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This paper investigates American puts on a dividend-paying underlying whose volatility is a function of both time and underlying asset price. The asymptotic behaviour of the critical price near expiry is deduced by means of singular perturbation methods. It turns out that if the underlying dividend is greater than the risk-free interest rate, the behaviour of the critical price is parabolic, otherwise an extra logarithmic factor appears, which is similar to the constant volatility case. The results of this paper complement numerical approaches used to calculate the option values and the optimal exercise price at times that are not close to expiry. [ABSTRACT FROM AUTHOR]

We develop a class of discrete, path-independent models to compute prices of American options within the Black-Scholes (1973) framework, including models in which state variables have time-varying volatility functions and models with multiple state variables. Time-varying volatility functions are illustrated with applications to term structure models developed by Vasicek (1977) and Heath, Jarrow, and Morton (1988), (1990). Distinct from previous work in the literature, the multivariate models suggested in this paper are consistent with arbitrarily large, though constant, covariance functions. Finally, we compare and contrast the numerical accuracy of a large number of models with simulation results. [ABSTRACT FROM AUTHOR]

In this paper, a new second-order exponential time differencing (ETD) method based on the Cox and Matthews approach is developed and applied for pricing American options with transaction cost. The method is seen to be strongly stable and highly efficient for solving the nonlinear Black–Scholes model. Furthermore, it does not incur unwanted oscillations unlike the ETD–Crank–Nicolson method for exotic path-dependent American options. The computational efficiency and reliability of the new method are demonstrated by numerical examples and by comparing it with the existing methods. [ABSTRACT FROM PUBLISHER]

The objective of this paper is to provide the results from an experimental program to measure global imperfections and dimensional variations in cold-formed steel-lipped channel members. Measurements were conducted at seven different manufacturing plants in the United States. A total of 210 cross sections were measured for global imperfections. Each cross section was measured at three locations, and every 305 mm (12 in.) along the length. The data is used to characterize global bow, camber, and twist. The majority of the data exhibits global imperfections well approximated by a half sine-wave. Further, global bow imperfections are shown to have a systematic bias in the direction of bow. The measured data is compared with manufacturing tolerances (e.g., L/384) and assumed imperfection sizes from column curves (e.g., L/960) as utilized in design practice in the United States. The measured imperfections served as justification for tightening manufacturing tolerances in the United States (e.g., to L/960). Dimensional variation of typical cold-formed steel members is also measured and compared with tolerances. The measured data provides much needed input for nonlinear analysis of cold-formed steel structures. [ABSTRACT FROM AUTHOR]

In their 2004 article, Clewell and Andersen provide their perspective on the application of mode-of-action (MOA) and pharmacokinetic considerations in contemporary cancer risk assessment using trichloroethylene (TCE) as a case example. TCE is a complex chemical toxicologically, with multiple metabolites, multiple sites of observed toxicity, and multiple potential MOAs. As scientists who are responsible for revising the U.S. Environmental Protection Agency's draft risk assessment of TCE, we welcome input of the quality to which the Agency is held accountable. However, in our view, Clewell and Andersen do not present a sufficiently current, complete, accurate, and transparent review of the pertinent scientific literature. In particular, their article would need to incorporate substantial recently published scientific information, better support its conclusions about MOA and choice of linear or nonlinear dose-response extrapolation, and increase its transparency as to quantitative analyses in order to make a significant contribution to the scientific discussion of TCE health risks. [ABSTRACT FROM AUTHOR]

In this paper we propose a simple forecasting strategy which exploits the multiresolution property of the wavelet transform. US aggregate retail sales data have strong trend and seasonal patterns, providing a good testing ground for the proposed forecasting method. First a wavelet transform is used to decompose the time series into varying scales of resolution so that the underlying temporal structures of the original time series become more tractable; the decomposition is additive in details and approximation. Then a forecasting engine (neural network or fuzzy inference system) is trained on each of the relevant resolution scales, and individual wavelet scale forecasts are recombined to form the overall forecast. Substantial information in both the dynamic nonlinear trend and seasonal patterns of the time series is efficiently exploited: we choose short past windows for the inputs to the forecasting engines at lower scales and long past windows at higher scales. The forecasting engines learn the mapping hierarchically: using a scale-recursive strategy, we combine only those scales where significant events are detected. Univariate simulation results on US aggregate retailing indicate that the proposed method fares favourably in relation to forecasting results obtained by training a neural network on original time series. Multivariate simulation results obtained by including structural components inflation, recession, interest rates, unemployment, show improvement in sales-trend forecast. [ABSTRACT FROM AUTHOR]

