Valuation of European options in the market with daily price limit

A valuation problem of the European style contingent claim in the market with daily price movement limit is studied. Unlike the one leading to the well known Black-Scholes formula, this problem depicts considerable conceptual difficulty and anomaly created by the presence of various arbitrage opportunities inherently built in the model due to the daily price movement limit. The presence of arbitrage makes it go against the grain of the well established arbitrage pricing theory. In this paper, how these complications arise are discussed and then a valuation approach devised, which is called the ‘vanishing transaction cost technique,’ of getting around the difficulty.     

纤锌矿结构ZnO/Mg_xZn_(1-x)O量子阱中带间光吸收的尺寸效应和三元混晶效应

对于纤锌矿结构ZnO/MgxZn1-xO有限深单量子阱结构,考虑内建电场、导带弯曲及材料掺杂对实际异质结势的影响,利用有限差分法和自洽法数值求解Schr?dinger方程和Poisson方程,获得电子(空穴)的本征能级和本征波函数.进而,采用费米黄金法则讨论带间光吸收的尺寸效应和三元混晶效应.结果表明:三元混晶材料MgxZn1-xO中Mg组分的增加会增强垒层和阱层的内建电场强度,使得电子(空穴)平均位置靠近左(右)垒,导致带间跃迁吸收峰呈指数减小且发生蓝移;ZnO/MgxZn1-xO量子阱带间跃迁吸收峰随阱宽增大而减小,吸收峰发生红移.所得结果可为改善异质结构材料和器件的光电性能提供理论指导,以期获得实际应用所需的光学吸收频谱和波长.     

B-type delayed fluorescence of rubreneperoxide in solution.

B-type of delayed fluorescence was observed for the first time for rubreneperoxide. Rubreneperoxide molecules were excited in a two step process. In the first step an excited singlet S₁ is created, which undergoes intersystem crossing to T₁; then T-T absorption creates an excited triplet rubreneperoxide molecule, which returns to the first excited singlet level by intersystem crossing. The recreated first excited singlet of rubreneperoxide decays back to the ground state by emitting B-type of delayed fluorescence.     

The strong OHO hydrogen bond. How much covalency?

In the strong OHO hydrogen bond of the phosphoric acid–urea 1?:?1 complex the proton shifts gradually with temperature from the donor towards the acceptor atom, passing through the center of the hydrogen bond at around 315?K. The AIM parameters were evaluated for the published neutron structures at different temperatures. The values of the electron density, its Laplacian, and the energy densities at both the critical points between the proton and the oxygen atoms in the OHO hydrogen bond were correlated with the OH and HO distances. Changes in the AIM parameters of the strong hydrogen bond were compared with those of the weak NHO bond in this complex.     

Properties of the set of positive solutions to Dirichlet boundary value problems with time singularities

The paper investigates the structure and properties of the set S of all positive solutions to the singular Dirichlet boundary value problem u″(t) + au′(t)/t ? au(t)/t ² = f(t, u(t),u′(t)), u(0) = 0, u(T) = 0. Here a ∈ (?∞,?1) and f satisfies the local Carathéodory conditions on [0,T]×D, where D = [0,∞)×?. It is shown that S _c = {u ∈ S: u′(T) = ?c} is nonempty and compact for each c ≥ 0 and S = ∪ _c≥0 S _c . The uniqueness of the problem is discussed. Having a special case of the problem, we introduce an ordering in S showing that the difference of any two solutions in S _c ,c≥ 0, keeps its sign on [0,T]. An application to the equation v″(t) + kv′(t)/t = ψ(t)+g(t, v(t)), k ∈ (1,∞), is given.     

Uniform decay rates for full von karman system of dynamic theromelasticity with free boundary conditions and partial boundary dissipation

The full von Karman system accounting for in plane acceleration and thermal effects is considered. The main results of the paper are: (i) the wellposedness of regular and weak (finite energy) solutions, (ii) the uniform decay rates obtained for the energy function in the presence of boundary damping affecting only the velocity field representing in plane displacements of the plate. The key role in these results is played by: (i) new sharp regularity estimates for the boundary traces of elastic systems and (ii) newly established properties of analyticity of semigroups arising in thermoelastic systems with free boundary conditions.     

Acid-base behaviour of sanguinarine and dihydrosanguinarine

Acid-base and optical properties of sanguinarine and dihydrosanguinarine were studied in the presence of HCl, HNO₃, H₂SO₄, H₃PO₄, CAPSO and acetic acid (HAc) of different concentrations and their mixtures. The equilibrium constants pK_R+ of the transition reaction between an iminium cation Q⁺ of sanguinarine and its uncharged QOH (pseudo-base, 6-hydroxy-dihydroderivative) form were calculated. A numerical interpretation of the A-pH curves by a SQUAD-G computer program was used. Remarkable shifts of formation parts of absorbance-pH (A-pH) curves to alkaline medium were observed. The shifts depend on the type and concentration of inert electrolyte (the most remarkable for HNO₃ and HCl). The corresponding pK_R+ values ranged from 7.21 to 8.16 in the same manner (ΔpK_R+ = 0.81 and 0.73 for HNO₃ and HCl, respectively). The priority effect of ionic species and ionic strength was confirmed in the presence of NaCl and KCl. The strength of interaction of SA with bioactive compounds (i.e. receptors, transport proteins, nucleic acids etc.) may be affected because of the observed influence of both cations and anions of the inert electrolytes.      

Spatial complexity in multi-layer cellular neural networks

This study investigates the complexity of the global set of output patterns for one-dimensional multi-layer cellular neural networks with input. Applying labeling to the output space produces a sofic shift space. Two invariants, namely spatial entropy and dynamical zeta function, can be exactly computed by studying the induced sofic shift space. This study gives sofic shift a realization through a realistic model. Furthermore, a new phenomenon, the broken of symmetry of entropy, is discovered in multi-layer cellular neural networks with input.