An improved method for pricing and hedging long dated American options

The majority of quasi-analytic pricing methods for American options are efficient near maturity but are prone to larger errors when time-to-maturity increases. We introduce a new methodology to increase the accuracy of almost any existing quasi-analytic approach in pricing long-maturity American options. The new methodology, called the “extension-method”, relies on an approximation of the optimal exercise price near the beginning of the contract combined with existing pricing approaches so that the maturity range for which small errors are attainable is extended. Our method retains the quasi-analytic nature of the methods it improves. Generic quasi-analytic formulae for the price of an American put as well as for its hedging parameter are derived. Our scenarios-based numerical study indicates that our method considerably improves both the pricing and the hedging performance of a number of established approaches for a wide range of maturities. The superiority of this approach is illustrated with real financial data by considering S&P 100TM LEAPS® options traded from January 2008 to May 2015

Symptom Dimensions as Predictors of Clinical Outcome, Duration of Hospitalization, and Aggressive Behaviours in Acutely Hospitalized Patients with Psychotic Exacerbation

In the present study we extract clusters of symptoms in acute hospitalized psychotic patients during a re-exacerbation phase, using factor analysis of BPRS-E. We aim to investigate the relative contribution of each symptom dimension in predicting the severity of symptoms at discharge, the length of acute hospitalization, and the occurrence of aggressive behaviours during acute hospitalization. The data are drawn from a prospective, naturalistic, observational study of 183 patients with Psychotic Disorders consecutively admitted to a psychiatric ward, during a re-exacerbation phase. General symptomatology has been measured through BPRS-E at admission and at discharge. Statistical analyses include principal component analysis and multiple linear regression

How Did COVID-19 Affect Suicidality? Data from a Multicentric Study in Lombardy

The aim of the study was to describe the characteristics of subjects accessing the emergency rooms for suicidal behavior during the first epidemic wave of COVID-19 in three Emergency Departments (EDs) in Lombardy (Italy). A retrospective chart review was conducted for the period 8 March-3 June 2020, and during the same time frame in 2019. For all subjects accessing for suicidality, socio-demographic and clinical data were collected and compared between the two years. The proportion of subjects accessing for suicidality was significantly higher in 2020 than in 2019 (13.0 vs. 17.2%, p = 0.03). No differences between the two years were found for sex, triage priority level, history of substance abuse, factor triggering suicidality and discharge diagnosis. During 2020 a greater proportion of subjects did not show any mental disorders and were psychotropic drug-free. Women were more likely than men to receive inpatient psychiatric treatment, while men were more likely to be discharged with a diagnosis of acute alcohol/drug intoxication. Our study provides hints for managing suicidal behaviors during the still ongoing emergency and may be primary ground for further studies on suicidality in the course of or after massive infectious outbreaks

A modular approach for the synthesis of nanometer-sized polynitroxide multi-spin systems

S.V. is supported by an EPSRC Doctoral Training Grant; B.E.B. acknowledges an EaStCHEM Hirst Academic Fellowship by the School of Chemistry, St Andrews and funding from the People Programme (Marie Curie Actions) of the European Union’s Seventh Framework Programme (REA 334496)The synthesis of rigid symmetric polyradical model systems with inter-spin distances between 1.4 and 4 nm and their room temperature continuous wave (CW) EPR spectra are reported. Conditions for attachment of the spin-label via esterification have been optimized on the direct synthesis of polyradicals from commercially available polyphenols and the carboxylic acid functionalized nitroxide TPC. A common synthetic protocol utilizing 4-hydroxy-4′-iodobiphenyl as a key building block has been used to synthesize an equilateral biradical and a triradical in only two steps from commercially available starting materials. The first synthesis of a tetraradical based upon an adamantane core bearing six equivalent nitroxide–nitroxide distances is also reported. These systems are very promising candidates for studying multi-spin effects in pulsed EPR distance measurements.Publisher PDFPeer reviewe