A Fast Fourier Transform Technique for Pricing European Options with Stochastic Volatility and Jump Risk

We consider European options pricing with double jumps and stochastic volatility. We derived closed-form solutions for European call options in a double exponential jump-diffusion model with stochastic volatility (SVDEJD). We developed fast and accurate numerical solutions by using fast Fourier transform (FFT) technique. We compared the density of our model with those of other models, including the Black-Scholes model and the double exponential jump-diffusion model. At last, we analyzed several effects on option prices under the proposed model. Simulations show that the SVDEJD model is suitable for modelling the long-time real-market changes and stock returns are negatively correlated with volatility. The model and the proposed option pricing method are useful for empirical analysis of asset returns and managing the corporate credit risks

Analysis of two pheromone-responsive conjugative multiresistance plasmids carrying the novel mobile optrA locus from Enterococcus faecalis

Background: The acquired optrA gene, which encodes a ribosomal protection protein of the ABC-F family, can confer cross-resistance to linezolid and florfenicol, posing a serious therapeutic challenge to both human and veterinary medicine. Purpose: The objective of this study was to investigate the two Enterococcus faecalis (E. faecalis) plasmids for their fine structure, their transferability and the presence of mobile antimicrobial resistance loci. Methods: To elucidate their fine structure, the two plasmids were completely sequenced and the sequences analysed. Besides conjugation experiments, inverse PCR assays were conducted to see whether minicircles are produced from the mobile antimicrobial resistance loci. Results: Two pheromone-responsive conjugative optrA-carrying plasmids from E. faecalis, pE211 and pE508 were identified, which can transfer with frequencies of 2.6 ×10−2 and 3.7 ×10−2 (transconjugant per donor), respectively. In both plasmids, optrA was located on the novel mobile optrA locus with different sizes (12,834 bp in pE211 and 7,561 bp in pE508, respectively), flanked by two copies of IS1216 genes in the same orientation. Inverse PCR revealed that circular forms can be generated, consisting of optrA and one copy of IS1216, indicating they are all active. The 77,562 bp plasmid pE211 also carried Tn558 and a mobile bcrABDR locus, and the 84,468 bp plasmid pE508 also harbored the genes fexA, tet(L), tet(O/W/32/O) and a mobile aac(A)-aph(D) locus. Conclusion: The presence of mobile genetic elements in these plasmids renders them flexible and these elements will aid to the persistence and dissemination of these plasmids among enterococci and potentially also other gram-positive bacteria