We study forwards and European call options, which are written on a nonstorable renewable resource. Examples of such derivatives in form of futures on fresh catch of wild salmon for the United States and the recently created Fish Pool market in Norway, where futures on a composite of wild catch and farmed salmon are traded, will be discussed. We approach the problem of pricing these contracts from first principles, starting off by modeling the dynamics of the resource reserves, and assuming that in approximation resource extraction is managed as open access. We derive formulas for the forward price of the renewable resource as well as European call options written on it. [ABSTRACT FROM AUTHOR]

Abstract: This paper presents results from the first known population-based survey of recreational fishers in Louisiana (n=1774). The ultimate goal of this study was to obtain data in support of the development of regional advisories for a high exposure population with unique seafood consumption patterns. Between July and August of 2008, a survey was mailed to a random sample of licensed recreational fishers to characterize local fishing habits, sportfish consumption, and advisory awareness. Eighty-eight percent of respondents reported eating sportfish. Respondents ate an estimated mean of four fish meals per month, of which, approximately half were sportfish. Over half of all sportfish meals (54%) were caught in the Gulf of Mexico or bordering brackish areas. Sportfish consumption varied by license and gender; and was highest among Sportsman’s Paradise license holders (2.8±0.2 meals per month), and males (2.2±0.1 meals per month). The most frequently consumed sportfish species were red drum, speckled trout, catfish, bass, crappie and bream. Advisory awareness rates varied by gender, ethnicity, geographic area, license type, age and education; and were lowest among women (53%), African-Americans (43%), fishers from the southeast of Louisiana (50%), holders of Senior Hunting and Fishing licenses (51%), individuals between 15 and 19 years of age (41%), and individuals with less than a high school education (43%). Results were used to identify ways to optimize monitoring, advisory development and outreach activities. [Copyright &y& Elsevier]

In this paper we are concerned with the pricing of lookback options with American type constrains. Based on the differential linear complementary formula associated with the pricing problem, an implicit difference scheme is constructed and analyzed. We show that there exists a unique difference solution which is unconditionally stable. Using the notion of viscosity solutions, we also prove that the finite difference solution converges uniformly to the viscosity solution of the continuous problem. Furthermore, by means of the variational inequality analysis method, the O(Δt + Δ²)-order error estimate is derived in the discrete L2-norm provided that the continuous problem is sufficiently regular. In addition, a numerical example is provided to illustrate the theoretical results. [ABSTRACT FROM AUTHOR]

This paper explores space-filling experimental designs for use with local quadratic approximations. A Mean Squared Distance (MSD) criterion is offered for optimization of the uniformity of designs. The same criterion is also called the Mean Square Error (MSE) criterion by other authors. The authors have proposed a method of optimization of designs in unit cube and spherical regions, which can be used for designs with constrained or unconstrained level values. Also, other criteria such as Entropy, Discrepancy, MaxMin and Eglaj`s criterion are compared by approximation of the test function, using several weight functions for local approximation. It is shown that the Latin Hypercube type designs, optimized according to the MSD criteria, give the best results by approximation of test function both without statistical error and with statistical error with normal distribution. The design optimization method is used also for the well-known NASA High Speed Civil Transport aircraft (HSCT) approximation challenge. For this case, the choice of a fixed number of experiments (from the given 2490) according to the MSD criteria and following local linear approximation gives good results, more accurate than with solutions proposed by other authors, using the Response surface and the Kriging methods. [ABSTRACT FROM AUTHOR]

This article discusses how the U. S. Environmental Protection Agency (EPA) extrapolates its health assessments between species. The author reviews EPA practices such as relevance of animal data to humans, target organ concordance, interspecies extrapolation, and route-to-route extrapolation. He argues that most human carcinogens produce a similar response in mammals. Therefore, the most sensitive animal species, sex, strain, and age are used in the absence of mode of action data. Reference doses are adjusted by interspecies uncertainty factors considering size and weight of the animals. Target organ similarities and point of entry toxicity are also considered.

