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.     

On Eigenvalues of Split Quaternion Matrices

The main purpose of this paper is to set a method of finding eigenvalues of split quaternion matrices. In particular, we will give an extension of Gershgorin theorem, which is one of the fundamental theorems of complex matrix theory, for split quaternion matrices.     

{\boldsymbol(}\boldsymbol{\mathcal{Z}}_{\bf 1}, \boldsymbol{\mathcal{Z}}_{\bf 2}{\boldsymbol)}-Complete Partially Ordered Sets and Their Representations by \boldsymbol{\mathcal{Q}}-Spaces

The present paper proposes a general theory for $\left( \mathcal{Z}_{1}, \mathcal{Z}_{2}\right) $ -complete partially ordered sets (alias $\mathcal{Z} _{1}$ -join complete and $\mathcal{Z}_{2}$ -meet complete partially ordered sets) and their Stone-like representations. It is shown that for suitably chosen subset selections $\mathcal{Z}_{i}$ (i?=?1,...,4) and $\mathcal{Q} =\left( \mathcal{Z}_{1},\mathcal{Z}_{2},\mathcal{Z}_{3},\mathcal{Z} _{4}\right) $ , the category $\mathcal{Q}$ P of $\left( \mathcal{Z}_{1},\mathcal{Z}_{2}\right) $ -complete partially ordered sets and $\left( \mathcal{Z}_{3},\mathcal{Z}_{4}\right) $ -continuous (alias $\mathcal{ Z}_{3}$ -join preserving and $\mathcal{Z}_{4}$ -meet preserving) functions forms a useful categorical framework for various order-theoretical constructs, and has a close connection with the category $\mathcal{Q}$ S of $\mathcal{Q}$ -spaces which are generalizations of topological spaces involving subset selections. In particular, this connection turns into a dual equivalence between the full subcategory $ \mathcal{Q}$ P _s of $\mathcal{Q}$ P of all $\mathcal{Q}$ -spatial objects and the full subcategory $\mathcal{Q}$ S _s of $\mathcal{Q}$ S of all $\mathcal{Q}$ -sober objects. Here $\mathcal{Q}$ -spatiality and $\mathcal{Q}$ -sobriety extend usual notions of spatiality of locales and sobriety of topological spaces to the present approach, and their relations to $\mathcal{Z}$ -compact generation and $\mathcal{Z}$ -sobriety have also been pointed out in this paper.     

Static Subcategories of the Module Category of a Finite-Dimensional Hereditary Algebra

Let k be a field, Λ a finite-dimensional hereditary k-algebra, and modΛ the category of all finite-dimensional Λ-modules. We are going to characterize the representation type of Λ (tame or wild) in terms of the possible subcategories statM of all M-static modules, where M is an indecomposable Λ-module.     

On the Eigenvalues and Eigenvectors of a Lorentzian Rotation Matrix by Using Split Quaternions

In this paper, we examine eigenvalue problem of a rotation matrix in Minkowski 3 space by using split quaternions. We express the eigenvalues and the eigenvectors of a rotation matrix in term of the coefficients of the corresponding unit timelike split quaternion. We give the characterizations of eigenvalues (complex or real) of a rotation matrix in Minkowski 3 space according to only first component of the corresponding quaternion. Moreover, we find that the casual characters of rotation axis depend only on first component of the corresponding quaternion. Finally, we give the way to generate an orthogonal basis for ${\mathbb{E}^{3}_{1}}$ by using eigenvectors of a rotation matrix.     

Evaluating Parallel Simulated Evolution Strategies for VLSI Cell Placement

Simulated Evolution (SimE) is an evolutionary metaheuristic that has produced results comparable to well established stochastic heuristics such as SA, TS and GA, with shorter runtimes. However, for optimization problems with a very large set of elements, such as in VLSI cell placement and routing, runtimes can still be very large and parallelization is an attractive option for reducing runtimes. Compared to other metaheuristics, parallelization of SimE has not been extensively explored. This paper presents a comprehensive set of parallelization approaches for SimE when applied to multiobjective VLSI cell placement problem. Each of these approaches are evaluated with respect to SimE characteristics and the constraints imposed by the problem instance. Conclusions drawn can be extended to parallelization of SimE when applied to other optimization problems.      

On Some Second Order Differential Equations with Convergent Solutions

Via a special integral transformation, asymptotic integration results for ordinary differential equations are used to establish accurate asymptotic developments for radial solutions of the elliptic equation Δu + K(|x|)e ^u = 0, |x| > x ₀ > 0, in the bidimensional case.     

Dynamic magnetic hysteresis behavior and dynamic phase transition in the spin-1 Blume-Capel model

The nature (time variation) of response magnetization m(wt) of the spin-1 Blume-Capel model in the presence of a periodically varying external magnetic field h(wt) is studied by employing the effective-field theory (EFT) with correlations as well as the Glauber-type stochastic dynamics. We determine the time variations of m(wt) and h(wt) for various temperatures, and investigate the dynamic magnetic hysteresis behavior. We also investigate the temperature dependence of the dynamic magnetization, hysteresis loop area and correlation near the transition point in order to characterize the nature (first- or second-order) of the dynamic transitions as well as obtain the dynamic phase transition temperatures. The hysteresis loops are obtained for different reduced temperatures and we find that the areas of the loops are decreasing with the increasing of the reduced temperatures. We also present the dynamic phase diagrams and compare the results of the EFT with the results of the dynamic mean-field approximation. The phase diagrams exhibit many dynamic critical points, such as tricritical (•), zero-temperature critical (Z), triple (TP) and multicritical (A) points. According to values of Hamiltonian parameters, besides the paramagnetic (P), ferromagnetic (F) fundamental phases, one coexistence or mixed phase region, (F+P) and the reentrant behavior exist in the system. The results are in good agreement with some experimental and theoretical results.     

Physical, structural, and luminescence studies of Nd3+ doped MgO-ZnO borate glass

A series of borate glass of the system xNd₂O₃-5MgO-20ZnO-(75 ? x)B₂O₃, where x = 0.5, 1.0,1.5, 2.0, and 2.5 was successfully fabricated using melt quench method. The properties of the glass were characterized using X-ray diffraction (XRD), Fourier transform infrared (FTIR), absorption and luminescence spectra. The upconversion properties of Nd³⁺ doped borate glass were observed by using 574 nm excitation wavelength corresponding to ⁴ I _15/2 → ² H _114/2 transition. The emission bands centered at 460, 500 and 620 nm which corresponding to the Nd³⁺ transitions, ⁴ F _7/2 → ⁴ I _15/2, ² H _11/2 → ⁴ I _15/2, and ⁴ F _9/2 → ⁴ I _15/2 respectively were observed at room temperature. The presence of Nd³⁺ in borate based glass could intensify the upconversion luminescence spectra as it can potentially be used as host materials for upconversion lasers.