COMPARING PRICE MOVEMENTS OF OPTIONS AND THE UNDERLYING INDEX

In theory, a call option and its underlying index should move in the same direction, while a put option and its underlying index should move in opposite directions. This property is referred to as the Empirical Monotonicity Property (EMP) when applied to time series of prices. In this paper, we use daily call and put options? data to conduct empirical tests of the EMP, including three violation types. Further, we investigate the effect of grouping the option prices by their Black-Scholes implied volatility and by moneyness, and also the effect of using different quotes (bid, offer, and bid-offer midpoint). In addition to EMP, which depends on the signs of the price changes, we also test another theoretical constraint concerning the magnitude of these changes. This is followed by a discussion of the possible causes for violations of the EMP. We use regression analysis to test whether volatility changes may be one of these causes. Lastly, we summarize the implications of our study to hedging strategies

TiO2: A Critical Interfacial Material for Incorporating Photosynthetic Protein Complexes and Plasmonic Nanoparticles into Biophotovoltaics

TiO2, a photosensitive semiconducting material, has been widely reported as a good photoanode material in dye-sensitized solar cells and new emerging perovskite cells. Its proper electronic band structure, surface chemistry and hydrophilic nature provide a reactive surface for interfacing with different organic and inorganic photon capturing materials in photovoltaics. Here, we review its enabling role in incorporating two special materials toward biophotovoltaics, including photosynthetic protein complexes extracted from plants and plasmonic nanoparticles (e.g., gold or silver nanoparticles), which interplay to enhance the absorption and utilization of sun light. We will first give a brief introduction to the TiO2 photoanode, including preparation, optical and electrochemical properties, and then summarize our recent research and other related literature on incorporating photosynthetic light harvest complexes and plasmonic nanoparticles onto anatase TiO2 photoanodes as a means to tap into the charge separation, electron and energy transfer, and photovoltaic enhancements in the bio-photovoltaics

A time-fractional optimal transport and mean-field planning: Formulation and algorithm

The time-fractional optimal transport (OT) and mean-field planning (MFP) models are developed to describe the anomalous transport of the agents in a heterogeneous environment such that their densities are transported from the initial density distribution to the terminal one with the minimal cost. We derive a strongly coupled nonlinear system of a time-fractional transport equation and a backward time-fractional Hamilton-Jacobi equation based on the first-order optimality condition. The general-proximal primal-dual hybrid gradient (G-prox PDHG) algorithm is applied to discretize the OT and MFP formulations, in which a preconditioner induced by the numerical approximation to the time-fractional PDE is derived to accelerate the convergence of the algorithm for both problems. Numerical experiments for OT and MFP problems between Gaussian distributions and between image densities are carried out to investigate the performance of the OT and MFP formulations. Those numerical experiments also demonstrate the effectiveness and flexibility of our proposed algorithm

Correlation of the plasmon-enhanced photoconductance and photovoltaic properties of core-shell Au@TiO2 network

Citation: Yang, Y. Q., Wu, J., & Li, J. (2016). Correlation of the plasmon-enhanced photoconductance and photovoltaic properties of core-shell Au@TiO2 network. Applied Physics Letters, 109(9), 5. doi:10.1063/1.4961884This study reveals the contribution of hot electrons from the excited plasmonic nanoparticles in dye sensitized solar cells (DSSCs) by correlating the photoconductance of a core-shell Au@TiO2 network on a micro-gap electrode and the photovolatic properties of this material as photoanodes in DSSCs. The distinct wavelength dependence of these two devices reveals that the plasmon-excited hot electrons can easily overcome the Schottky barrier at Au/TiO2 interface in the whole visible wavelength range and transfer from Au nanoparticles into the TiO2 network. The enhanced charge carrier density leads to higher photoconductance and facilitates more efficient charge separation and photoelectron collection in the DSSCs. Published by AIP Publishing