This article discusses how the U. S. Environmental Protection Agency (EPA) usesdefaults, extrapolation assumptions, and uncertainty factors in risk assessment. According to the author, in risk assessment as practiced by the (EPA), defaults are necessary and useful, but their use must follow science policy and must be explicitly described. She discusses the use of uncertainty factors in nonlinear low dose extrapolation. The National Research Council defines a default as the best choice in the absence of data. The EPA uses defaults only after the data are determined to be unusable in order to continue with the risk assessment.

This paper provides a general framework for pricing options with a constant barrier under spectrally one-sided exponential Le´vy model, and uses it to implement of Carr's approximation for the value of the American put under this model. Simple analytic approximations for the exercise boundary and option value are obtained. [Copyright &y& Elsevier]

The article estimates a translog approximation to an arbitrary cost function for urban bus transit. Sample of bus systems was drawn from the 1975 edition of the Transit Operating Report of the American Public Transit Association. The sample size was 54. The sample includes both large and small systems. The cost variable was total operating cost, excluding interest and depreciation in millions of dollars. For fuel prices, the average cost per gallon of fuel was used. Analysis of the long-run introduces two difficulties. The first is theoretical. As already noted, the translog cost function can be viewed as an approximation to an arbitrary cost function, at some point of approximation which we have taken, as is conventional, as the sample means of the variables. The approximation is best at this point: as one moves further away from the point of approximation, any approximating error grows. The second difficulty arises in the appropriate factor price of rolling stock. The effective annual price of a bus depends on two other factors; its useful life and the cost of funds. The study assumes that buses have a useful life of 15 years. To allow examination of the results under different prices, the optimal factor choice was examined.

The article begins by surveying the existing results on the new Divisia monetary aggregates. Charts display the differences in behavior between the Divisia aggregates and the Federal Reserve's official simple-sum monetary aggregates. The article then compares system-wide fit for the simple-sum and Divisia monetary aggregates when used as data in the joint estimation of a system of demand equations. The demand system is derived from a new Laurent expansion approximation to the reciprocal indirect utility function. The Laurent expansion provides a better-behaved remainder term than that of the more commonly used Taylor series. The results favor the Divisia aggregates. [ABSTRACT FROM AUTHOR]

In the article "Small Sample Properties of Tests for Specification Error," published in the "Journal of the American Statistical Association," by J.B. Ramsey, the conditions under which limiting approximations to own price demand curves can be obtained are discussed. The objective is to test with budget data of some of the specific hypotheses generated in the previous paper. The results presented are regarded only as initial efforts. Their main function is to indicate whether the hypothesized models can meet some fairly weak tests and to indicate the nature of some of the practical problems to be faced in testing such hypotheses. Altogether 28 commodities were examined. The selection of commodities was determined quite simply by the availability of price/quantity data. Within that category a subset of seven commodities was chosen for initial examination. The commodities were chosen on the basis of being well defined homogeneous goods which are nonstorable and are purchased on a regular basis.

Regulation Fair Disclosure (FD), imposed by the Securities and Exchange Commission in October 2000, was designed to prohibit disclosure of material private information to selected market participants. The informational advantage such select participants gain is unclear. If multiple “insiders” receive identical information, private information is immediately incorporated in price and each insider has zero expected profit. If, on the other hand, Regulation FD has curtailed the flow of information from firms, private information becomes longer-lived and more valuable. Hence, market makers will demand increased compensation by widening the adverse selection component of the bid-ask spread. We identify the cost components of the bid-ask spread for a sample of NASDAQ stocks surrounding the implementation of Regulation FD. Controlling for other factors affecting the spread, we find that adverse selection costs increase approximately 36% after Regulation FD. We interpret our finding as Regulation FD failing to achieve one of its desired objectives. [ABSTRACT FROM AUTHOR]

This article presents the first application in finance of recently developed methods for the Gaussian estimation of continuous time dynamic models. A range of one factor continuous time models of the short-term interest rate are estimated using a discrete time model and compared to a recent discrete approximation used by Chan, Karolyi, Longstaff, and Sanders (1992a, hereafter CKLS). Whereas the volatility of short-term rates is highly sensitive to the level of rates in the United States, it is not in the United Kingdom. [ABSTRACT FROM AUTHOR]

This article presents an analytic approximation for the American put price. The author notes that numerical solutions for the price of an American put have been developed; however, these are costly formulations that do not provide a great deal of intuition. The author believes an analytical approach is superior to a numerical one and attempts to solve some of the problems associated with the development of this method. The author presents an the equation and discusses the results. The findings indicate that the equation is accurate for all values of the risk-free rate observed in the U.S.

