Option Pricing Using Realized Volatility and ARCH Type Models

This article analyzes whether daily realized volatility, which is the sum of squared intraday returns over a day, is useful for option pricing. Different realized volatilities are calculated with or without taking account of microstructure noise and with or without using overnight and lunch-time returns. The both ARFIMA and ARFIMAX models are employed to specify the dynamics of realized volatility. The former can capture the long-memory property and the latter can also capture the asymmetry in volatility depending on the sign of previous day's return. Option prices are derived under the assumption of risk-neutrality. For comparison, GARCH, EGARCH, and FIEGARCH models are estimated using daily returns, where option prices are derived by assuming the risk-neutrality and by using the Duan (1995) method in which the assumption of risk-neutrality is relaxed. Main results using the Nikkei 225 stock index and its put options prices are: (1) the ARFIMAX model with daily realized volatility performs best, (2) applying the Bartlett adjustment to the calculation of realized volatility to take account of microstructure noise does not improve the performance while the Hansen and Lunde (2005a) adjustment without using overnight and lunch-time returns improves the performance, and (3) the Duan (1995) method does not improve the performance compared with assuming the risk neutrality.ARFIMA, GARCH, Microstructure Noise, Option, Realized Volatility

Pricing Nikkei 225 Options Using Realized Volatility

This article analyzes whether daily realized volatility, which is the sum of squared intraday returns over a day, is useful for option pricing. Different realized volatilities are calculated with or without taking account of microstructure noise and with or without using overnight and lunch-time returns. ARFIMA, ARFIMAX, HAR, HARX models are employed to specify the dynamics of realized volatility. ARFIMA and HAR models can capture the long-memory property and ARFIMAX and HARX models can also capture the asymmetry in volatility depending on the sign of previous day's return. Option prices are derived under the assumption of risk-neutrality. For comparison, GARCH, EGARCH and FIEGARCH models are estimated using daily returns, where option prices are derived by assuming the risk-neutrality and by using the Duan (1995) method in which the assumption of risk-neutrality is relaxed. Main results using the Nikkei 225 stock index and its put options prices are: (1) ARFIMAX model with daily realized volatility performs best, (2) the Hansen and Lunde ( 2005a) adjustment without using overnight and lunch-time returns can improve the performance, (3) if the Hansen and Lunde (2005a), which also plays a role to remove the bias caused by the microstructure noise by setting the sample mean of realized volatility equal to the sample variance of daily returns, is used, the other methods for taking account of microstructure noise do not necessarily improve the performance and (4) the Duan (1995) method does not improve the performance compared with assuming the risk neutrality.microstructure noise, Nikkei 225 stock index, non-trading hours, option pricing, realized volatility

Participation of ezrin in bacterial uptake by trophoblast giant cells

<p>Abstract</p> <p>Background</p> <p>Trophoblast giant (TG) cells are involved in systematic removal of bacterial pathogens from the maternal-fetal interface of the placenta. In particular, TG cells have the ability to take up extracellular antigens by active phagocytosis induced by interferon-gamma (IFN-gamma). We previously reported that heat shock cognate protein 70 (Hsc70) present on the surface of TG cells mediated the uptake of Brucella abortus. However, the mechanism of bacterial uptake by TG cells is not completely understood. Here we identified ezrin, a member of ezrin-radixin-moesin (ERM) protein family, as a molecule associated with Hsc70.</p> <p>Methods</p> <p>Mouse TG cells were employed in all experiments, and B. abortus was used as the bacterial antigen. Confirmation of the binding capacity of ERM protein was assessed by pull-down assay and ELISA using recombinant Hsc70 and ERM proteins. Ezrin was depleted using siRNA and the depletion examined by immunoblotting or immunofluorescence staining.</p> <p>Results</p> <p>The expression level of ezrin was higher in TG cells than in trophoblast stem (TS) cells, and ezrin knockdown TG cells showed a reduction in bacterial uptake ability. Although tyrosine phosphorylation of ezrin was not related to bacterial uptake activity, localization of Hsc70 on the membrane was affected by the depletion of ezrin in TG cells.</p> <p>Conclusion</p> <p>Ezrin associates with Hsc70 that locates on the membrane of TG cells and participates in the bacterial uptake by TG cells.</p

EEVD motif of heat shock cognate protein 70 contributes to bacterial uptake by trophoblast giant cells

<p>Abstract</p> <p>Background</p> <p>The uptake of abortion-inducing pathogens by trophoblast giant (TG) cells is a key event in infectious abortion. However, little is known about phagocytic functions of TG cells against the pathogens. Here we show that heat shock cognate protein 70 (Hsc70) contributes to bacterial uptake by TG cells and the EEVD motif of Hsc70 plays an important role in this.</p> <p>Methods</p> <p><it>Brucella abortus </it>and <it>Listeria monocytogenes </it>were used as the bacterial antigen in this study. Recombinant proteins containing tetratricopeptide repeat (TPR) domains were constructed and confirmation of the binding capacity to Hsc70 was assessed by ELISA. The recombinant TPR proteins were used for investigation of the effect of TPR proteins on bacterial uptake by TG cells and on pregnancy in mice.</p> <p>Results</p> <p>The monoclonal antibody that inhibits bacterial uptake by TG cells reacted with the EEVD motif of Hsc70. Bacterial TPR proteins bound to the C-terminal of Hsc70 through its EEVD motif and this binding inhibited bacterial uptake by TG cells. Infectious abortion was also prevented by blocking the EEVD motif of Hsc70.</p> <p>Conclusions</p> <p>Our results demonstrate that surface located Hsc70 on TG cells mediates the uptake of pathogenic bacteria and proteins containing the TPR domain inhibit the function of Hsc70 by binding to its EEVD motif. These molecules may be useful in the development of methods for preventing infectious abortion.</p