41,351 research outputs found
Optimal Choice Models for Executing Time to American Options
Based on the structure models of options pricing on non-dividend-paying stock [16], this paper presents the choosing models and methods of optimal time of executing an American options for the first time. By using the models and methods, we can find the choosing criterion and optimal time to exercise the American options, i.e. the product of options price and its occurring probability is at maximum. So we can decide that an American option should be exercised or not in any time. The conclusions in this paper are more important in its consulting effect for single trader and organization investors to make their security market trade.partial distribution; American options; structure pricing; optimal executing; analytic formula
Gambling in contests with regret
This paper discusses the gambling contest introduced in Seel & Strack
(Gambling in contests, Discussion Paper Series of SFB/TR 15 Governance and the
Efficiency of Economic Systems 375, Mar 2012.) and considers the impact of
adding a penalty associated with failure to follow a winning strategy.
The Seel & Strack model consists of -agents each of whom privately
observes a transient diffusion process and chooses when to stop it. The player
with the highest stopped value wins the contest, and each player's objective is
to maximise their probability of winning the contest. We give a new derivation
of the results of Seel & Strack based on a Lagrangian approach. Moreover, we
consider an extension of the problem in which in the case when an agent is
penalised when their strategy is suboptimal, in the sense that they do not win
the contest, but there existed an alternative strategy which would have
resulted in victory
Gambling in contests with random initial law
This paper studies a variant of the contest model introduced in Seel and
Strack [J. Econom. Theory 148 (2013) 2033-2048]. In the Seel-Strack contest,
each agent or contestant privately observes a Brownian motion, absorbed at
zero, and chooses when to stop it. The winner of the contest is the agent who
stops at the highest value. The model assumes that all the processes start from
a common value and the symmetric Nash equilibrium is for each agent to
utilise a stopping rule which yields a randomised value for the stopped
process. In the two-player contest, this randomised value has a uniform
distribution on . In this paper, we consider a variant of the problem
whereby the starting values of the Brownian motions are independent,
nonnegative random variables that have a common law . We consider a
two-player contest and prove the existence and uniqueness of a symmetric Nash
equilibrium for the problem. The solution is that each agent should aim for the
target law , where is greater than or equal to in convex
order; has an atom at zero of the same size as any atom of at zero,
and otherwise is atom free; on has a decreasing density; and
the density of only decreases at points where the convex order constraint
is binding.Comment: Published at http://dx.doi.org/10.1214/14-AAP1088 in the Annals of
Applied Probability (http://www.imstat.org/aap/) by the Institute of
Mathematical Statistics (http://www.imstat.org
Glass transitions in two-dimensional suspensions of colloidal ellipsoids
We observed a two-step glass transition in monolayers of colloidal ellipsoids
by video microscopy. The glass transition in the rotational degree of freedom
was at a lower density than that in the translational degree of freedom.
Between the two transitions, ellipsoids formed an orientational glass.
Approaching the respective glass transitions, the rotational and translational
fastest-moving particles in the supercooled liquid moved cooperatively and
formed clusters with power-law size distributions. The mean cluster sizes
diverge in power law as approaching the glass transitions. The clusters of
translational and rotational fastest-moving ellipsoids formed mainly within
pseudo-nematic domains, and around the domain boundaries, respectively
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