Decomposing and valuing callable convertible bonds: a new method based on exotic options

In the framework of Black-Scholes-Merton option pricing models, by employing exotic options instead of plain options or warrants, this paper presents an equivalent decomposition method for usual Callable Convertible Bonds (CCB). Furthermore, the analytic valuation formulae for CCB are worked out by using the analytic formulae for those simpler securities decomposed from CCB. Moreover, this method is validated by comparing with Monte Carlo simulation. Besides, the effects of call clauses, coupon clauses and soft call condition clauses are analyzed respectively. These give lots of new insights into the valuation and analysis of CCB and much help to hedge their risks.Callable convertible bonds; Equivalent decomposition; Up-and-out calls; American binary calls; Derivative pricing

Empirical research on the evaluation model and method of sustainability of the open source ecosystem

The development of open source brings new thinking and production modes to software engineering and computer science, and establishes a software development method and ecological environment in which groups participate. Regardless of investors, developers, participants, and managers, they are most concerned about whether the Open Source Ecosystem can be sustainable to ensure that the ecosystem they choose will serve users for a long time. Moreover, the most important quality of the software ecosystem is sustainability, and it is also a research area in Symmetry. Therefore, it is significant to assess the sustainability of the Open Source Ecosystem. However, the current measurement of the sustainability of the Open Source Ecosystem lacks universal measurement indicators, as well as a method and a model. Therefore, this paper constructs an Evaluation Indicators System, which consists of three levels: The target level, the guideline level and the evaluation level, and takes openness, stability, activity, and extensibility as measurement indicators. On this basis, a weight calculation method, based on information contribution values and a Sustainability Assessment Model, is proposed. The models and methods are used to analyze the factors affecting the sustainability of Stack Overflow (SO) ecosystem. Through the analysis, we find that every indicator in the SO ecosystem is partaking in different development trends. The development trend of a single indicator does not represent the sustainable development trend of the whole ecosystem. It is necessary to consider all of the indicators to judge that ecosystem’s sustainability. The research on the sustainability of the Open Source Ecosystem is helpful for judging software health, measuring development efficiency and adjusting organizational structure. It also provides a reference for researchers who study the sustainability of software engineering

Performance and interaction of sodium silicate activated slag with lignosulfonate superplasticiser added at different mixing stages

This paper investigated the effect of adding lignosulfonate (LS) superplasticiser at the different stages of mixing on the workability and rheological behaviour of sodium silicate activated slag (SSAS) in order to find a practically feasible approach to tackling the incompatibility issue between superplasticiser and alkaline activator. In addition to rheology and minislump tests, adsorption, zeta potential and environmental scanning electron microscopy tests were also undertaken to understand the interactions between the lignosulfonate and the fresh SSAS in order to reveal the mechanisms behind the observation. The results show that adding the LS and the activator separately at the different stages of mixing can significantly improve both the initial minislump and 60-min minislump retention due to the increased adsorption of LS and the improved dispersion of slag particles, with the prior addition of LS better than the delayed addition. However, a nonlinear rheological behaviour of SSAS was observed in the LS-superplasticised SSAS under separate addition and, consequently, modified Bingham model was found to be more suitable for describing this kind of rheological behaviour

Nature of the X(6900)X(6900) in partial wave decomposition of J/ψJ/ψJ/\psi J/\psi scattering

In this letter, we perform partial wave decomposition on coupled channel scattering amplitudes, $J/\psi J/\psi$-$J/\psi \psi(2S)$-$J/\psi \psi(3770)$, to study the resonance appears in these processes. Effective Lagrangians are used to describe the interactions of four charmed vector mesons, and the scattering amplitudes are calculated up to the next-to-leading order. Partial wave projections are performed, and unitarization is implemented by Pad\'e approximation. Then we fit the amplitudes to the $J/\psi J/\psi$ invariant mass spectra measured by LHCb and determine the unknown couplings. The pole parameters of the $X(6900)$ are extracted as $M=6861.0^{+6.3}_{-8.8}$~MeV and $\Gamma=129.0^{+5.6}_{-3.4}$~MeV. Our analysis implies that its quantum number prefers to be $0^{++}$. The pole counting rule and phase shifts show that it is a normal Breit-Wigner resonance and hence should be a compact tetraquark.Comment: 6 pages, 4 figure

Anti-endometriotic effect of Angelica sinensis (Oliv.) Diels extract in human endometriotic cells and rats

Purpose: To study the anti-endometriotic effect of Angelica sinensis (Oliv.) Diels extract (ASDE) in human endometriotic cells and rats.Method: Forty female rats were randomly divided into four groups (10 rats/group): control, endometriosis+danazol, endometriosis+high dose of ASDE and low dose of ASDE. The rats were orally administered either vehicle (200 μL of PBS) alone or ASDE (140, 280 and 560 mg/kg/day) for 5 weeks. Danazol was used as the control drug. After induction of endometriosis for 4 weeks, the rats were sacrificed by cervical dislocation and the peritoneum and visceral organs examined visually to measure the number of endometriotic lesions. Serum levels of cancer antigen 125 (CA-125) and interleukin 13 (IL-13), interleukin 18 (IL-18) and tumor necrosis factor-alpha (TNF-α) of peritoneal fluids of rats were measured using ELISA kits. Western blot assay was performed to measure the levels of matrix metalloproteinase-2 (MMP-2) and matrix metalloproteinase-9 (MMP-9)  expressions after 24 h of treatment with ASDE (30, 60, and 120 μg/mL).Results: ASDE-treated rats displayed reduced numbers of total endometriotic lesions when compared with vehicle-treated controls (p < 0.01). When the rats were treated with high dose of ASDE, serum CA-125 level, as well as IL-18 and TNF-α levels in peritoneal fluids were significantly lower than that of the control group (p < 0.01); however, IL-13 level in peritoneal fluids was significantly higher than that of the control group (p < 0.01). ASDE treatment significantly suppressed the levels of MMP-2 and MMP-9 protein in 11Z cell (p < 0.01).Conclusion: The results reveal that ASDE exhibits significant anti-endometriotic effect by inhibiting inflammatory factors in rats. Thus, the plant extract can potentially be developed for the clinical management of endometriosis. Keywords: Angelica sinensis, Endometriosis, Cancer antigen, Endometriotic lesions, Matrix metalloproteinas

Decomposing and valuing callable convertible bonds: a new method based on exotic options

In the framework of Black-Scholes-Merton option pricing models, by employing exotic options instead of plain options or warrants, this paper presents an equivalent decomposition method for usual Callable Convertible Bonds (CCB). Furthermore, the analytic valuation formulae for CCB are worked out by using the analytic formulae for those simpler securities decomposed from CCB. Moreover, this method is validated by comparing with Monte Carlo simulation. Besides, the effects of call clauses, coupon clauses and soft call condition clauses are analyzed respectively. These give lots of new insights into the valuation and analysis of CCB and much help to hedge their risks

Decomposing and valuing callable convertible bonds: a new method based on exotic options

In the framework of Black-Scholes-Merton option pricing models, by employing exotic options instead of plain options or warrants, this paper presents an equivalent decomposition method for usual Callable Convertible Bonds (CCB). Furthermore, the analytic valuation formulae for CCB are worked out by using the analytic formulae for those simpler securities decomposed from CCB. Moreover, this method is validated by comparing with Monte Carlo simulation. Besides, the effects of call clauses, coupon clauses and soft call condition clauses are analyzed respectively. These give lots of new insights into the valuation and analysis of CCB and much help to hedge their risks