Nonsimultaneity and Futures Option Pricing: Simulation and Empirical Evidence

Empirical tests of option pricing models are joint tests of the 'correctness' of the model, the efficiency of the market and the simultaneity of price observations. Some degree of nonsimultaeity can be expected in all but the most liquid markets and is therefore evident in many non-US markets. Simulation results indicate that nonsimultaneity is potentially a significant problem in empirical tests of futures option pricing models. Empirical results using Australian data show that a five-minute window for matching transactions does not remove the nonsimultaneity bias for near-the-money and out-of-the money options. A more accurate matching may therefore be required. The nonsimultaneity bias is effectively removed if a five-minute window is employed for in-the-money options.Nonsimultaneity; Futures option; Mispricing

A flow calorimeter for determining combustion efficiency from residual enthalpy of exhaust gases

A flow calorimeter for determining the combustion efficiency of turbojet and ram-jet combustors from measurement of the residual enthalpy of combustion of the exhaust gas is described. Briefly, the calorimeter catalytically oxidizes the combustible constituents of exhaust-gas samples, and the resultant temperature rise is measured. This temperature rise is related to the residual enthalpy of combustion of the sample by previous calibration of the calorimeter. Combustion efficiency can be calculated from a knowledge of the residual enthalpy of the exhaust gas and the combustor input enthalpy. An accuracy of +-0.2 Btu per cubic foot was obtained with prepared fuel-air mixtures, and the combustion efficiencies of single turbojet combustors measured by both the flow-calorimeter and heat-balance methods compared within 3 percentage units. Flow calorimetry appears to be a suitable method for determining combustion efficiencies at high combustor temperatures where ordinary thermocouples cannot be used. The method is fundamentally more accurate than heat-balance methods at high combustion efficiencies and can be used to verify near-100-percent efficiency data

Effect of Dissolved Oxygen on the Filterability of Jet Fuels for Temperatures Between 300 Degrees and 400 Degrees F

The effect of dissolved oxygen in the filter-clogging characteristics of three JP-4 and two JP-5 fuels was studied at 300 degrees to 400 degrees F in a bench- scale rig, employing filter paper as the filter medium. The residence time of the fuel at the high temperature was approximately 6 seconds. For these conditions, the clogging characteristics of the fuels increased with both increasing temperature and increasing concentration of dissolved oxygen. The amount of insoluble material formed at high temperatures necessary to produce clogging of filters was very small, of the order of 1 milligram per gallon of fuel

Fuel characteristics pertinent to the design of aircraft fuel systems, Supplement I : additional information on MIL-F-7914(AER) grade JP-5 fuel and several fuel oils

Since the release of the first NACA publication on fuel characteristics pertinent to the design of aircraft fuel systems (NACA-RM-E53A21), additional information has become available on MIL-F7914(AER) grade JP-5 fuel and several of the current grades of fuel oils. In order to make this information available to fuel-system designers as quickly as possible, the present report has been prepared as a supplement to NACA-RM-E53A21. Although JP-5 fuel is of greater interest in current fuel-system problems than the fuel oils, the available data are not as extensive. It is believed, however, that the limited data on JP-5 are sufficient to indicate the variations in stocks that the designer must consider under a given fuel specification. The methods used in the preparation and extrapolation of data presented in the tables and figures of this supplement are the same as those used in NACA-RM-E53A21