Lookback option pricing using the Fourier transform B-spline method

We derive a new, efficient closed-form formula approximating the price of discrete lookback options, whose underlying asset price is driven by an exponential semimartingale process, which includes (jump) diffusions, Lévy models, affine processes and other models. The derivation of our pricing formula is based on inverting the Fourier transform using B-spline approximation theory. We give an error bound for our formula and establish its fast rate of convergence to the true price. Our method provides lookback option prices across the quantum of strike prices with greater efficiency than for a single strike price under existing methods. We provide an alternative proof to the Spitzer formula for the characteristic function of the maximum of a discretely observed stochastic process, which yields a numerically efficient algorithm based on convolutions. This is an important result which could have a wide range of applications in which the Spitzer formula is utilized. We illustrate the numerical efficiency of our algorithm by applying it in pricing fixed and floating discrete lookback options under Brownian motion, jump diffusion models, and the variance gamma process

Smooth Termination of Rotational Bands in 62Zn: Evidence for a Loss of Collectivity

Two sets of strongly coupled rotational bands have been identified in Zn-62. These bands have been observed up to the terminating states of their respective configurations. Lifetime measurements indicate that the transition quadrupole moments in these bands decrease as termination is approached. These results establish the first terminating states of rotational bands in the A similar to 60 mass region and confirm the predicted loss of collectivity associated with smooth band termination

Decay Out of the Doubly Magic Superdeformed Band in the N=Z Nucleus 60Zn

The doubly magic superdeformed band in the N = Z nucleus Zn-60 has been identified. Linking transitions connecting this band to the yrast line provide the first spin, parity, and excitation energy measurements for superdeformed states in the A similar to 60 region. The stretched-E2 character and relatively large B(E2) values of these transitions suggest a nonstatistical decay-out process

The Sudbury Neutrino Observatory

The Sudbury Neutrino Observatory is a second generation water Cherenkov detector designed to determine whether the currently observed solar neutrino deficit is a result of neutrino oscillations. The detector is unique in its use of D2O as a detection medium, permitting it to make a solar model-independent test of the neutrino oscillation hypothesis by comparison of the charged- and neutral-current interaction rates. In this paper the physical properties, construction, and preliminary operation of the Sudbury Neutrino Observatory are described. Data and predicted operating parameters are provided whenever possible.Comment: 58 pages, 12 figures, submitted to Nucl. Inst. Meth. Uses elsart and epsf style files. For additional information about SNO see http://www.sno.phy.queensu.ca . This version has some new reference