Discrete-Time Pricing and Optimal Exercise of American Perpetual Warrants in the Geometric Random Walk Model

An American option (or, warrant) is the right, but not the obligation, to purchase or sell an underlying equity at any time up to a predetermined expiration date for a predetermined amount. A perpetual American option differs from a plain American option in that it does not expire. In this study, we solve the optimal stopping problem of a perpetual American option (both call and put) in discrete time using linear programming duality. Under the assumption that the underlying stock price follows a discrete time and discrete state Markov process, namely a geometric random walk, we formulate the pricing problem as an infinite dimensional linear programming (LP) problem using the excessive-majorant property of the value function. This formulation allows us to solve complementary slackness conditions in closed-form, revealing an optimal stopping strategy which highlights the set of stock-prices where the option should be exercised. The analysis for the call option reveals that such a critical value exists only in some cases, depending on a combination of state-transition probabilities and the economic discount factor (i.e., the prevailing interest rate) whereas it ceases to be an issue for the put.     

Determination of radiological hazard parameters and radioactivity concentrations in bauxite samples: the case of the Sutlegen Mine Region (Antalya,Turkey)

Journal of Radioanalytical and Nuclear Chemistry - Iron phosphate glasses with melting temperatures of?~?1300 °C were developed to immobilize spent nuclear fuels. The...     

Effects of radiation on carbapenems: ESR identification and dosimetric features of gamma irradiated solid meropenem trihydrate

In the present work, effects of gamma radiation on solid meropenem trihydrate (MPT), which is the active ingredient of carbapenem antibiotics, were investigated by electron spin resonance (ESR) spectroscopy. Irradiated MPT presents an ESR spectrum consisting of many resonance peaks. Heights measured with respect to the spectrum baseline of these resonance peaks were used to explore the evolutions of the radicalic species responsible for the experimental spectrum under different conditions. Variations of the denoted 11 peak heights with microwave power, sample temperature and applied radiation doses and decay of the involved radicalic species at room and at high temperatures were studied. On the basis of the results derived from these studies, a molecular model consisting of the presence of four different radicalic species was proposed, and spectroscopic parameters of these species were calculated through spectrum simulation calculations. The dosimetric potential of MPT was also explored and it was concluded that MPT presents the characteristics of normal and accidental dosimetric materials.     

DNS of backward‐facing step flow with fully turbulent inflow

Direct numerical simulation (DNS) has been performed to study the channel flow over a backward‐facing step at a Reynolds number Re_b=5600 based on the step height h and the inflow bulk velocity U_b. A dynamic method has been used in order to generate realistic turbulent inflow conditions. The results upstream of the step compared well with the fully developed channel flow. Downstream of the step our results show excellent agreement with experimental data. Copyright © 2009 John Wiley & Sons, Ltd.     

An attempt to understand the observed plateau of the magnetization in tetranuclear iron(II) complexes of thiacalixarene macrocycles

The next-nearest-neighbour (NNN) effect in tetranuclear iron(II) complexes of thiacalixarene macrocycles using the isotropic Heisenberg model has been investigated in order to understand its effects on the observed plateau of magnetization. Although NNN effect is generally very weak in these kinds of systems, it was calculated that its response is quite significant to the external perturbations in certain temperature regions. Using the isotropic Heisenberg exchange Hamiltonian, zero-field energy spectra have been calculated for this particular tetranuclear system. The average magnetic moments with and without next-nearest-neighbour interactions were also calculated. In order to verify the calculations, the results were compared with experimental data taken from the literature, whence, it is suggested that observed magnetic behaviour can be improved by taking into account the NNN effect.     

On some generalized sequence spaces of fuzzy numbers defined by a sequence of Orlicz functions

The purpose of the paper is to introduce the concepts of almost λ-statistical convergence and strongly almost λ-convergence of sequences of fuzzy numbers. We establish some connections between these concepts. It is also shown that if a sequence of fuzzy numbers is strongly almost λ-convergent with respect to a sequence of Orlicz funtions then it is almost λ-statistical convergent.