Option pricing and perfect hedging on correlated stocks

We develop a theory for option pricing with perfect hedging in an inefficient market model where the underlying price variations are autocorrelated over a time tau. This is accomplished by assuming that the underlying noise in the system is derived by an Ornstein-Uhlenbeck, rather than from a Wiener process. With a modified portfolio consisting in calls, secondary calls and bonds we achieve a riskless strategy which results in a closed expression for the European call price which is always lower than Black-Scholes price. We also obtain a partial differential equation for the option price and study the sensitivity to several parameters and the risk of the dynamics of the call price.Comment: 36 pages, 8 figures, 2 table

Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances

We propose a new class of models specifically tailored for spatio-temporal data analysis. To this end, we generalize the spatial autoregressive model with autoregressive and heteroskedastic disturbances, i.e. SARAR(1,1), by exploiting the recent advancements in Score Driven (SD) models typically used in time series econometrics. In particular, we allow for time-varying spatial autoregressive coefficients as well as time-varying regressor coefficients and cross-sectional standard deviations. We report an extensive Monte Carlo simulation study in order to investigate the finite sample properties of the Maximum Likelihood estimator for the new class of models as well as its flexibility in explaining several dynamic spatial dependence processes. The new proposed class of models are found to be economically preferred by rational investors through an application in portfolio optimization.Comment: 33 pages, 5 figure

Inclusive Scattering of Polarized Electrons on Polarized 3He Effects of Final State Interaction and the Magnetic Form Factor of the Neutron

Effects of final state interaction on asymmetries in inclusive scattering of polarized electrons on polarized 3He are investigated using consistent 3He bound state wave function and 3N continuum scattering states. Significant effects are found, which influence the extraction of the magnetic neutron form factor from A_T'. The enhancement found experimentally for A_TL' near the 3N breakup threshold, which could not be explained in calculations carried through in plane wave impulse approximation up to now, occurs now also in theory if the full final state interaction is included.Comment: 29 pages, 5 figure

Precise Neutron Magnetic Form Factors

Precise data on the neutron magnetic form factor G_{mn} have been obtained with measurements of the ratio of cross sections of D(e,e'n) and D(e,e'p) up to momentum transfers of Q^2 = 0.9 (GeV/c)^2. Data with typical uncertainties of 1.5% are presented. These data allow for the first time to extract a precise value of the magnetic radius of the neutron.Comment: 10 pages, 2 figures, submitted to Physics Letters

A precise measurement of the deuteron elastic structure function A(Q^2)

The A(Q^2) structure function in elastic electron-deuteron scattering was measured at six momentum transfers Q^2 between 0.66 and 1.80 (GeV/c)^2 in Hall C at Jefferson Laboratory. The scattered electrons and recoil deuterons were detected in coincidence, at a fixed deuteron angle of 60.5 degrees. These new precise measurements resolve discrepancies between older sets of data. They put significant constraints on existing models of the deuteron electromagnetic structure, and on the strength of isoscalar meson exchange currents.Comment: 3 LaTeX pages plus 2 PS figure

Measurement of Tensor Polarization in Elastic Electron-Deuteron Scattering at Large Momentum Transfer

Tensor polarization observables (t20, t21 and t22) have been measured in elastic electron-deuteron scattering for six values of momentum transfer between 0.66 and 1.7 (GeV/c)^2. The experiment was performed at the Jefferson Laboratory in Hall C using the electron HMS Spectrometer, a specially designed deuteron magnetic channel and the recoil deuteron polarimeter POLDER. The new data determine to much larger Q^2 the deuteron charge form factors G_C and G_Q. They are in good agreement with relativistic calculations and disagree with pQCD predictions.Comment: 5 pages, 4 figures, for associated informations, see http://isnwww.in2p3.fr/hadrons/t20/t20_ang.html clarification about several topics, one figure has been had, extraction of form factors use AQ interpolation in our Q2 range onl

Nucleon Charge and Magnetization Densities from Sachs Form Factors

Relativistic prescriptions relating Sachs form factors to nucleon charge and magnetization densities are used to fit recent data for both the proton and the neutron. The analysis uses expansions in complete radial bases to minimize model dependence and to estimate the uncertainties in radial densities due to limitation of the range of momentum transfer. We find that the charge distribution for the proton is significantly broad than its magnetization density and that the magnetization density is slightly broader for the neutron than the proton. The neutron charge form factor is consistent with the Galster parametrization over the available range of Q^2, but relativistic inversion produces a softer radial density. Discrete ambiguities in the inversion method are analyzed in detail. The method of Mitra and Kumari ensures compatibility with pQCD and is most useful for extrapolating form factors to large Q^2.Comment: To appear in Phys. Rev. C. Two new figures and accompanying text have been added and several discussions have been clarified with no significant changes to the conclusions. Now contains 47 pages including 21 figures and 2 table

Large Momentum Transfer Measurements of the Deuteron Elastic Structure Function A(Q^2) at Jefferson Laboratory

The deuteron elastic structure function A(Q^2) has been extracted in the Q^2 range 0.7 to 6.0 (GeV/c)^2 from cross section measurements of elastic electron-deuteron scattering in coincidence using the Hall A Facility of Jefferson Laboratory. The data are compared to theoretical models based on the impulse approximation with inclusion of meson-exchange currents, and to predictions of quark dimensional scaling and perturbative quantum chromodynamicsComment: Submitted to Physical Review Letter

The ratio of proton's electric to magnetic form factors measured by polarization transfer

The ratio of the proton's elastic electromagnetic form factors was obtained by measuring the transverse and longitudinal polarizations of recoiling protons from the elastic scattering of polarized electrons with unpolarized protons. The ratio of the electric to magnetic form factor is proportional to the ratio of the transverse to longitudinal recoil polarizations. The ratio was measured over a range of four-momentum transfer squared between 0.5 and 3.5 GeV-squared. Simultaneous measurement of transverse and longitudinal polarizations in a polarimeter provides good control of the systematic uncertainty. The results for the ratio of the proton's electric to magnetic form factors show a systematic decrease with increasing four momentum squared, indicating for the first time a marked difference in the spatial distribution of charge and magnetization currents in the proton.Comment: 5 pages, 2 figures, version of paper after corrections due to referees comments and shortened by removing one figure for Physical Review Letter