ca(2+)-assisted thiolysis of peptide-Kaiser oxime resin (KOR) linkage, is described. Ac-Ile-Ser(Bzl)-Asp(OcHx)-SR (Ac: acetyl; Bzl: benzyl; cHx: cyclohexyl), model peptide, was readily released from the resin by incubating the peptide-KOR at 60 degrees C in mixtures of DMF with n-butanethiol [R = (CH(2))(3)CH(3)] or ethyl 3-mercaptopropionate [R = (CH(2))(2)COOCHCH(3)] containing Ca(CH(3)COO)(2). After serine and aspartic acid side-chain deprotection under acid conditions, Ac-Ile-Ser-Asp-S(CH(2))(2)COOCH(2)CH(3) was successfully obtained with good quality and high yield. This type of C-terminal modified peptide may act as an excellent acyl donor in peptide segment condensation by the thioester method, native chemical ligation and enzymatic methods. (c) 2008 Elsevier Ltd. All rights reserved.