Different authors find optically very different patterns ("tents" and "bats") when excess returns from US Treasuries are regressed against forward rates. A separate source of disagreement is whether the recent tent-shaped factor found by Cochrane & Piazzesi (2004, 2005, 2008) is fundamentally different from the slope (in yields) explanatory factor for the time-dependent term premia that has been identified since the early 1990s. We show that "tent" and "bat" patterns produce predictions of excess returns that are economically indistinguishable, both locally and globally. We also argue that, if the slope (in yield space) is indeed the most important explanatory factor for excess returns, then a simple transformation of the loadings of the forwards rates on the slope factor naturally recovers an approximate tent shape in forward-rate space. However, a transformation from a slope factor in yields to loadings for forward rates does not easily produce a bat pattern. This may provide indirect corroboration to Cochrane & Piazzesi's (2004) claim that the bat factor is a result of near colinearity for smoothed data, and that the "tent" solution is intrinsically different from the "bat" solution. [ABSTRACT FROM AUTHOR]

During the past twelve months ending October 9, 2014, 657 financial institutions were merged or acquired. This represents approximately ten percent of the financial institutions in the United States. The largest number of transactions occurred in the State of Texas with 59 mergers or acquisitions which also represents slightly more than ten percent of the institutions in the state. Since this is a large turnover of financial institutions, this study will examine the factors that influenced these transactions in the United States as a whole and additionally in Texas from 2010 to October 2014. While there are incidental items that impact mergers and acquisitions, there are the three major factors that had the most impact on the mergers and acquisitions in the United States. They were median price to tangible equity, median price to earnings, and premium to core deposits. [ABSTRACT FROM AUTHOR]

One solution to reduce fuel consumption (FC) of vehicles is to use infinitely variable transmission (IVT) as the power train. However, inappropriate design of IVT leads to an inadequate decrease in the vehicle FC. Therefore, in order to reach a maximum fuel economy, an optimization on the power train proves to be necessary. The present article aims to optimize IVT to decrease the vehicle FC in a driving cycle. The results have revealed that the FC of the vehicle equipped with the optimized IVT is approximately 7% and 4.7% compared to the cases of using the optimized six-speed and nine-speed manual transmissions, respectively. [ABSTRACT FROM AUTHOR]

This work explores the relationships between a user's choice of a given contraceptive option and the load of steroidal estrogens that can be associated with that choice. Family planning data for the USA served as a basis for the analysis. The results showed that collectively the use of contraception in the USA conservatively averts the release of approximately 4.8 tonnes of estradiol equivalents to the environment. 35% of the estrogenic load released over the course of all experienced pregnancies events and 34% the estrogenic load represented by all resultant legacies are a result of contraception failure and the non-use of contraception. A scenario analysis conducted to explore the impacts of discontinuing the use of ethinylestradiol-based oral contraceptives revealed that this would not only result in a 1.7-fold increase in the estrogenic loading of the users, but the users would also be expected to experience undesired family planning outcomes at a rate that is 3.3 times higher. Additional scenario analyses in which ethinylestradiol-based oral contraceptive users were modeled as having switched entirely to the use of male condoms, diaphragms or copper IUDs suggested that whether a higher or lower estrogenic load can be associated with the switching population depends on the typical failure rates of the options adopted following discontinuation. And, finally, it was estimated that, in the USA, at most 13% of the annual estrogenic load can be averted by fully meeting the contraceptive needs of the population. Therefore, while the issue of estrogen impacts on the environment cannot be addressed solely by meeting the population's contraceptive needs, a significant fraction of the estrogenic mass released to environment can be averted by improving the level with which their contraceptive needs are met. [ABSTRACT FROM AUTHOR]

