A mathematical modeling for the lookback option with jump-diffusion using binomial tree method

The binomial tree method (BTM), first proposed by Cox et al. (1979) [4] in diffusion models and extended by Amin (1993) [9] to jump-diffusion models, is one of the most popular approaches to pricing options. In this paper, we present a binomial tree method for lookback options in jump-diffusion models and show its equivalence to certain explicit difference scheme. We also prove the existence and convergence of the optimal exercise boundary in the binomial tree approximation to American lookback options and give the terminal value of the genuine exercise boundary. Further, numerical simulations are performed to illustrate the theoretical results.     

Vibrational investigation on FT-IR and FT-Raman spectra, IR intensity, Raman activity, peak resemblance, ideal estimation, standard deviation of computed frequencies analyses and electronic structure on 3-methyl-1,2-butadiene using HF and DFT (LSDA/B3LYP/B3PW91) calculations

FT-IR and FT-Raman (4000–100 cm⁻¹) spectral measurements of 3-methyl-1,2-butadiene (3M12B) have been attempted in the present work. Ab-initio HF and DFT (LSDA/B3LYP/B3PW91) calculations have been performed giving energies, optimized structures, harmonic vibrational frequencies, IR intensities and Raman activities. Complete vibrational assignments on the observed spectra are made with vibrational frequencies obtained by HF and DFT (LSDA/B3LYP/B3PW91) at 6-31G(d,p) and 6-311G(d,p) basis sets. The results of the calculations have been used to simulate IR and Raman spectra for the molecule that showed good agreement with the observed spectra. The potential energy distribution (PED) corresponding to each of the observed frequencies are calculated which confirms the reliability and precision of the assignment and analysis of the vibrational fundamentals modes. The oscillation of vibrational frequencies of butadiene due to the couple of methyl group is also discussed. A study on the electronic properties such as HOMO and LUMO energies, were performed by time-dependent DFT (TD-DFT) approach. The calculated HOMO and LUMO energies show that charge transfer occurs within the molecule. The thermodynamic properties of the title compound at different temperatures reveal the correlations between standard heat capacities (C) standard entropies (S), and standard enthalpy changes (H).     

A general framework for pricing Asian options under stochastic volatility on parallel architectures

In this paper, we present a transform-based algorithm for pricing discretely monitored arithmetic Asian options with remarkable accuracy in a general stochastic volatility framework, including affine models and time-changed Lévy processes. The accuracy is justified both theoretically and experimentally. In addition, to speed up the valuation process, we employ high-performance computing technologies. More specifically, we develop a parallel option pricing system that can be easily reproduced on parallel computers, also realized as a cluster of personal computers. Numerical results showing the accuracy, speed and efficiency of the procedure are reported in the paper.     

Regularity theory for the Isaacs equation through approximation methods

In this paper, we propose an approximation method to study the regularity of solutions to the Isaacs equation. This class of problems plays a paramount role in the regularity theory for fully nonlinear elliptic equations. First, it is a model-problem of a non-convex operator. In addition, the usual mechanisms to access regularity of solutions fall short in addressing these equations. We approximate an Isaacs equation by a Bellman one, and make assumptions on the latter to recover information for the former. Our techniques produce results in Sobolev and Hölder spaces; we also examine a few consequences of our main findings.     

An integration formula for the square of moment maps of circle actions

The integration of the exponential of the square of the moment map of the circle action is studied by a direct stationary phase computation and by applying the Duistermaat-Heckman formula. Both methods yield two distinct formulas expressing the integral in terms of contributions from the critical set of the square of the moment map. Certain cohomological pairings on the symplectic quotient are computed explicitly using the asymptotic behavior of the two formulas.     

A Global Wellordering of Norms Defined via Blackwell Games

We define a global order of norms using strongly optimal strategies in Blackwell games and prove that it is a prewellordering under the assumption of the Axiom of Blackwell determinacy.     

Focusing effects in the synthetic aperture radar imaging of ocean waves

We derive the properties of the image obtained for an ocean wave whose cross-section may be given byσ _w(x,y,y) and surface profile byh(x,y,t).σ _w andh are functions representing the wave phenomena, but whose exact properties are determined by the ocean wave surface properties, for an ocean wavelength ofλ _w, heightH, and orbital frequency ω. We calculate the effect of defocusing of the wave image due to its temporal motion, and derive both the resolution of the radar system if no focus compensation is provided in the processor and the necessary distance the azimuth telescope has to be moved to provide diffraction-limited imaging. We illustrate these results for data taken by the JPL synthetic aperture radar over Hurricane Gloria on September 30, 1976, and the ERIM radar over Marineland, Florida, on December 15, 1975. This paper presents the results of one phase of research carried out at the Jet Propulsion Laboratory, California Institute of Technology, under Contract NAS 7-100, sponsored by the special programs office and the Seesat program office under Mr. F.C. Williams and Mr. S.W. McCandless of the National Aeronautics and Space Administration.