scholarly journals Randomized Binomial Tree and Pricing of American-Style Options

2014 ◽  
Vol 2014 ◽  
pp. 1-6 ◽  
Author(s):  
Hu Xiaoping ◽  
Cao Jie
Keyword(s):  
American Option ◽  
Option Prices ◽  
Occurrence Probability ◽  
Binomial Tree ◽  
No Arbitrage ◽  
Complete Market ◽  
Cubic Polynomial ◽  
American Style ◽  
The Impact ◽  
And Storage

Randomized binomial tree and methods for pricing American options were studied. Firstly, both the completeness and the no-arbitrage conditions in the randomized binomial tree market were proved. Secondly, the description of the node was given, and the cubic polynomial relationship between the number of nodes and the time steps was also obtained. Then, the characteristics of paths and storage structure of the randomized binomial tree were depicted. Then, the procedure and method for pricing American-style options were given in a random binomial tree market. Finally, a numerical example pricing the American option was illustrated, and the sensitivity analysis of parameter was carried out. The results show that the impact of the occurrence probability of the random binomial tree environment on American option prices is very significant. With the traditional complete market characteristics of random binary and a stronger ability to describe, at the same time, maintaining a computational feasibility, randomized binomial tree is a kind of promising method for pricing financial derivatives.

New Bounds on American Option Prices

2007 ◽  
Author(s):  
In Joon Kim ◽  
Geun Hyuk Chang ◽  
Suk-Joon Byun
Keyword(s):  
American Option ◽  
Option Prices

scholarly journals The Impact of Alkaloid-Producing Epichloë Endophyte on Forage Ryegrass Breeding: A New Zealand Perspective

Toxins ◽  
2021 ◽  
Vol 13 (2) ◽  
pp. 158
Author(s):  
Colin Eady
Keyword(s):  
Seed Production ◽  
Health Issues ◽  
Abiotic Stressors ◽  
Livestock Health ◽  
The Right ◽  
The Impact ◽  
The Relationship ◽  
And Storage ◽  
Selection Of ◽  
Epichloë Endophyte

For 30 years, forage ryegrass breeding has known that the germplasm may contain a maternally inherited symbiotic Epichloë endophyte. These endophytes produce a suite of secondary alkaloid compounds, dependent upon strain. Many produce ergot and other alkaloids, which are associated with both insect deterrence and livestock health issues. The levels of alkaloids and other endophyte characteristics are influenced by strain, host germplasm, and environmental conditions. Some strains in the right host germplasm can confer an advantage over biotic and abiotic stressors, thus acting as a maternally inherited desirable ‘trait’. Through seed production, these mutualistic endophytes do not transmit into 100% of the crop seed and are less vigorous than the grass seed itself. This causes stability and longevity issues for seed production and storage should the ‘trait’ be desired in the germplasm. This makes understanding the precise nature of the relationship vitally important to the plant breeder. These Epichloë endophytes cannot be ‘bred’ in the conventional sense, as they are asexual. Instead, the breeder may modulate endophyte characteristics through selection of host germplasm, a sort of breeding by proxy. This article explores, from a forage seed company perspective, the issues that endophyte characteristics and breeding them by proxy have on ryegrass breeding, and outlines the methods used to assess the ‘trait’, and the application of these through the breeding, production, and deployment processes. Finally, this article investigates opportunities for enhancing the utilisation of alkaloid-producing endophytes within pastures, with a focus on balancing alkaloid levels to further enhance pest deterrence and improving livestock outcomes.

scholarly journals Overall Efficiency of On-Site Production and Storage of Solar Thermal Energy

2021 ◽  
Vol 13 (3) ◽  
pp. 1360
Author(s):  
Teodora M. Șoimoșan ◽  
Ligia M. Moga ◽  
Livia Anastasiu ◽  
Daniela L. Manea ◽  
Aurica Căzilă ◽  
...  
Keyword(s):  
Energy Efficiency ◽  
Thermal Energy ◽  
Urban Areas ◽  
Renewable Energy Sources ◽  
Multicriteria Analysis ◽  
High Energy ◽  
Solar Thermal ◽  
Solar Thermal Energy ◽  
The Impact ◽  
And Storage

