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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, LĂ©vy 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
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