Valuing options in Heston's stochastic volatility model: Another analytical approach

We are concerned with the valuation of European options in Heston's stochastic volatility model with correlation. Based on Mellin transforms we present new closed-form solutions for the price of European options and hedging parameters. In contrast to Fourier-based approaches where the transformation variable is usually the log-stock price at maturity, our framework focuses on transforming the current stock price. Our solution has the nice feature that similar to the approach of Carr and Madan (1999) it requires only a single integration. We make numerical tests to compare our results to Heston's solution based on Fourier inversion and investigate the accuracy of the derived pricing formulae. --Stochastic volatility,European option,Mellin transform

On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options

We extend a framework based on Mellin transforms and show how to modify the approach to value American call options on dividend paying stocks. We present a new integral equation to determine the price of an American call option and its free boundary using modi ed Mellin transforms. We also show how to derive the pricing formula for perpetual American call options using the new framework. A recovery of a result due to Kim (1990) regarding the optimal exercise price at expiry is also presented. Finally, we apply Gauss-Laguerre quadrature for the purpose of an efficient and accurate numerical valuation. --Modified Mellin transform,American call option,Integral representation

Pricing American options with Mellin transforms

Mellin transforms in option pricing theory were introduced by Panini and Srivastav (2004). In this contribution, we generalize their results to European power options. We derive Black-Scholes-Merton-like valuation formulas for European power put options using Mellin transforms. Thereafter, we restrict our attention to plain vanilla options on dividend-paying stocks and derive the integral equations to determine the free boundary and the price of American put options using Mellin transforms. We recover a result found by Kim (1990) regarding the optimal exercise price of American put options at expiry and prove the equivalence of integral representations herein, the representation derived by Kim (1990), Jacka (1991), and by Carr et al. (1992). Finally, we extend the results obtained in Panini and Srivastav (2005) and show how the Mellin transform approach can be used to derive the valuation formula for perpetual American put options on dividend-paying stocks. --Mellin transform,Power option,American put option,Free boundary,Integral representation

Textile structures modeled on a spider's net

Innovative textile fabrics modelled on the structure of a spider web can find application in the reinforcing of composites in conditions of where a centrifugal force occurs, for example rotational discs. At the Institute of Architecture of Textile at the Technical University of Łódź research work is carried out on mechanised production of woven fabrics whose struc- ture is modelled on a spider webweb. The paper presents a review of textile techniques and technologies from the point of view of their usefulness for producing fabrics of a flat round net type structure modelled on the structure of a spider web.There is also an analysis of the mechanical properties of the different textile structures from the point of view of fulfilling the requirements to operate in conditions which are affected by a centrifugal force

Examination of Eco-Behavioral Assessments Designed for Understanding Complex Behaviors and Environments.

Second-generation intervention research requires methods for overcoming challenges to understanding complex learning ecologies and interactions of students. Eco-behavioral assessments (EBAs) are one solution to past intervention research challenges. EBAs record the effects of ecological variables in students’ behavior and daily interactions. The utility of EBAs in second-generation research has increased substantially. Numerous EBAs now exist for use with all ages of learners and provide a valid, reliable, and cost effective method for intervention research. This paper examines 18 EBAs as well as software systems designed to support and enhance the use of EBAs. The examination serves as a comprehensive resource to better understand how EBAs can be used in answering complex questions about students’ learning and for advancing second-generation research

Couette-Poiseuille flow experiment with zero mean advection velocity: Subcritical transition to turbulence

We present a new experimental set-up that creates a shear flow with zero mean advection velocity achieved by counterbalancing the nonzero streamwise pressure gradient by moving boundaries, which generates plane Couette-Poiseuille flow. We carry out the first experimental results in the transitional regime for this flow. Using flow visualization we characterize the subcritical transition to turbulence in Couette-Poiseuille flow and show the existence of turbulent spots generated by a permanent perturbation. Due to the zero mean advection velocity of the base profile, these turbulent structures are nearly stationary. We distinguish two regions of the turbulent spot: the active, turbulent core, which is characterized by waviness of the streaks similar to traveling waves, and the surrounding region, which includes in addition the weak undisturbed streaks and oblique waves at the laminar-turbulent interface. We also study the dependence of the size of these two regions on Reynolds number. Finally, we show that the traveling waves move in the downstream (Poiseuille).Comment: 17 pages, 15 figure

Occupant satisfaction in LEED and non-LEED certified buildings

Occupant satisfaction with indoor environmental quality (IEQ) in office buildings has been positively correlated to self-estimated job performance and, potentially, to overall company productivity. LEED is a voluntary, consensus-based, market-driven program that provides third-party certification of green buildings, contributing to promote sustainability into the mainstream of building design and construction. From the literature, however, it is unclear the extent to which LEED certification also improves occupant satisfaction with IEQ. The aim of this paper is to study if LEED certified buildings lead to a higher, equal or lower satisfaction with indoor environmental quality than non-LEED rated buildings. Occupant satisfaction has been evaluated on a subset of the Center for the Built Environment Occupant Indoor Environmental Quality Survey database featuring 144 buildings (65 LEED certified) and 21,477 individual occupant responses (10,129 in LEED buildings). Differently from previous studies of the CBE database, the results show that occupants of LEED certified buildings have equal satisfaction with the building overall and with the workspace than occupants of non-LEED rated buildings. The difference in mean satisfaction scores between LEED and non-LEED buildings for other 15 IEQ parameters investigated is always lower than 6% with a negligible effect size. Therefore, it can be concluded that there is not a significant influence of LEED certification on occupant satisfaction with indoor environmental quality, although the analysis of mean votes of satisfaction reveals that occupants of LEED buildings tend to be slightly more satisfied with air quality, and slightly more dissatisfied with amount of light

Satisfaction and self-estimated performance in relation to indoor environmental parameters and building features

The paper examines how satisfaction with indoor environmental parameters and building features affects satisfaction and self-estimated job performance. The analyses used subjective responses from around 50,000 occupants collected mainly in US office buildings using a web-based survey administered by the Center for the Built Environment (CBE) over the period of ten years. Overall satisfaction with the workspace significantly improved self-estimated job performance; increased satisfaction with temperature was estimated to provide the greatest improvement in self-estimated job performance, followed by increase in satisfaction with noise and air quality. The improvement of building features such as amount of space, visual privacy and noise level offered the highest chance to improve satisfaction with workspace. The study implies that it should be carefully considered how investments to upgrade indoor environmental quality and building design are used, and that they should consider whether comfort or working morale are expected to be improved.&nbsp