Pricing Step Options under the CEV and other Solvable Diffusion Models

We consider a special family of occupation-time derivatives, namely proportional step options introduced by Linetsky in [Math. Finance, 9, 55--96 (1999)]. We develop new closed-form spectral expansions for pricing such options under a class of nonlinear volatility diffusion processes which includes the constant-elasticity-of-variance (CEV) model as an example. In particular, we derive a general analytically exact expression for the resolvent kernel (i.e. Green's function) of such processes with killing at an exponential stopping time (independent of the process) of occupation above or below a fixed level. Moreover, we succeed in Laplace inverting the resolvent kernel and thereby derive newly closed-form spectral expansion formulae for the transition probability density of such processes with killing. The spectral expansion formulae are rapidly convergent and easy-to-implement as they are based simply on knowledge of a pair of fundamental solutions for an underlying solvable diffusion process. We apply the spectral expansion formulae to the pricing of proportional step options for four specific families of solvable nonlinear diffusion asset price models that include the CEV diffusion model and three other multi-parameter state-dependent local volatility confluent hypergeometric diffusion processes.Comment: 30 pages, 16 figures, submitted to IJTA

First Sagittarius A* Event Horizon Telescope results. II. EHT and multiwavelength observations, data processing, and calibration

We present Event Horizon Telescope (EHT) 1.3 mm measurements of the radio source located at the position of the supermassive black hole Sagittarius A* (Sgr A*), collected during the 2017 April 5–11 campaign. The observations were carried out with eight facilities at six locations across the globe. Novel calibration methods are employed to account for Sgr A*'s flux variability. The majority of the 1.3 mm emission arises from horizon scales, where intrinsic structural source variability is detected on timescales of minutes to hours. The effects of interstellar scattering on the image and its variability are found to be subdominant to intrinsic source structure. The calibrated visibility amplitudes, particularly the locations of the visibility minima, are broadly consistent with a blurred ring with a diameter of ∼50 μas, as determined in later works in this series. Contemporaneous multiwavelength monitoring of Sgr A* was performed at 22, 43, and 86 GHz and at near-infrared and X-ray wavelengths. Several X-ray flares from Sgr A* are detected by Chandra, one at low significance jointly with Swift on 2017 April 7 and the other at higher significance jointly with NuSTAR on 2017 April 11. The brighter April 11 flare is not observed simultaneously by the EHT but is followed by a significant increase in millimeter flux variability immediately after the X-ray outburst, indicating a likely connection in the emission physics near the event horizon. We compare Sgr A*'s broadband flux during the EHT campaign to its historical spectral energy distribution and find that both the quiescent emission and flare emission are consistent with its long-term behavior.http://iopscience.iop.org/2041-8205Physic

First Sagittarius A* Event Horizon Telescope Results. II. EHT and Multiwavelength Observations, Data Processing, and Calibration

We present Event Horizon Telescope (EHT) 1.3 mm measurements of the radio source located at the position of the supermassive black hole Sagittarius A* (Sgr A*), collected during the 2017 April 5–11 campaign. The observations were carried out with eight facilities at six locations across the globe. Novel calibration methods are employed to account for Sgr A*'s flux variability. The majority of the 1.3 mm emission arises from horizon scales, where intrinsic structural source variability is detected on timescales of minutes to hours. The effects of interstellar scattering on the image and its variability are found to be subdominant to intrinsic source structure. The calibrated visibility amplitudes, particularly the locations of the visibility minima, are broadly consistent with a blurred ring with a diameter of ∼50 μas, as determined in later works in this series. Contemporaneous multiwavelength monitoring of Sgr A* was performed at 22, 43, and 86 GHz and at near-infrared and X-ray wavelengths. Several X-ray flares from Sgr A* are detected by Chandra, one at low significance jointly with Swift on 2017 April 7 and the other at higher significance jointly with NuSTAR on 2017 April 11. The brighter April 11 flare is not observed simultaneously by the EHT but is followed by a significant increase in millimeter flux variability immediately after the X-ray outburst, indicating a likely connection in the emission physics near the event horizon. We compare Sgr A*’s broadband flux during the EHT campaign to its historical spectral energy distribution and find that both the quiescent emission and flare emission are consistent with its long-term behavior

First Sagittarius A* Event Horizon Telescope Results. I. The Shadow of the Supermassive Black Hole in the Center of the Milky Way

Abstract We present the first Event Horizon Telescope (EHT) observations of Sagittarius A* (Sgr A*), the Galactic center source associated with a supermassive black hole. These observations were conducted in 2017 using a global interferometric array of eight telescopes operating at a wavelength of λ = 1.3 mm. The EHT data resolve a compact emission region with intrahour variability. A variety of imaging and modeling analyses all support an image that is dominated by a bright, thick ring with a diameter of 51.8 ± 2.3 μas (68% credible interval). The ring has modest azimuthal brightness asymmetry and a comparatively dim interior. Using a large suite of numerical simulations, we demonstrate that the EHT images of Sgr A* are consistent with the expected appearance of a Kerr black hole with mass ∼4 × 106 M ⊙, which is inferred to exist at this location based on previous infrared observations of individual stellar orbits, as well as maser proper-motion studies. Our model comparisons disfavor scenarios where the black hole is viewed at high inclination (i &gt; 50°), as well as nonspinning black holes and those with retrograde accretion disks. Our results provide direct evidence for the presence of a supermassive black hole at the center of the Milky Way, and for the first time we connect the predictions from dynamical measurements of stellar orbits on scales of 103–105 gravitational radii to event-horizon-scale images and variability. Furthermore, a comparison with the EHT results for the supermassive black hole M87* shows consistency with the predictions of general relativity spanning over three orders of magnitude in central mass.</jats:p

