Calibration to American options: numerical investigation of the de-Americanization method.

American options are the reference instruments for the model calibration of a large and important class of single stocks. For this task, a fast and accurate pricing algorithm is indispensable. The literature mainly discusses pricing methods for American options that are based on Monte Carlo, tree and partial differential equation methods. We present an alternative approach that has become popular under the name de-Americanization in the financial industry. The method is easy to implement and enjoys fast run-times (compared to a direct calibration to American options). Since it is based on ad hoc simplifications, however, theoretical results guaranteeing reliability are not available. To quantify the resulting methodological risk, we empirically test the performance of the de-Americanization method for calibration. We classify the scenarios in which de-Americanization performs very well. However, we also identify the cases where de-Americanization oversimplifies and can result in large errors

Mouse Chromosome 3

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/46995/1/335_2004_Article_BF00648421.pd

Titan Surface Temperatures from Cassini CIRS

Thermal radiation from the surface of Titan reaches space through a spectral window at 19-microns wavelength. After removing the effects of the atmosphere, measurement of this radiance gives the brightness temperature of the surface. The Composite Infrared Spectrometer (CIRS) has made such measurements during the Cassini prime mission. These observations cover a wide range of emission angles, thereby constraining the contributions from atmospheric radiance and opacity. With the more complete latitude coverage and much larger dataset, we have been able to improve upon the original results from Voyager IRIS. CIRS measures an equatorial surface brightness temperature, averaged over longitude, of 93.7 +/- 0.6 K. This agrees with the HASI temperature at the Huygens landing site. The latitude dependence of surface brightness temperature exhibits an approximately 2 K decrease toward the South Pole and 3 K decrease toward the North Pole. The lower surface temperatures seen at high latitudes are consistent with conditions expected for lake formation