Optimal Martingales and American Option Pricing

Pricing American options is an interesting research topic since there is no analytical solution to value these derivatives. Different numerical methods have been proposed in the literature with some, if not all, either limited to a specific payoff or not applicable to multidimensional cases. Applications of Monte Carlo methods to price American options is a relatively new area that started with Longstaff and Schwartz (2001). Since then, few variations of that methodology have been proposed. The general conclusion is that Monte Carlo estimators tend to underestimate the true option price. The present paper follows Glasserman and Yu (2004b) and proposes a novel Monte Carlo approach, based on designing "optimal martingales" to determine stopping times. We show that our martingale approach can also be used to compute the dual as described in Rogers (2002).

Felodipine-metoprolol combination tablet: a valuable option to initiate antihypertensive therapy?

The aim of the present study was to assess the efficacy and tolerability of a calcium antagonist/beta-blocker fixed combination tablet used as first-line antihypertesnive therapy in comparison with an angiotensin converting enzyme inhibitor and placebo. Patients with uncomplicated essential hypertension (diastolic blood pressure between 95 and 110 mm Hg at the end of a 4-week run-in period) were randomly allocated to a double-blind, 12-week treatment with either a combination tablet of felodipine and metoprolol (Logimax), 5/50 mg daily (n = 321), enalapril, 10 mg daily (n = 321), or placebo (n = 304), with the possibility of doubling the dose after 4 or 8 weeks of treatment if needed (diastolic blood pressure remaining >90 mm Hg). The combined felodipine-metoprolol treatment controlled blood pressure (diastolic < or =90 mm Hg 24 h after dose) in 72% of patients after 12 weeks, as compared with 49% for enalapril and 30% for placebo. A dose adjustment was required in 38% of patients receiving the combination, in 63% of patients allocated to placebo, and 61% of enalapril-treated patients. The overall incidence of adverse events was 54.5% during felodipine-metoprolol treatment; the corresponding values for enalapril and placebo were 51.7% and 47.4%, respectively. Withdrawal of treatment due to adverse events occurred in 18 patients treated with the combination, in 10 patients on enalapril, and 12 patients on placebo. No significant change in patients' well-being was observed in either of the three study groups. These results show that a fixed combination tablet of felodipine and metoprolol allows to normalize blood pressure in a substantially larger fraction of patients than enalapril given alone. This improved efficacy is obtained without impairing the tolerability. The fixed-dose combination of felodipine and metoprolol, therefore, may become a valuable option to initiate antihypertensive treatment.

Currency Issues and Options for an Independent Scotland

In this paper we take on the role of a ‘virtual consultant’ to a potentially independent Scotland. What should the exchange rate regime of an independent Scotland look like? We argue that the current proposal of the Scottish government to remain part of the sterling zone is doomed to failure, both because it falls short of a full political and monetary union and because it fails to recognize the reality of the Scottish economy post independence. We argue that the only tenable solution for an independent Scotland is to have a separate currency and for this currency to have some flexibility against Scotland’s main trading partners. One option offered here is managed float or crawl against a basket of currencies.

Coach basket : aplicación para los entrenadores de baloncesto

Los objetivos principales de esta aplicación para dispositivo móvil son: administrar los datos de un club de baloncesto de manera que podamos reducir la pérdida de información y cumplamos la LOPD; recoger las estadísticas de los jugadores del equipo tanto local como visitante para su posterior explotación; mostrar en un documento Excel o en gráficos las estadísticas recogidas; gestionar la planificación de entrenamientos, y ejercicios y crear ejercicios con imágenes e información de los mismos para nuestros entrenamientos.

Basket manager: administració web i comerç electrònic en entorns de programari lliure

Joc en línia senzill de gestió esportiva basat en bàsquet.

Rhumatologie. Une nouvelle option thérapeutique dans la prise en charge de l'inflammation chronique en rhumatologie: les inhibiteurs des janus kinases [A new therapeutical option for chronic inflammation in rheumatology: janus kinases inhibitors (JAK)].

In the last 15 years, the therapeutical options for the treatment of chronic inflammatory diseases in rheumatology have increased a lot. Nevertheless, some patients do not respond or respond partially to the current therapies--including to the biologics therapy. Tofacitinib (Xeljanz) is now on the Swiss market. It inhibits the JAK pathway. Tofacitinib--as monotherapy or with methotrexate--improves the control of rheumatoid arthritis (RA). In a comparative study, tofacitinib was as effective as adalimumab. Further, tofacitinib reduced structural damages in RA and is considered as an alternative, in case of non-response, to anti-TNF and probably to other biologics therapy. The side effects are upper respiratory tract and opportunist infections and tuberculosis. Blood count, lipids, kidney function, liver tests, CK and blood pressure have to be monitored.

On the goodness of fit of Kirk's formula for spread option prices

In this paper we investigate the goodness of fit of the Kirk's approximation formula for spread option prices in the correlated lognormal framework. Towards this end, we use the Malliavin calculus techniques to find an expression for the short-time implied volatility skew of options with random strikes. In particular, we obtain that this skew is very pronounced in the case of spread options with extremely high correlations, which cannot be reproduced by a constant volatility approximation as in the Kirk's formula. This fact agrees with the empirical evidence. Numerical examples are given.

