The celebrated Black-Scholes formula which gives the price of a European option, may be expressed as the cumulative function of a last passage time of Brownian motion. A related result involving first passage times is also obtained.

To the Editor: Linezolid is a therapeutic option for skin and soft tissue infections and pneumonia caused by multidrug-resistant gram-positive bacteria (e.g., Staphylococcus spp.), which occur at higher rates in Portugal than in other European countries (www.ecdc.europa.eu/en/

We propose an algorithm to calculate confidence intervals for the values of hedging parameters of discretely exercisable options using Monte-Carlo simulation. The algorithm is based on a combination of the duality formulation of the optimal stopping problem for pricing discretely exercisable options and Monte-Carlo estimation of hedging parameters for European options. We show that the width of...

This review covers the management of patients once they have been diagnosed with a germ cell tumor. We take note of the European Society for Medical Oncology (ESMO) guidelines [1, 2] and European Germ Cell Cancer Consensus Group report [3] and expand on controversial areas where more than one management option exists. Although we will only discuss testicular germ cell tumors, the same principle...

DISCUSSION The purpose of this RFC is to focus discussion on a particular Internet problem: a backup path for software maintenance of the European sector of the Internet, for use when SATNET is partitioned. We propose a mechanism, based upon the Source Routing option of IP, to reach European Internet sites via the VAN Gateway and UCL. This proposal is not intended as a standard at this time.

We consider hedging of a path-dependent European style option with convex continuous payoff in a discrete time incomplete market, where underlying stock price jumps are distributed over a bounded interval. The incompleteness of the market produces an interval of no-arbitrage option prices for the path-dependent option. Upper and lower bounds for the noarbitrage price interval are developed. Exp...

This paper develops a new pricing model for American-style indexed executive stock options. We rely on a basic model framework and an indexation scheme first proposed by Johnson and Tian (2000a) in their analysis of European-style indexed options. Our derivation of the valuation formula represents an instructive example of the usefulness of the change-of-numeraire technique. In the paper’s nume...

Abstract The expOU stochastic volatility model is capable of reproducing fairly well most important statistical properties of financial markets daily data. Among them, the presence of multiple time scales in the volatility autocorrelation is perhaps the most relevant which makes appear fat tails in the return distributions. This paper wants to go further on with the expOU model we have studied ...

BACKGROUND Chagas disease is currently prevalent in European countries hosting large communities from Latin America. Whether asymptomatic individuals at risk of Chagas disease living in Europe should be screened and treated accordingly is unclear. We performed an economic evaluation of systematic Chagas disease screening of the Latin American population attending primary care centres in Europe....

Theoretical research on option valuation tends to focus on pricing the plain-vanilla European-style derivatives. Du¢ e, Pan, and Singleton (2000) have recently developed a general transform method to determine the value of European options for a broad class of the underlying price dynamics. Contrastingly, no universal and analytically attractive approach to pricing of American-style derivatives...