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  • 1
    Electronic Resource
    Electronic Resource
    A Modified Binomial Tree Method for Currency Lookback Options (2000)
    Springer
    Acta mathematica sinica 16 (2000), S. 445-454 
    Details
    ISSN: 1000-9574
    Keywords: Key words Modified binomial tree method, Currency lookback options, Convergence ; 1991MR Subject Classification 90A09, 35K85, 35R35
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics
    Notes: Abstract The binomial tree method is the most popular numerical approach to pricing options. However, for currency lookback options, this method is not consistent with the corresponding continuous models, which leads to slow speed of convergence. On the basis of the PDE approach, we develop a consistent numerical scheme called the modified binomial tree method. It possesses one order of accuracy and its efficiency is demonstrated by numerical experiments. The convergence proofs are also produced in terms of numerical analysis and the notion of viscosity solution.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/PL00011553
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    Paper (German National Licenses)
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  • 2
    Electronic Resource
    Electronic Resource
    OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT (2004)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishers, Inc.
    Mathematical finance 14 (2004), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The reset right embedded in an option contract is the privilege given to the option holder to reset certain terms in the contract according to specified rules at the moment of shouting, where the time to shout is chosen optimally by the holder. For example, a shout option with strike reset right entitles its holder to choose the time to take ownership of an at-the-money option. This paper develops the theoretical framework of analyzing the optimal shouting policies to be adopted by the holder of an option with reset right on the strike price. It is observed that the optimal shouting policy depends on the time dependent behaviors of the expected discounted value of the at-the-money option received upon shouting. During the time period when the theta of the expected discounted value of the new option received is positive, it is never optimal for the holder to shout at any level of asset value. At those times when the theta is negative, we show that there exists a threshold value for the asset price above which the holder of a reset put option should shout optimally. For the shout floor, we obtain an analytic representation of the price function. For the reset put option, we derive the integral representation of the shouting right premium and analyze the asymptotic behaviors of the optimal shouting boundaries at time close to expiry and infinite time from expiry. We also provide numerical results for the option values and shouting boundaries using the binomial scheme and recursive integration method. Accuracy and run time efficiency of these two numerical schemes are compared.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0960-1627.2004.00196.x
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  • 3
    Electronic Resource
    Electronic Resource
    QUANTO LOOKBACK OPTIONS (2004)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishers, Inc.
    Mathematical finance 14 (2004), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The lookback feature in a quanto option refers to the payoff structure where the terminal payoff of the quanto option depends on the realized extreme value of either the stock price or the exchange rate. In this paper, we study the pricing models of European and American lookback options with the quanto feature. The analytic price formulas for two types of European-style quanto lookback options are derived. The success of the analytic tractability of these quanto lookback options depends on the availability of a succinct analytic representation of the joint density function of the extreme value and terminal value of the stock price and exchange rate. We also analyze the early exercise policies and pricing behaviors of the quanto lookback options with the American feature. The early exercise boundaries of these American quanto lookback options exhibit properties that are distinctive from other two-state American option models.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0960-1627.2004.00199.x
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  • 4
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    Biochemical properties of Bacillus Calmette Guerin ribonuclease III (2015)
    Wiley-Blackwell
    Details
    Publication Date: 2015-12-04
    Description: Double-stranded RNA (dsRNA) is discovered to participate in the regulation of gene expression in both bacterial and eukaryotic cells. Members of ribonuclease III (RNase III) family recognize RNA motifs and cleave substrates at specific sites in a divalent-metal-ion-dependent manner. In this study, we find the RNase III from Bacillus Calmette Guerin (BCG-RNase III) cleaves small hairpin RNA based on the conserved stem structure associated with Mycobacterium 16S ribosomal RNA precursor at specific sites which are not determined. To evaluate the influence of remnant endogenous ribonucleases from expression host on RNA cleavage assays for RNase III, we use E44A and D48A mutant of the enzyme to perform RNA cleavage assays and find that remnant ribonucleases have no effect on cleavage assays. The RNA cleavage activity of the enzyme can be supported by Mg 2+ , Mn 2+ , and Co 2+ and enhanced with the increasing salt concentration. The catalytic activity of the enzyme is exhibited when the temperature of the reaction buffer ranges from 30 to 55 °C and the pH of the buffer from 7.0 to 10.0. Two major cleavage sites in RNA substrate are identified using RNA Ligase Mediated Rapid Amplification of cDNA Ends (RLM-RACE).
    Print ISSN: 0233-111X
    Electronic ISSN: 1521-4028
    Topics: Biology
    Published by Wiley-Blackwell
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  • 5
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    Chronic Inflammation-elicited Liver Progenitor Cell Conversion to Liver Cancer Stem Cell with Clinical Significance (2017)
    Wiley-Blackwell
    Details
    Publication Date: 2017-07-18
    Description: The substantial heterogeneity and hierarchical organization in liver cancer supports the theory of liver cancer stem cell (LCSC). However, the relationship between chronic hepatic inflammation and LCSC generation remains obscure. Here we observed a close correlation between aggravated inflammation and liver progenitor cell (LPC) propagation in the cirrhotic liver of rats exposed to diethylnitrosamine. LPCs isolated from the rat cirrhotic liver initiated subcutaneous liver cancers in NOD/SCID mice, suggesting the malignant transformation of LPC toward LCSC. Interestingly, depletion of Kupffer cells in vivo attenuated the LCSC properties of transformed LPCs and suppressed CK19 + OV6 + tumor occurrence. Conversely, LPCs co-cultured with macrophages exhibited enhanced LCSC properties. We further demonstrated that macrophage-secreted TNF-α triggered chromosomal instability in LPCs via the deregulation of ubiquitin D and Checkpoint kinase 2, and enhanced the self-renewal of LPCs through TNFR1/Src/STAT3 pathway, which synergistically contributed to the conversion of LPCs to LCSCs. Clinical investigation revealed that CK19 + OV6 + liver cancer patients displayed a worse prognosis and exhibited superior response to sorafenib treatment. In conclusion, our results not only clarified the cellular and molecular mechanism underlying the inflammation-mediated LCSC generation, but also provided a novel molecular classification for the individualized treatment of liver cancer. This article is protected by copyright. All rights reserved.