Harnessing renewable energy sources (RES) using hybrid systems for buildings is almost a deontological obligation for engineers and researchers in the energy field, and increasing the percentage of renewables within the energy mix represents an important target. In crowded urban areas, on-site energy production and storage from renewables can be a real challenge from a technical point of view. The main objectives of this paper are quantification of the impact of the consumer’s profile on overall energy efficiency for on-site storage and final use of solar thermal energy, as well as developing a multicriteria assessment in order to provide a methodology for selection in prioritizing investments. Buildings with various consumption profiles lead to achieving different values of performance indicators in similar configurations of storage and energy supply. In this regard, an analysis of the consumption profile’s impact on overall energy efficiency, achieved in the case of on-site generation and storage of solar thermal energy, was performed. The obtained results validate the following conclusion: On-site integration of solar systems allowed the consumers to use RES at the desired coverage rates, while restricted by on-site available mounting areas for solar fields and thermal storage, under conditions of high energy efficiencies. In order to segregate the results and support optimal selection, a multicriteria analysis was carried out, having as the main criteria the energy efficiency indicators achieved by hybrid heating systems.

scholarly journals Influence of the Anthocyanin and Cofactor Structure on the Formation Efficiency of Naturally Derived Pyranoanthocyanins

2021 ◽  
Vol 22 (13) ◽  
pp. 6708
Author(s):  
Gonzalo Miyagusuku-Cruzado ◽  
Danielle M. Voss ◽  
M. Monica Giusti
Keyword(s):  
Caffeic Acid ◽  
Chemical Structure ◽  
Sinapic Acid ◽  
Molar Ratio ◽  
Tandem Mass ◽  
Limited Information ◽  
Formation Efficiency ◽  
The Impact ◽  
And Storage ◽  
H 20

Pyranoanthocyanins are anthocyanin-derived pigments with higher stability to pH and storage. However, their slow formation and scarcity in nature hinder their industrial application. Pyranoanthocyanin formation can be accelerated by selecting anthocyanin substitutions, cofactor concentrations, and temperature. Limited information is available on the impacts of the chemical structure of the cofactor and anthocyanin; therefore, we evaluated their impacts on pyranoanthocyanin formation efficiency under conditions reported as favorable for the reaction. Different cofactors were evaluated including pyruvic acid, acetone, and hydroxycinnamic acids (p-coumaric, caffeic, ferulic, and sinapic acid) by incubating them with anthocyanins in a molar ratio of 1:30 (anthocyanin:cofactor), pH 3.1, and 45 °C. The impact of the anthocyanin aglycone was evaluated by incubating delphinidin, cyanidin, petunidin, or malvidin derivatives with the most efficient cofactor (caffeic acid) under identical conditions. Pigments were identified using UHPLC-PDA and tandem mass spectrometry, and pyranoanthocyanin formation was monitored for up to 72 h. Pyranoanthocyanin yields were the highest with caffeic acid (~17% at 72 h, p < 0.05). When comparing anthocyanins, malvidin-3-O-glycosides yielded twice as many pyranoanthocyanins after 24 h (~20%, p < 0.01) as cyanidin-3-O-glycosides. Petunidin- and delphinidin-3-O-glycosides yielded <2% pyranoanthocyanins. This study demonstrated the importance of anthocyanin and cofactor selection in pyranoanthocyanin production.

Option pricing under the fractional stochastic volatility model

2021 ◽  
Vol 63 ◽  
pp. 123-142
Author(s):  
Yuecai Han ◽  
Zheng Li ◽  
Chunyang Liu
Keyword(s):  
Brownian Motion ◽  
Option Pricing ◽  
Fractional Brownian Motion ◽  
Stochastic Volatility ◽  
Option Price ◽  
Stochastic Volatility Model ◽  
Option Prices ◽  
European Call Option ◽  
Volatility Model ◽  
The Impact

We investigate the European call option pricing problem under the fractional stochastic volatility model. The stochastic volatility model is driven by both fractional Brownian motion and standard Brownian motion. We obtain an analytical solution of the European option price via the Itô’s formula for fractional Brownian motion, Malliavin calculus, derivative replication and the fundamental solution method. Some numerical simulations are given to illustrate the impact of parameters on option prices, and the results of comparison with other models are presented. doi:10.1017/S1446181121000225

Sign in / Sign up

Export Citation Format

Share Document