A Simple Analytical and Numerical Approach for Pricing Compound Options

A compound option is simply an option on an option. In this short paper, by using a martingale technique, we obtain an analytical formula for pricing compound European call options. Numerical results are given to explain some economic phenomenon.     

A general method for obtaining shear stress and normal stress functions from parallel disk rheometry data

The problems of converting the torque and normal force versus rim shear rate data generated by parallel disk rheometers into shear stress and normal stress difference as functions of shear rate are formulated as two independent integral equations of the first kind. Tikhonov regularization is used to obtain approximate solutions of these equations. This way of handling parallel disk rheometer data has the advantage that it is independent of the rheological constitutive equation and noise amplification is kept under control by the user-specified parameter in Tikhonov regularization. If the fluid under test exhibits a yield stress, Tikhonov regularization computation will simultaneously give an estimate of the yield stress. The performance of this method is demonstrated by applying it to a number of data sets taken from the published literature and to laboratory measurements conducted specifically for this investigation.     

POLYMERIZATION IN THE TRANSPARENT WATER-IN-OIL SOLUTIONS (I). METHYL METHACRYLATE AND THE COPOLYMERIZABLE COSURFACTANT

Polymerization of methyl methacrylic acid (MMA) was made in transparent W/O microemulsions and solutions. Acrylic Acid (AA) and pentanol were used as cosurfactants and sodium dodecyl sulfate as surfactant

Acrylic Acid as cosurfactant gave large microemulsion areas with the monomer of methyl methacrylic acid. Polymerization in areas where the microemulsion remained stable gave polymers with high molecular weights 10⁶.     

Fullerene derived molecularly imprinted polymer for chemosensing of adenosine-5′-triphosphate (ATP)

For molecular imprinting of oxidatively electroactive analytes by electropolymerization, we used herein reductively electroactive functional monomers. As a proof of concept, we applied C₆₀ fullerene adducts as such for the first time. For that, we derivatized C₆₀ to bear either an uracil or an amide, or a carboxy addend for recognition of the adenosine-5′-triphosphate (ATP) oxidizable analyte with the ATP-templated molecularly imprinted polymer (MIP-ATP). Accordingly, the ATP complex with all of the functional monomers formed in solution was potentiodynamically electropolymerized to deposit an MIP-ATP film either on an Au electrode of the quartz crystal resonator or on a Pt disk electrode for the piezoelectric microgravimetry (PM) or capacitive impedimetry (CI) determination of ATP, respectively, under the flow-injection analysis (FIA) conditions. The apparent imprinting factor for ATP was ∼4.0. After extraction of the ATP template, analytical performance of the resulting chemosensors, including detectability, sensitivity, and selectivity, was characterized. The limit of detection was 0.3 and 0.03 mM ATP for the PM and CI chemosensor, respectively. The MIP-ATP film discriminated structural analogues of ATP quite well. The Langmuir, Freundlich, and Langmuir–Freundlich isotherms were fitted to the experimental data of the ATP sorption and sorption stability constants appeared to be nearly independent of the adopted sorption model.     

Reaction of the Heteronuclear Cluster RuOs3(μ − H)2(CO)13 with Diphenylacetylene: An Alkyne Bound to a Tetrahedral Metal Core

Reaction of the heteronuclear cluster RuOs₃(μ−H)₂(CO)₁₃, 1, with diphenylacetylene afforded the tetrahedral cluster RuOs₃(μ−H)₂(μ₃,η¹:η²:η¹−C₂Ph₂)(CO)₁₁, 2, in good yield. Spectroscopic evidence suggests that 2 exist as two isomers in solution.     

Maximizing scattering by coated spheres with radial anisotropy

The plasmonic resonant condition, associated with scattering maximization, is analytically established for core-shell spheres with radial anisotropy in the small-radii and low-dissipation limit. A generalized expression of the effective permittivity of the scatterers is also formulated. The derived closed-form results are validated with full-wave numerical analysis. The effects of dielectric anisotropy, mode of resonance, size, and loss are further discussed.     

Flow behaviour of titanium dioxide dispersions in the presence of 2-hydroxyethyl cellulose

 The effects of 2-hydroxyethyl cellulose (HEC) of weight-average molecular weight 15,000, 90,000 and 7,20,000 on the rheological properties of TiO₂ dispersions were evaluated. For all three HECs, the maximum yield stress, τ_ymax, (occurred at zero zeta potential), decreased with increasing HEC concentration. Interestingly, the largest reduction in τ_ymax was observed with the HEC with the highest molecular weight. This reduction was attributed to steric interaction arising from adsorbed HEC. Adsorbed high-molecular-weight HEC formed an effectively thicker steric barrier because of its larger size and higher adsorption capacity. Bridging interactions that were expected to be important for the high-molecular-weight HEC were found to be unimportant here. In the flocculated regime, HEC enhanced the shear-thinning characteristics of the TiO₂ dispersions. Received: 8 November 1999 Accepted: 20 December 1999