    Print ISSN: 0270-9139
    Electronic ISSN: 1527-3350
    Topics: Medicine
    Published by Wiley-Blackwell on behalf of The American Association for the Study of Liver Diseases.
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  • 6
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    Generalized diffraction-stack migration and filtering of coherent noise (2014)
    Wiley-Blackwell
    Details
    Publication Date: 2014-01-28
    Description: ABSTRACT We reformulate the equation of reverse-time migration so that it can be interpreted as summing data along a series of hyperbola-like curves, each one representing a different type of event such as a reflection or multiple. This is a generalization of the familiar diffraction-stack migration algorithm where the migration image at a point is computed by the sum of trace amplitudes along an appropriate hyperbola-like curve. Instead of summing along the curve associated with the primary reflection, the sum is over all scattering events and so this method is named generalized diffraction-stack migration. This formulation leads to filters that can be applied to the generalized diffraction-stack migration operator to mitigate coherent migration artefacts due to, e.g., crosstalk and aliasing. Results with both synthetic and field data show that generalized diffraction-stack migration images have fewer artefacts than those computed by the standard reverse-time migration algorithm. The main drawback is that generalized diffraction-stack migration is much more memory intensive and I/O limited than the standard reverse-time migration method.
    Print ISSN: 0016-8025
    Electronic ISSN: 1365-2478
    Topics: Geosciences , Physics
    Published by Wiley-Blackwell
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  • 7
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    Pattern of HIV testing and multiple sexual partnerships among men who have sex with men in China (2013)
    BioMed Central
    Details
    Publication Date: 2013-11-17
    Description: Background: Men who have sex with men (MSM) are a hidden but emerging population susceptible to HIV infection against a background of rapidly increasing HIV prevalence in China. Low HIV testing levels and multiple partnerships among MSM are two major contributing factors to HIV transmission. Methods: We conducted a cross-sectional survey among 447 Chinese MSM in Changsha and Tianjin cities from November to December 2011 using an anonymous questionnaire. We aim to investigate (1) the trend of HIV testing rates among Chinese MSM during 2009 to 2011; and (2) the patterns of multiple sexual relationships with male, female and commercial partners. Results: The self-reported past-12-months HIV testing level among Chinese MSM increased from 16.6% in 2009 to 46.3% in 2010 and 58.6% in 2011 (chi2 = 173.49, p 〈 0.001). Compared with men who have tested for HIV, the never-tested MSM were generally younger, never married, students, and more likely to have unprotected anal intercourse with non-commercial male partners. Furthermore, 21.3% (56/263) MSM reported having multiple regular male and female sexual partnerships and 6.2% (16/257) reported having commercial male partners in the past six months. However, individuals who were never-tested for HIV are consistently less likely to engage in multiple sexual relationships. Conclusions: HIV testing rates have increased substantially among Chinese MSM in the period 2009--2011, although significant barriers to testing remain. Multiple sexual partnerships, and especially bisexual behaviours, are common among Chinese MSM.
    Electronic ISSN: 1471-2334
    Topics: Medicine
    Published by BioMed Central
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  • 8
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    Organo-Soluble Porphyrin Mixed Monolayer-Protected Gold Nanorods with Intercalated Fullerenes (2012)
    American Chemical Society (ACS)
    In: Langmuir
    Details
    Publication Date: 2012-03-29
    Description: Langmuir DOI: 10.1021/la300096n
    Print ISSN: 0743-7463
    Electronic ISSN: 1520-5827
    Topics: Chemistry and Pharmacology
    Published by American Chemical Society (ACS)
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  • 9
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    Dynamic Complexity of an Ivlev-Type Prey-Predator System with Impulsive State Feedback Control (2012)
    Hindawi
    Details
    Publication Date: 2012-08-10
    Description: The dynamic complexities of an Ivlev-type prey-predator system with impulsive state feedback control are studied analytically and numerically. Using the analogue of the Poincaré criterion, sufficient conditions for the existence and the stability of semitrivial periodic solutions can be obtained. Furthermore, the bifurcation diagrams and phase diagrams are investigated by means of numerical simulations, which illustrate the feasibility of the main results presented here.
    Print ISSN: 1110-757X
    Electronic ISSN: 1687-0042
    Topics: Mathematics
    Published by Hindawi
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  • 10
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    Delay-induced instability in a nutrient-phytoplankton system with flow (2015)
    American Physical Society (APS)
    Details
    Publication Date: 2015-04-01
    Description: Author(s): Chuanjun Dai, Min Zhao, Hengguo Yu, and Yapei Wang In this paper, a nutrient-phytoplankton system described by a couple of advection-diffusion-reaction equations with delay was studied analytically and numerically. The aim of this research was to provide an understanding of the impact of delay on instability. Significantly, delay cannot only induce ... [Phys. Rev. E 91, 032929] Published Tue Mar 31, 2015
    Keywords: Nonlinear Dynamics and Chaos
    Print ISSN: 1539-3755
    Electronic ISSN: 1550-2376
    Topics: Physics
    Published by American Physical Society (APS)
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