Surveys suggest that approximately one third of news consumers have encountered conflicting reports of the same information. News coverage of science is especially prone to conflict, but how news consumers perceive this situation is currently unknown. College students (N = 242) participated in a lab experiment where they were exposed to news coverage about one of two scientific controversies in the United States: dioxin in sewage sludge or the reintroduction of gray wolves to populated areas. Participants received (a) one news article (control), (b) two news articles that were consistent (convergent), or (c) two news articles that conflicted (divergent). The effects of divergence induced uncertainty differed by news story. Greater uncertainty was associated with increased scientists’ credibility ratings for those reading dioxin regulation articles and decreased scientists’ credibility ratings for those reading wolf reintroduction articles. Unlike other manifestations of uncertainty in scientific discourse, conflicting stories seem to generate effects that vary significantly by topic. Consistent with uncertainty management theory, uncertainty is embraced or rejected by situation. [ABSTRACT FROM AUTHOR]

We estimate the trend in the transitory variance of male earnings in the United States using the Michigan Panel Study of Income Dynamics from 1970 to 2004. Using an error components model and simpler but only approximate methods, we find that the transitory variance started to increase in the early 1970s, continued to increase through the mid-1980s, and then remained at this new higher level through the 1990s and beyond. Thus the increase mostly occurred about 30 years ago. Its increase accounts for between 31 and 49 percent of the total rise in cross-sectional variance, depending on the time period. [ABSTRACT FROM AUTHOR]

A new characterization of the American-style option is proposed under a very general multifactor Markovian and diffusion framework. The efficiency of the proposed pricing solutions is shown to depend only on the use of a viable valuation method for the corresponding European-style option and for the transition density of the model's state variables. Under a Gauss-Markov stochastic interest rates setup, these new American option pricing solutions are shown to offer a much better accuracy-efficiency trade-off than the approximations already available in the literature. This result is also used to price callable corporate bonds under an endogenous bankruptcy structural approach, by decomposing the option to call or default into a European put on the firm value plus two early exercise premium components. [ABSTRACT FROM AUTHOR]

In many environmental jurisdictions worldwide, surface soil contamination is regulated using guidance values that specify the maximum amount of pollutant that can be present without prompting a regulatory response. Three of the four chlorinated methanes are among the seven most frequently regulated synthetic surface soil contaminants. There are at least 80 U.S. regulatory jurisdictions and at least 30 international jurisdictions with guidance values for at least one of the chlorinated methanes, yielding as many as 106 values (for dichloromethane) for the same regulatory consideration. This analysis explores the variability of these values. Results indicate that the values span at least 5 orders of magnitude and are distributed in patterns similar to a lognormal random variable, but fit distributions that are statistically distinct. The distributions also contain value clusters that may imply emerging consensus about appropriate regulatory levels or demonstrate the impact of regulatory leadership to suppress variability. Simulation based on the current U.S. Environmental Protection Agency risk analysis model are used to estimate the degree to which value ranges may be attributed to uncertainty in exposure models. Approximately 50% of guidance values fall within the 95% confidence interval uncertainty bounds of risk model results. [ABSTRACT FROM AUTHOR]

We study the case where agents have preferences over ranges (intervals) of values, and we wish to elicit and aggregate these preferences. For example, consider a set of climatologist agents who are asked for their predictions for the increase in temperature between 2009 and 2100. Each climatologist submits a range, and from these ranges we must construct an aggregate range. What rule should we use for constructing the aggregate range? One issue in such settings is that an agent (climatologist) may misreport her range to make the aggregate range coincide more closely with her own (true) most-preferred range. We extend the theory of single-peaked preferences from points to ranges to obtain a rule (the median-of-ranges rule) that is strategy-proof under a condition on preferences. We then introduce and analyze a natural class of algorithms for approximately eliciting a median range from multiple agents. We also show sufficient conditions under which such an approximate elicitation algorithm still incentivizes agents to answer truthfully. Finally, we consider the possibility that ranges can be refined when the topic is more completely specified (for example, the increase in temperature on the North Pole given the failure of future climate pacts). We give a framework and algorithms for selectively specifying the topic further based on queries to agents. [ABSTRACT FROM AUTHOR]

This article introduces a general quadratic approximation scheme for pricing American options based on stochastic volatility and double jump processes. This quadratic approximation scheme is a generalization of the Barone-Adesi and Whaley approach and nests several option models. Numerical results show that this quadratic approximation scheme is efficient and useful in pricing American options. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:478–493, 2009 [ABSTRACT FROM AUTHOR]

The article features the asymptotic behavior of semiclassical jointly-orthogonal polynomials of Besset-Laguerre Type in the U.S. If it is of degree 2n are called the Bessel-Laguerre semiclassical joint orthogonality polynomials. When the pertubation term of monomial dynamics are neutral, the investigation of the dynamics becomes very difficult, and the pertubative method is no longer effective,when a neutral pertubation is presented in a dynamical system, it should be studied from its nature.

