Observation of the Color-Suppressed Decay B̅ 0→D0π0

journal articl

『往生要集』引用文から見た『宝物集』について（七）─七巻本巻七相当部分対照表とその言語面の検討─

departmental bulletin pape

カガク ト カガクシャ デアイ ノ ヒビ

video/mp4第一部: For the love of Genome 第二部: For the love of Insects 第三部: 科学者と社会のかかわり講演場所: バイオサイエンス研究科大講義室講演者所属: 奈良先端科学技術大学院大学バイオサイエンス研究科教授vide

Option price (USD) comparison for different strikes.

<p>Difference in option prices (proposed vs. Black-Scholes) for different strikes <i>K</i>, where <i>τ</i> = 0.5 years, <i>σ</i> = 0.265 years^−1/2, <i>γ</i> = 0.068 years^−1/3 and <i>r</i> = 0.035 years⁻¹.</p

Option price (USD) comparison for different maturities.

<p>Difference in option prices (proposed vs. Black-Scholes) for different times to maturity <i>τ</i>, where <i>K</i> = 21 USD, <i>σ</i> = 0.265 years^−1/2, <i>γ</i> = 0.068 years^−1/3 and <i>r</i> = 0.035 years⁻¹.</p

A Kramers-Moyal Approach to the Analysis of Third-Order Noise with Applications in Option Valuation

<div><p>We propose the use of the Kramers-Moyal expansion in the analysis of third-order noise. In particular, we show how the approach can be applied in the theoretical study of option valuation. Despite Pawula’s theorem, which states that a truncated model may exhibit poor statistical properties, we show that for a third-order Kramers-Moyal truncation model of an option’s and its underlier’s price, important properties emerge: (i) the option price can be written in a closed analytical form that involves the Airy function, (ii) the price is a positive function for positive skewness in the distribution, (iii) for negative skewness, the price becomes negative only for price values that are close to zero. Moreover, using third-order noise in option valuation reveals additional properties: (iv) the inconsistencies between two popular option pricing approaches (using a “delta-hedged” portfolio and using an option replicating portfolio) that are otherwise equivalent up to the second moment, (v) the ability to develop a measure <i>R</i> of how accurately an option can be replicated by a mixture of the underlying stocks and cash, (vi) further limitations of <i>second</i>-order models revealed by introducing <i>third</i>-order noise.</p></div

Option price difference for different strikes.

<p>Difference in option prices (proposed vs. Black-Scholes) expressed as a percent of the Black-Scholes price for different strikes <i>K</i>, where <i>τ</i> = 0.5 years, <i>σ</i> = 0.265 years^−1/2, <i>γ</i> = 0.068 years^−1/3 and <i>r</i> = 0.035 years⁻¹.</p

ORP replication accuracy region.

<p>Approximation for the accuracy region ∣<i>R</i>∣ < <i>R</i>_<i>c</i> in the (<i>M</i>, <i>τ</i>)–plane for <i>σ</i> = 0.2 years^−1/2, <i>γ</i> = ±0.01 years^−1/3, <i>r</i> = 0.02 years⁻¹, <i>R</i>_<i>c</i> = 0.1 and <i>η</i>_<i>c</i> = 6.</p

Option price difference for different maturities.

<p>Difference in option prices (proposed vs. Black-Scholes) expressed as a percent of the Black-Scholes price for different times to maturity <i>τ</i>, where <i>K</i> = 21 USD, <i>σ</i> = 0.265 years^−1/2, <i>γ</i> = 0.068 years^−1/3 and <i>r</i> = 0.035 years⁻¹.</p

The Log-Likelihood Ratio of Gamma and Lognormal Distributions Depend on the Heat Shock Parameters

<p>For 37 °C, the lognormal fits data better than the Gamma distribution. As the heat shock is increased from low to moderate, the Gamma distribution becomes a better fit. For strong heat shocks (at 44.5 °C for 30 min), there is no a clear separation between a Gamma distribution and a lognormal one.</p