Alternative Care Sites: An Option in Disasters

During the current COVID-19 pandemic, the limited surge capacity of the healthcare system is being quickly overwhelmed. Similar scenarios play out when an institution’s systems fail, or when local or regional disasters occur. In these situations, it becomes necessary to use one or more alternative care sites (ACS). Situated in a variety of non-healthcare structures, ACS may be used for ambulatory, acute, subacute, or chronic care. Developing alternative care facilities is the disaster-planning step that moves communities from talking to doing. This commitment pays real dividends if a disaster of any magnitude strikes. This paper discusses the basic criteria for selecting, establishing and ultimately closing an ACS, difficulties of administration, staffing, security, and providing basic supplies and equipment

Is it Worth Tracking Dollar/Real Implied Volatility?

In this paper we examine the relation between dollar-real exchange rate volatility implied in option prices and subsequent realized volatility, in the period of February 1999 to June 2000. Our results are in line with recent literature, suggesting that the implied volatility obtained from a simple option-pricing model, although an upward-biased estimator of future volatility does provide information about volatility over the remaining life of the option, which is not present in past returns. Results are robust to the choice of two alternative time series models to explore information embedded in returns, a fixed volatility and a GARCH (1,1) model, even allowing for in-sample forecasts by the GARCH (1,1) model. Results are also robust to the choice of measuring realized volatility in two alternative ways.

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,

On the Relay-Fallback Tradeoff in Millimeter Wave Wireless System

Millimeter wave (mmWave) communications systems are promising candidate to support extremely high data rate services in future wireless networks. MmWave communications exhibit high penetration loss (blockage) and require directional transmissions to compensate for severe channel attenuations and for high noise powers. When blockage occurs, there are at least two simple prominent options: 1) switching to the conventional microwave frequencies (fallback option) and 2) using an alternative non-blocked path (relay option). However, currently it is not clear under which conditions and network parameters one option is better than the other. To investigate the performance of the two options, this paper proposes a novel blockage model that allows deriving maximum achievable throughput and delay performance of both options. A simple criterion to decide which option should be taken under which network condition is provided. By a comprehensive performance analysis, it is shown that the right option depends on the payload size, beam training overhead, and blockage probability. For a network with light traffic and low probability of blockage in the direct link, the fallback option is throughput- and delay-optimal. For a network with heavy traffic demands and semi-static topology (low beam-training overhead), the relay option is preferable.Comment: 6 pages, 5 figures, accepted in IEEE INFOCOM mmNet Worksho

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

Forecasting stock market volatility and the informational efficiency of the DAX-index options market

Alternative strategies for predicting stock market volatility are examined. In out-of-sample forecasting experiments implied-volatility information, derived from contemporaneously observed option prices or history-based volatility predictors, such as GARCH models, are investigated, to determine if they are more appropriate for predicting future return volatility. Employing German DAX-index return data it is found that past returns do not contain useful information beyond the volatility expectations already reflected in option prices. This supports the efficient market hypothesis for the DAX-index options market