First Sagittarius A* Event Horizon Telescope results. I. The shadow of the supermassive black hole in the center of the Milky Way

We present the first Event Horizon Telescope (EHT) observations of Sagittarius A* (Sgr A*), the Galactic center source associated with a supermassive black hole. These observations were conducted in 2017 using a global interferometric array of eight telescopes operating at a wavelength of λ = 1.3 mm. The EHT data resolve a compact emission region with intrahour variability. A variety of imaging and modeling analyses all support an image that is dominated by a bright, thick ring with a diameter of 51.8 ± 2.3 μas (68% credible interval). The ring has modest azimuthal brightness asymmetry and a comparatively dim interior. Using a large suite of numerical simulations, we demonstrate that the EHT images of Sgr A* are consistent with the expected appearance of a Kerr black hole with mass ∼4 × 106 M⊙, which is inferred to exist at this location based on previous infrared observations of individual stellar orbits, as well as maser proper-motion studies. Our model comparisons disfavor scenarios where the black hole is viewed at high inclination (i > 50°), as well as nonspinning black holes and those with retrograde accretion disks. Our results provide direct evidence for the presence of a supermassive black hole at the center of the Milky Way, and for the first time we connect the predictions from dynamical measurements of stellar orbits on scales of 103–105 gravitational radii to event-horizon-scale images and variability. Furthermore, a comparison with the EHT results for the supermassive black hole M87* shows consistency with the predictions of general relativity spanning over three orders of magnitude in central mass.http://iopscience.iop.org/2041-8205Physic

First M87 Event Horizon Telescope Results. II. Array and Instrumentation

The Event Horizon Telescope (EHT) is a very long baseline interferometry (VLBI) array that comprises millimeter- and submillimeter-wavelength telescopes separated by distances comparable to the diameter of the Earth. At a nominal operating wavelength of similar to 1.3 mm, EHT angular resolution (lambda/D) is similar to 25 mu as, which is sufficient to resolve nearby supermassive black hole candidates on spatial and temporal scales that correspond to their event horizons. With this capability, the EHT scientific goals are to probe general relativistic effects in the strong-field regime and to study accretion and relativistic jet formation near the black hole boundary. In this Letter we describe the system design of the EHT, detail the technology and instrumentation that enable observations, and provide measures of its performance. Meeting the EHT science objectives has required several key developments that have facilitated the robust extension of the VLBI technique to EHT observing wavelengths and the production of instrumentation that can be deployed on a heterogeneous array of existing telescopes and facilities. To meet sensitivity requirements, high-bandwidth digital systems were developed that process data at rates of 64. gigabit s(-1), exceeding those of currently operating cm-wavelength VLBI arrays by more than an order of magnitude. Associated improvements include the development of phasing systems at array facilities, new receiver installation at several sites, and the deployment of hydrogen maser frequency standards to ensure coherent data capture across the array. These efforts led to the coordination and execution of the first Global EHT observations in 2017 April, and to event-horizon-scale imaging of the supermassive black hole candidate in M87

Event Horizon Telescope imaging of the archetypal blazar 3C 279 at an extreme 20 microarcsecond resolution

3C 279 is an archetypal blazar with a prominent radio jet that show broadband flux density variability across the entire electromagnetic spectrum. We use an ultra-high angular resolution technique - global Very Long Baseline Interferometry (VLBI) at 1.3 mm (230 GHz) - to resolve the innermost jet of 3C 279 in order to study its fine-scale morphology close to the jet base where highly variable gamma -ray emission is thought to originate, according to various models. The source was observed during four days in April 2017 with the Event Horizon Telescope at 230 GHz, including the phased Atacama Large Millimeter/submillimeter Array (ALMA), at an angular resolution of similar to 20 mu as (at a redshift of z=0.536 this corresponds to similar to 0.13 pc similar to 1700 Schwarzschild radii with a black hole mass M-BH=8x10(8) M-circle dot). Imaging and model-fitting techniques were applied to the data to parameterize the fine-scale source structure and its variation. We find a multicomponent inner jet morphology with the northernmost component elongated perpendicular to the direction of the jet, as imaged at longer wavelengths. The elongated nuclear structure is consistent on all four observing days and across different imaging methods and model-fitting techniques, and therefore appears robust. Owing to its compactness and brightness, we associate the northern nuclear structure as the VLBI &quot;core&quot;. This morphology can be interpreted as either a broad resolved jet base or a spatially bent jet. We also find significant day-to-day variations in the closure phases, which appear most pronounced on the triangles with the longest baselines. Our analysis shows that this variation is related to a systematic change of the source structure. Two inner jet components move non-radially at apparent speeds of similar to 15 c and similar to 20 c (similar to 1.3 and similar to 1.7 mu as day(-1), respectively), which more strongly supports the scenario of traveling shocks or instabilities in a bent, possibly rotating jet. The observed apparent speeds are also coincident with the 3C 279 large-scale jet kinematics observed at longer (cm) wavelengths, suggesting no significant jet acceleration between the 1.3 mm core and the outer jet. The intrinsic brightness temperature of the jet components are less than or similar to 10(10) K, a magnitude or more lower than typical values seen at &gt;= 7 mm wavelengths. The low brightness temperature and morphological complexity suggest that the core region of 3C 279 becomes optically thin at short (mm) wavelengths

3C 279 Event Horizon Telescope imaging

VizieR online Data Catalogue associated with article published in journal Astronomy &amp; Astrophysics with title 'Event Horizon Telescope imaging of the archetypal blazar 3C 279 at an extreme 20 microarcsecond resolution.' (bibcode: 2020A&amp;A...640A..69K