Tailored thoracomyoplasty as a valid treatment option for chronic post-lobectomy empyema

Background: Chronic post-lobectomy empyema is rare but may require space obliteration for infection control. We report our experience by using a tailored thoracomyoplasty for this specific indication with respect to infection control and functional outcome. Patients and Methods: We retrospectively analysed 17 patients (11 men, 6 women) with chronic post-lobectomy empyema and treated by thoracomyoplasty in our institution between 2000 and 2011. All patients underwent an initial treatment attempt by use of chest tube drainage and antibiotics except those with suspicion of pleural aspergillosis (n=6). In 5 patients, bronchus stump insufficiency was identified at preoperative bronchoscopy. A tailored thoracoplasty was combined with a serratus anterior - rhomboid myoplasty which also served to close a broncho-pleural fistula, if present. The first rib was resected in 11/17 patients. Results: The 90-day mortality was 11.7%. Thoracomyoplasty was successful in all surviving patients with respect to infection control, space obliteration and definitive closure of broncho-pleural fistula, irrespective of the type of infection, the presence of a broncho-pleural fistula and whether a 1st rib resection was performed . Post-lobectomy pulmonary function testing before and after thoracoplasty revealed a mean predicted FEV1 of 63.0±8.5% and 51.5±4.2% (p=0.01), and a mean predicted DLCO of 59.8±11.6% and 54.5±12.5%, respectively. Postoperative shoulder girdle dysfunction and scoliosis were prevented in patients willing to undergo intense physiotherapy. Conclusions: Tailored thoracomyoplasty represents a valid option for patients with chronic post-lobectomy empyema without requiring a preceding open window thoracostomy. Space obliteration and infection control was equally obtained with and without first rib resection.

On the term structure of Interbank interest rates: Jump-diffusion processes and option pricing

In this paper we study the dynamic behavior of the term structureof Interbank interest rates and the pricing of options on interest ratesensitive securities. We posit a generalized single factor model withjumps to take into account external influences in the market. Daily datais used to test for jump effects. Qualitative examination of the linkagebetween Monetary Authorities' interventions and jumps are studied. Pricingresults suggests a systematic underpricing in bonds and call options ifthe jumps component is not included. However, the pricing of put optionson bonds presents indeterminacies.

Option pricing under stochastic volatility and stochastic interest rate in the Spanish case

Among the underlying assumptions of the Black-Scholes option pricingmodel, those of a fixed volatility of the underlying asset and of aconstantshort-term riskless interest rate, cause the largest empirical biases. Onlyrecently has attention been paid to the simultaneous effects of thestochasticnature of both variables on the pricing of options. This paper has tried toestimate the effects of a stochastic volatility and a stochastic interestrate inthe Spanish option market. A discrete approach was used. Symmetricand asymmetricGARCH models were tried. The presence of in-the-mean and seasonalityeffectswas allowed. The stochastic processes of the MIBOR90, a Spanishshort-terminterest rate, from March 19, 1990 to May 31, 1994 and of the volatilityofthe returns of the most important Spanish stock index (IBEX-35) fromOctober1, 1987 to January 20, 1994, were estimated. These estimators wereused onpricing Call options on the stock index, from November 30, 1993 to May30, 1994.Hull-White and Amin-Ng pricing formulas were used. These prices werecomparedwith actual prices and with those derived from the Black-Scholesformula,trying to detect the biases reported previously in the literature. Whereasthe conditional variance of the MIBOR90 interest rate seemed to be freeofARCH effects, an asymmetric GARCH with in-the-mean and seasonalityeffectsand some evidence of persistence in variance (IEGARCH(1,2)-M-S) wasfoundto be the model that best represent the behavior of the stochasticvolatilityof the IBEX-35 stock returns. All the biases reported previously in theliterature were found. All the formulas overpriced the options inNear-the-Moneycase and underpriced the options otherwise. Furthermore, in most optiontrading, Black-Scholes overpriced the options and, because of thetime-to-maturityeffect, implied volatility computed from the Black-Scholes formula,underestimatedthe actual volatility.

A generalization of Hull and White formula and applications to option pricing approximation

By means of Malliavin Calculus we see that the classical Hull and White formulafor option pricing can be extended to the case where the noise driving thevolatility process is correlated with the noise driving the stock prices. Thisextension will allow us to construct option pricing approximation formulas.Numerical examples are presented.

Multiple prisoner's dilemma games with (out) an outside option: An experimental study

Experiments in which subjects play simultaneously several finite prisoner's dilemma supergames with and without an outside optionreveal that: (i) subjects use probabilistic start and endeffect behaviour, (ii) the freedom to choose whether to play the prisoner's dilemma game enhances cooperation, (iii) if the payoff for simultaneous defection is negative, subjects' tendency to avoid losses leads them to cooperate; while this tendency makes them stick to mutual defection if its payoff is positive.

A decomposition formula for option prices in the Heston model and applications to option pricing approximation

By means of classical Itô's calculus we decompose option prices asthe sum of the classical Black-Scholes formula with volatility parameterequal to the root-mean-square future average volatility plus a term dueby correlation and a term due to the volatility of the volatility. Thisdecomposition allows us to develop first and second-order approximationformulas for option prices and implied volatilities in the Heston volatilityframework, as well as to study their accuracy. Numerical examples aregiven.