Call and put implied volatilities and the derivation of option implied trees

Standard methodologies for the derivation of implied trees from option prices are based on the validity of the put-call parity. Muzzioli and Torricelli (2002) propose a methodology which accounts for PCP violations. Based on this latter approach the present paper advances in two main directions. First we propose a different methodology in order to imply the interval of artificial probabilities at each node of the tree. Secondly, we perform an empirical validation of the implied tree obtained, both in the sample and out of sample, by using DAX index options data set covering the period from January 4, 1999 to December 28, 2000. Numerical results are compared with one of the most used standard methodologies, i.e. Derman and Kani’s. The results suggest that the estimation proposed, by taking into account the informational content of both call and put prices, highly improves both the in-the-sample fitting and the out-of-sample performance.Binomial Method; Put-Call Parity; Choquet Pricing; Interval Tree.

The no arbitrage condition in option implied trees: evidence from the Italian index options market

A major issue in the construction of implied trees is the no arbitrage property preservation. Within the literature on deterministic smile-consistent trees using forward induction, two major contributions are: Derman and Kani (1994) and Barle and Cakici (1998). The former proposes a methodology to override the nodes that violate the no arbitrage condition. The latter extends the Derman and Kani’s algorithm, in order to increase its stability in the presence of high interest rates. The aim of the present paper is to modify the Derman and Kani’s methodology in order to improve the fit of the implied tree to option prices. The proposed methodology is compared with Barle and Cakici both in the sample and out of sample with Italian index options data. Overall findings support a better performance of the modified Derman and Kani’s methodology.Binomial tree; implied volatility; calibration.

Feeding behaviour of larval European sea bass (Dicentrarchus labrax L.) in relation to temperature and prey density

The feeding behaviour of larval European sea bass (Dicentrarchus labrax, L.) was analysed in relation to temperature and prey density under controlled laboratory conditions with the aim to assess the ability of larval fish to change the feeding tactic as a response to environmental changes. Larvae were acclimated for 20 days at three different temperatures (19, 22 and 26°C), and their feeding behaviour was then video-recorded in experimental trials, at two prey densities, consisting of swarms of 400/l and 1440/l Artemia nauplii. Results showed that there was a significant effect of the interaction between temperature and prey density on the proportion of swimming activity that was reduced at the high temperature-high prey density combination. This suggested a switching in the larval feeding behaviour from an active to an ambush tactic, when the temperature reached 26°C and the prey density was 1440 /l Artemia nauplii. These results are consistent with the current literature on fish larval behaviour in showing that the foraging tactic can be modulated by the interaction of different abiotic and biotic factors characterising the rearing environment

Optical Absorption and Scattering Phenomena in 'Jubileum' Plums in Relation to Their Colour Properties

Absorption and scattering of laser light pulse passing through the fruit determine among others, the optical properties of the product. Efforts have been made in the recent past to utilize innovative techniques such as time-resolved reflectance spectroscopy (TRS) to study the quality aspects of different fruit such as nectarines. These optical properties have been well related to firmness, sugars, acids and other quality attributes. TRS measurements were performed on ‘Jubileum’ plums at two different wavelengths: 670 nm and 758 nm. The fruit were harvested in Norway and brought to Italy under protected conditions. After sorting the fruit by size, TRS measurements were made and the fruit were randomized for different examinations of quality aspects. It was observed that the absorption coefficient (µa) increased for both wavelengths as ripening progressed towards the melting stage of the fruit. The µa values at 670 nm were higher than those at 758 nm. The higher rate in the µa was distinguishable from the third day onwards as the fruit ripened. Similarly, it was interesting to note that the internal colour measured after destructing the fruit related well with the TRS absorption coefficient (µa), i.e., a decrease in the CIE L* (towards darker region) and b* (towards blue) value along with an increase in a* (towards red) from third day of storag

An accretion disc model for quasar optical variability

Some different correlations between optical-UV variability and other quasar properties, such as luminosity, black hole mass and rest-frame wavelength, were discovered. The positive correlation between optical-UV variability amplitude and black hole mass was first found by Wold et al., and this was confirmed by Wilhite et al. We suggest that the accretion disk model can explain these correlations, provided the optical-UV variability is triggered by the change of accretion rate. The disk temperature of accretion discs decreases with increasing black hole mass, which leads to systematical spectral shape difference with black hole mass even if the black hole is accreting at the same rate m_dot (m_dot = M_dot / M_dotEdd). The observed positive correlation between optical-UV variability and black hole mass can be well reproduced by our model calculations, if the mean accretion rate m_dot0 ~ 0.1 with variation of m_delta ~ 0.4 - 0.5 m_dot0. We also found that the observed correlations of optical-UV variability amplitude with luminosity or rest-frame wavelength can be qualitatively explained by this accretion disc model.Comment: 4 pages, 4 figures, accepted for publication in MNRAS Letter

Development of a high-sensitivity torsion balance to investigate the thermal Casimir force

We report development of a high-sensitivity torsion balance to measure the thermal Casimir force. Special emphasis is placed on experimental investigations of a possible surface electric force originating from surface patch potentials that have been recently noticed by several experimental groups. By gaining a proper understanding of the actual contribution of the surface electric force in real materials, we aim to undertake precision force measurements to resolve the Casimir force at finite temperature in real metals, as well as in other semiconducting materials, such as graphene.Comment: Proceedings of the 10th International Conference "Quantum Field Theory Under the Influence of External Conditions"; 11 pages and 4 figure

Ensemble Variability of Near-Infrared-Selected Active Galactic Nuclei

We present the properties of the ensemble variability $V$ for nearly 5000 near-infrared (NIR) AGNs selected from the catalog of Quasars and Active Galactic Nuclei (13th Ed.) and the SDSS-DR7 quasar catalog. From 2MASS, DENIS, and UKIDSS/LAS point source catalogs, we extract 2MASS-DENIS and 2MASS-UKIDSS counterparts for cataloged AGNs by catalog cross-identification. We further select variable AGNs based on an optimal criterion for selecting the variable sources. The sample objects are divided into subsets according to whether NIR light originates by optical or NIR emission in the rest frame; and we examine the correlations of the ensemble variability with the rest-frame wavelength, redshift, luminosity, and rest-frame time lag. In addition, we also examine the correlations of variability amplitude with optical variability, radio intensity, and radio-to-optical flux ratio. The rest-frame optical variability of our samples shows known negative correlations with luminosity and positive correlations with rest-frame time lag (i.e., the structure function, SF). However, no well-known negative correlation exists between the rest wavelength and optical variability. This inconsistency might be due to a biased sampling of high-redshift AGNs. NIR variability in the rest frame is anticorrelated with the rest wavelength, which is consistent with previous suggestions. However, correlations of NIR variability with luminosity and rest-frame time lag are the opposite of these correlations of the optical variability; that is, the NIR variability is positively correlated with luminosity but negatively correlated with the rest-frame time lag. Because these trends are qualitatively consistent with the properties of radio-loud quasars reported by some previous studies, most of our sample objects are probably radio-loud quasars. Finally, we also discuss the negative correlations seen in the NIR SFs.Comment: 13 pages, 10 figures, Accepted for publication in Ap

Descriptors for web-enabled national in situ landrace inventories

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Time-Resolved Diffusing Wave Spectroscopy for selected photon paths beyond 300 transport mean free paths

This paper is devoted to the theoretical and experimental demonstration of the possibility to perform time-resolved diffusing wave spectroscopy: we successfully registered field fluctuations for selected photon path lengths that can overpass 300 transport mean free paths. Such a performance opens new possibilities for biomedical optics applications.Comment: 12 pages, 3 figure