An empirical comparison of the performance of alternative option pricing models

Published as an article in: Investigaciones Economicas, 2005, vol. 29, issue 3, pages 483-523.option pricing, conditional volatility, SNN Nonparametric estimator

Empirical Performance of Alternative Option Pricing Models for Commodity Futures Options

The central part of pricing agricultural commodity futures options is to find appropriate stochastic process of the underlying assets. The Black's (1976) futures option pricing model laid the foundation for a new era of futures option valuation theory. The geometric Brownian motion assumption girding the Black's model, however, has been regarded as unrealistic in numerous empirical studies. Option pricing models incorporating discrete jumps and stochastic volatility have been studied extensively in the literature. This study tests the performance of major alternative option pricing models and attempts to find the appropriate model for pricing commodity futures options.Marketing,

Competition among Alternative Option Market Structures: Evidence from Eurex vs. Euwax

We study option market design by providing a theoretical motivation and comprehensive empirical analysis of two fundamentally different option market structures, the Eurex derivatives exchange and Euwax, the world’s largest market for bank-issued options. These markets exist side-by- side, offering many options with identical or similar characteristics. We motivate the two market structures based on option investor clienteles which differ with respect to the probability of selling the option back to the dealer/issuer before maturity, which in turn affects the investors expected transaction costs. As suggested by the clientele argument, the most important empirical finding is that Euwax ask prices and bid prices are consistently higher than comparable Eurex ask prices and bid prices. The difference of the bid prices is larger, resulting in smaller Euwax bid-ask spreads, which makes Euwax preferable for investors with a high probability of early liquidation. We find that competition from one market reduces bid-ask spreads in the other market.Options, Market Design, Microstructure, Bid-Ask Spreads

Computational Analysis of a Spiral Thermoelectric Nanoantenna for Solar Energy Harvesting Applications

Thermo-electrical nanoantennas have been proposed as an alternative option for conversion solar energy harvesting applications. In this work, the response of a spiral broadband antenna has been obtained from numerical and theoretical simulations perspectives. The results show that this device exhibits a responsivity of 20mV/W under 117W/cm2, for a single-frequency radiation. We discuss strategies for enhanced efficiency

An alternative option to the dual-probe out-of-ecliptic mission via Jupiter swingby

The possibility of having a high-inclination out-of-the-ecliptic probe complemented by a second probe going from Jupiter to the sun along a rectilinear path (at least for the segment from 0.3 a.u. inward to the sun) is theoretically examined. Orbit calculations of spacecraft trajectories are included

Lithium as an Alternative Option in Graves Thyrotoxicosis

A 67-year-old woman was admitted with signs and symptoms of Graves thyrotoxicosis. Biochemistry results were as follows: TSH was undetectable; FT4 was \u3e6.99 ng/dL (0.7–1.8); FT3 was 18 pg/mL (3–5); TSI was 658% (0–139). Thyroid uptake and scan showed diffusely increased tracer uptake in the thyroid gland. The patient was started on methimazole 40 mg BID, but her LFTs elevated precipitously with features of fulminant hepatitis. Methimazole was determined to be the cause and was stopped. After weighing pros and cons, lithium was initiated to treat her persistent thyrotoxicosis. Lithium 300 mg was given daily with a goal to maintain between 0.4 and 0.6. High dose Hydrocortisone and propranolol were also administered concomitantly. Free thyroid hormone levels decreased and the patient reached a biochemical and clinical euthyroid state in about 8 days. Though definitive RAI was planned, the patient has been maintained on lithium for more than a month to control her hyperthyroidism. Trial removal of lithium results in reemergence of thyrotoxicosis within 24 hours. Patient was maintained on low dose lithium treatment with lithium level just below therapeutic range which was sufficient to maintain euthyroid state for more than a month. There were no signs of lithium toxicity within this time period. Conclusion. Lithium has a unique physiologic profile and can be used to treat thyrotoxicosis when thionamides cannot be used while awaiting elective radioablation. Lithium levels need to be monitored; however, levels even at subtherapeutic range may be sufficient to treat thyrotoxicosis

Prospects of economic cooperation in the Bangladesh, China, India and Myanmar region: A quantitative assessment

This paper quantifies the economic impact of Bangladesh, China, India and Myanmar (BCIM) economic cooperation and compares it with the alternative option of expanding South Asian Free Trade Area (SAFTA) with China and Myanmar. The paper examines the macro-economic performance of the individual countries and the current level of trade among the BCIM member countries at the regional level.BCIM, SAFTA, Economic Impact

Tofacitinib in the management of active psoriatic arthritis: patient selection and perspectives.

Tofacitinib is an oral Janus kinase inhibitor approved for the treatment of psoriatic arthritis (PsA). It provides an alternative option for patients who have had an inadequate response and tolerance to other disease modifying antirheumatic drugs (DMARDs). It has demonstrated comparable efficacy to biologics, is effective in the management of treatment resistant disease, and is reported to improve enthesitis, dactylitis, and radiographic progression. Tofacitinib is also associated with an increased risk of serious infections, malignancy, and laboratory abnormalities. There is currently a large armamentarium of therapies for psoriatic arthritis, and choosing among treatments can be challenging. Due to this wide selection, a thorough assessment of psoriatic disease phenotype, patient preference, disease presentation, and comorbidities is critical. This review addresses key considerations in patient selection for the treatment of PsA with tofacitinib

An empirical comparison of the performance of alternative option pricing models

Published as an article in: Investigaciones Economicas, 2005, vol. 29, issue 3, pages 483-523.This paper presents a comparison of alternative option pricing models based neither on jump-diffusion nor stochastic volatility data generating processes. We assume either a smooth volatility function of some previously defined explanatory variables or a model in which discrete-based observations can be employed to estimate both path-dependence volatility and the negative correlation between volatility and underlying returns. Moreover, we also allow for liquidity frictions to recognize that underlying markets may not be fully integrated. The simplest models tend to present a superior out-of sample performance and a better hedging ability, although the model with liquidity costs seems to display better in-sample behavior. However, none of the models seems to be able to capture the rapidly changing distribution of the underlying index return or the net buying pressure characterizing option markets.Eva Ferreira and Gonzalo Rubio acknowledge the financial support provided by Ministerio de Ciencia y Tecnología grant BEC2001-0636

Degradation of BTEX by anaerobic bacteria: physiology and application

Pollution of the environment with aromatic hydrocarbons, such as benzene, toluene, ethylbenzene and xylene (so-called BTEX) is often observed. The cleanup of these toxic compounds has gained much attention in the last decades. In situ bioremediation of aromatic hydrocarbons contaminated soils and groundwater by naturally occurring microorganisms or microorganisms that are introduced is possible. Anaerobic bioremediation is an attractive technology as these compounds are often present in the anoxic zones of the environment. The bottleneck in the application of anaerobic techniques is the lack of knowledge about the anaerobic biodegradation of benzene and the bacteria involved in anaerobic benzene degradation. Here, we review the existing knowledge on the degradation of benzene and other aromatic hydrocarbons by anaerobic bacteria, in particular the physiology and application, including results on the (per)chlorate stimulated degradation of these compounds, which is an interesting new alternative option for bioremediatio