We develop a pricing algorithm for US-style period-average reset options written on an underlying asset which evolves in a Cox-Ross-Rubinstein (CRR) framework. The averaging feature of such an option on the reset period makes the price valuation problem computationally unfeasible because the arithmetic average is not recombining on a CRR tree. To overcome this obstacle, we associate to each nod...

Molchan-Golosov fractional Lévy processes (MG-fLps) are introduced by a multivariate componentwise Molchan-Golosov transformation based on an n-dimensional driving Lévy process. Using results of fractional calculus and infinitely divisible distributions we are able to calculate the conditional characteristic function of integrals driven by MG-fLps. This leads to important prediction results inc...

CNS Spectrums / Volume 19 / Issue 03 / June 2014, pp 215 224 DOI: 10.1017/S1092852914000091, Published online: 19 March 2014 Link to this article: http://journals.cambridge.org/abstract_S1092852914000091 How to cite this article: W. Miles Cox, Javad S. Fadardi, James M. Intriligator and Eric Klinger (2014). Attentional bias modication for addictive behaviors: clinical implications . CNS Spectr...

In typical experiments on ultimatum bargaining, the game is described verbally and the majority of subjects deviate from subgame-perfect behavior. Proposers typically offer significantly more than the minimum possible and responders reject “unfair” offers. In this work, we show that when the ultimatum bargaining game is presented as an abstract game tree, the vast majority of behavior is consis...

Several months ago the speaker and Jan van Mill gave a proof of this result [W.W. Comfort, J. van Mill, Extremal pseudocompact abelian groups are compact metrizable, Abstracts Amer. Math. Soc. 27 (2006) 78 (Abstract #1014-22-958); W.W. Comfort, J. van Mill, Extremal pseudocompact abelian groups are compact metrizable, Proc. Amer. Math. Soc. 135 (2007) 4039–4044]: A pseudocompact abelian group o...

The inferential and eliminative analysis of legal concepts proposed by Alf Ross will be connected to the views of theoretical concepts in science advanced by Frank Ramsey and Rudolf Carnap. Consequently, the mere comprehension of a legal concept will be distinguished from the application of the concept to a particular legal system, since application presupposes a doctrinal commitment, namely, t...

Citation: Zhu Z-X, Zhao K-K, Lin Q-W, Qureshi S, Ross Friedman C, Cai G-Y and Wang H-F (2017) Systematic Environmental Impact Assessment for Non-natural Reserve Areas: A Case Study of the Chaishitan Water Conservancy Project on Land Use and Plant Diversity in Yunnan, China. Front. Ecol. Evol. 5:60. doi: 10.3389/fevo.2017.00060 Systematic Environmental Impact Assessment for Non-natural Reserve A...

In this paper, the author discusses the distribution of the jump-diffusion CIR model (JCIR) and its applications in credit risk. Applying the piecewise deterministic Markov process theory and martingale theory, we first obtain the closed forms of the Laplace transforms for the distribution of the jump-diffusion CIR model and its integrated process. Based on the obtained Laplace transforms, we d...

The stochastic dynamics of interest rates is a crucial element in modern term structure theories and in the pricing of the various interest rate options which are embedded in bond issues today. International studies show that no model of these dynamics is valid world-wide. This paper studies the dynamics of the short term interest rate in India (the call market rate) and shows that it follows a...