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.     

Multiagent cooperation for solving global optimization problems: an extendible framework with example cooperation strategies

This paper proposes the use of multiagent cooperation for solving global optimization problems through the introduction of a new multiagent environment, MANGO. The strength of the environment lays in its flexible structure based on communicating software agents that attempt to solve a problem cooperatively. This structure allows the execution of a wide range of global optimization algorithms described as a set of interacting operations. At one extreme, MANGO welcomes an individual non-cooperating agent, which is basically the traditional way of solving a global optimization problem. At the other extreme, autonomous agents existing in the environment cooperate as they see fit during run time. We explain the development and communication tools provided in the environment as well as examples of agent realizations and cooperation scenarios. We also show how the multiagent structure is more effective than having a single nonlinear optimization algorithm with randomly selected initial points.     

Characterization,slab-pair modeling and phase analysis of circular fishnet metamaterials

Planar metamaterials, which have incident to normal plane excitation unlike SRR-type structures and that are easily fabricated in multilayer form, have received great interest in recent years. In this paper, one-dimensional and polarization independent circular fishnet metamaterials and their equivalent discontinuous slab-pair modeling for tuning resonance frequencies are introduced. After the numerical and experimental demonstration of the inclusions, the standard retrieval characterization methods and the correspondent/related backward-wave propagation observation are realized in order to check the physical explanation mentioned in the paper. In addition, a detailed phase analysis is performed in order to demonstrate the application of the suggested structure as a phase compensator.     

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.     

Three-body hadronic structure of low-lying 1/2+ Σ and Λ resonances⋆

We discuss the dynamical generation of some low-lying 1/2⁺ Σ 's and Λ 's in two-meson one-baryon systems. These systems have been constructed by adding a pion in the S -wave to the ˉN pair and its coupled channels, where the 1/2^- Λ(1405) -resonance gets dynamically generated. We solve Faddeev equations in the coupled-channel approach to calculate the T -matrix for these systems as a function of the total energy and the invariant mass of one of the meson-baryon pairs. This squared T -matrix shows peaks at the energies very close to the masses of the strangeness -1 , 1/2⁺ resonances listed in the particle data book.     

Single production of fourth-family quarks at the LHC

We study the single production of fourth-family quarks through the process pp→Q′jX at the Large Hadron Collider (LHC). We have calculated the decay widths and branching ratios of the fourth-family quarks (b′ and t′) in the mass range 300–800 GeV. The cross sections for the signal and background processes have been calculated in a Monte Carlo framework. It is shown that the LHC can discover single t′ and b′ quarks if the CKM matrix elements |V _t′q |,|V _qb′|≳0.01.     

Spectral-domain optical coherence phase microscopy for quantitative phase-contrast imaging

We describe a novel microscopy technique for quantitative phase-contrast imaging of a transparent specimen. The technique is based on depth-resolved phase information provided by common path spectral-domain optical coherence tomography and can measure minute phase variations caused by changes in refractive index and thickness inside the specimen. We demonstrate subnanometer level path-length sensitivity and present images obtained on reflection from a known phase object and human epithelial cheek cells.     

Meson-baryon s-wave resonances with strangeness -3

Starting from a consistent SU(6) extension of the Weinberg-Tomozawa (WT) meson-baryon chiral Lagrangian ( Phys. Rev. D 74, 034025 (2006)), we study the s-wave meson-baryon resonances in the strangeness S = - 3 and negative-parity sectors. Those resonances are generated by solving the Bethe-Salpeter equation with the WT interaction used as kernel. The considered mesons are those of the 35-SU(6)-plet, which includes the pseudoscalar (PS) octet of pions and the vector (V) nonet of the rho-meson. For baryons we consider the 56-SU(6)-plet, made of the 1/2⁺ octet of the nucleon and the 3/2⁺ decuplet of the Delta. Quantum numbers I(J ^P) = 0(3/2^-) are suggested for the experimental resonances Ω ^*(2250)^- and Ω ^*(2380)^-. Among other, resonances with I = 1 are found, which minimal quark content is sssˉl', being s the strange quark and l, l' any of the the light up or down quarks. A clear signal for such a pentaquark would be a baryonic resonance with strangeness -3 and electric charge -2 or 0, in proton charge units. We suggest looking for K ^- Ξ ^- resonances with masses around 2100 and 2240MeV in the sector 1(1/2^-), and for π ^± Ω ^- and K ^- Ξ ^*- resonances with masses around 2260MeV in the sector 1(3/2^-).     

Search for missing baryon resonances via associated strangeness photoproduction

Differential cross-section and single polarization observables in the process γp→K ⁺ Λ are investigated within a constituent-quark model and a dynamical coupled-channel formalism. The effects of two new nucleon resonances and of the K ^*(892)- and K1(1270)-exchanges are briefly presented.