We present a new approach to pricing American-style derivatives that is applicable to any Markovian setting (i,e., not limited to geometric Brownian motion) for which European call-option prices are readily available. By approximating the value function with an appropriately chosen interpolation function, the pricing of an American-style derivative with arbitrary payoff function is converted to the pricing of a portfolio of European call options, leading to analytical expressions for those cases where analytical European call prices are available (e.g., the Merton jump-diffusion process). Furthermore, in many settings, the approach yields upper and lower analytical bounds that probably converge to the true option price. We provide computational results to illustrate the convergence and accuracy of the resulting estimators. [ABSTRACT FROM AUTHOR]

We present here the quantization method which is well-adapted for the pricing and hedging of American options on a basket of assets. Its purpose is to compute a large number of conditional expectations by projection of the diffusion on optimal grids designed to minimize the (square mean) projection error (). An algorithm to compute such grids is described. We provide results concerning the orders of the approximation with respect to the regularity of the payoff function and the global size of the grids. Numerical tests are performed in dimensions 2, 4, 5, 6, 10 with American style exchange options. They show that theoretical orders are probably pessimistic. [ABSTRACT FROM AUTHOR]

The American early exercise feature of the Real Option to invest in a new project is important in capital budgeting and project valuation. Closed form solutions for American, and therefore Real, Options are known for two special cases; an infinite horizon generates the Merton ( Bell Journal of Economics , 4 , 141-83, 1973) solution while a zero dividend yield on the project generates Black-Scholes ( Journal of Political Economy , 81 , 637-59, 1973) prices since early exercise is never optimal. Geske-Johnson ( Journal of Finance , 39 , 1511-24, 1984) approximation is extended to a bivariate case by assuming various forms of separability for option prices as a function of time to maturity and yield to produce fully explicit and asymptotically correct approximations. These methods are compared with another simple approximation method due to Barone-Adesi and Whaley ( Journal of Finance , 42 , 301-20, 1987) and MacMillan ( Advances in Futures Options and Research , 2 , 117-42, 1987) and the estimated error these expressions contain compared to an accurate numerical benchmark technique. [ABSTRACT FROM AUTHOR]

This study investigates the determinants of applications for U.S. disability benefits between 1986 and 1993 using a semiparametric discrete factor procedure separately for men and women. Approximating a dynamic optimization model, the estimation accounts for a variety of potential biases that were unaddressed in prior studies. The authors' results indicate different responses of men and women to variations in policy measures. Past labor earnings and fringe benefits as well as benefit eligibility and benefit amounts clearly affect application behavior. [ABSTRACT FROM AUTHOR]

The United States Department of Agriculture has developed and formally adopted a new Soil Taxonomy (still popularly known as the Seventh Approximation). Existing maps of soils according to the Seventh Approximation are confusing and inadequate because the data base was weak at the time of compilation and the cartographic technique of regionalization is a relic of an obsolete conception of soil. Dot maps are more appropriate depictions of soils because the new taxonomy treats soil as a mosaic of individuals. [ABSTRACT FROM AUTHOR]

The author provides a systematic theoretical statement which attempts a reasonable approximation of the reality of organization and public administration and a helpful outline of various familiar phenomena within that field. The statement formulates a concept of enterprise as a particular activity of a group of persons engaged in providing a product or rendering a service to our society. It is suggested that in the analysis of an enterprise a clear distinction be drawn between its two principal components: operations and administration. The operations of an enterprise entail an output and a work process. Administration encompasses the management of resources and the techniques of direction necessary to insure that the operations of an enterprise realize their intended output. The concepts of authority, responsibility, hierarchy, leadership, and power structure are explained within the framework of this theoretical statement. [ABSTRACT FROM AUTHOR]