A Jump Telegraph Model for Option Pricing

In this paper we introduce a financial market model based on continuos time random motions with alternanting constant velocities and with jumps ocurring when the velocity switches. if jump directions are in the certain corresondence with the velocity directions of the underlyng random motion with respect to the interest rate, the model is free of arbitrage. The replicating strategies for options are constructed in details. Closed form formulas for the opcion prices are obtained.

Student support materials por AQA A2 Physics : unit 5 nuclear and thermal physics and option units.

Libro de apoyo a los alumnos de bachillerato en el área de la Física. Abarca los siguientes temas: radioactividad, energía nuclear, física térmica, astrofísica, física médica, física aplicada e hitos en la historia de la física. Incluye también una sección para la preparación de los exámenes oficiales con ayudas sobre el funcionamiento de la ciencia, el uso de algoritmos y logaritmos, datos y fórmulas, preguntas similares a los exámenes oficiales, y respuestas, explicaciones y consejos para la superación de las pruebas.

Edexcel AS Unit 1 History : from Second Reich to Third Reich. Germany, 1918-45 (Option F7).

Guía de revisión en el área de historia para estudiantes que estén preparando el examen Edexcel en el nivel AS (enseñanza secundaria de segundo ciclo). Los temas que trata son : antecedentes hasta 1920, los primeros años de la república 1920-24, la edad de oro de Weimar 1924-29, agonía de la república de Weimar 1929-33, consolidación del poder enero-marzo 1933, resumen de acontecimientos 1933-39, políticas económicas nazi, género y juventud, persecución, racismo y el trato a las minorías, el impacto de la guerra. Incluye un glosario de términos y un listado de personas clave al final de cada tema, y una sección con preguntas de examen y diferentes posibles respuestas comentadas al final del libro.

Deaf identity among alumni of Option schools in the U.S.

This descriptive study surveys deaf identity of alumni of Option schools in the United States. The issue of deaf identity is addressed and the importance of deaf role models in Option schools is presented.

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.

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.