Search arXiv⌕ Search
Home/Archive/arXiv

arXiv · cond-mat/0409319

Hints for an extension of the early exercise premium formula for American options

Hans-Peter Bermin·Arturo Kohatsu-Higa·Josep Perello
View original source ↗Read source document ↗Export metadata ↓

Abstract

Characterization of the American put option price is still an open issue. From the beginning of the nineties there exists a non-closed formula for this price but nontrivial numerical computations are required to solve it. Strong efforts have been done to propose methods more and more computationally efficient but most of them have few mathematical ground as to ascertain why these methods work well and how important is to consider a good approximation to the boundary or to the smooth pasting condition. We perform an extension of the American put price aiming to catch weaknesses of the numerical methods given in the literature.

Explore related subjects

cond-mat.otherphysics.soc-phq-fin.PR

Keep this discovery

Explore connections, maps & timelines

BibTeXRIS

Hans-Peter Bermin, Arturo Kohatsu-Higa, Josep Perello. 2004-09-13. Hints for an extension of the early exercise premium formula for American options. https://doi.org/10.1016/j.physa.2005.02.077

Cite the original work for its findings. Save a collection to share your selection of sources.

KEEP EXPLORING

Related papers

arXiv2026

Matching Rules for a Three-Dimensional Strongly Aperiodic Monotile

A recent pre-print [arXiv:2609.19214] proposed a three-dimensional (3D) strongly aperiodic monotile: a shape that tiles Euclidean space only aperiodically and which admits no symmetry of infinite order. The proof takes the 3D Chair tile identified previously by Lee and Moody, and adds geometric decorations to the faces so as to force aperiodicity (without these decorations The Chair also admits periodic tilings). Here we establish general requirements on face decorations to achieve the same end, in order to facilitate the search for physical realisations. We find that the requirements are minimal. We provide matching rules using three colours of arrow. They are not equivalent to the original rules, but force the same tiling by forcing Chairs to compose into `Superchairs' with doubled linear dimensions. In this process the matching rules themselves compose uniquely, which is the core of the earlier proof. Relaxing this constraint further we find that the same structure can be forced using only a matching rule based on the colours of squares, regardless of orientation. Any physical system encoding these rules (geometrically or otherwise) will force the strongly aperiodic monotiling. We provide simple examples.

cond-mat.other↗
arXiv2026

THz Spectroscopy of Urine Vapors from Patients with Prostate Cancer and Benign Prostatic Hyperplasia: A Pilot Analysis

Approximately 13% of men will be diagnosed with prostate cancer (PC) during their lifetime. Serum prostate-specific antigen (PSA) is widely used for screening and risk assessment; however, PSA elevations are not cancer-specific and may also occur in benign conditions such as prostatitis and benign prostatic hyperplasia (BPH). Additional non-invasive approaches capable of provid- ing complementary molecular information are therefore needed. Here, we present an exploratory pilot study using high-resolution terahertz (THz) spectroscopy to examine urine-derived volatile and thermal-decomposition products. Analysis of urine samples from 24 patients with PC and 14 patients with BPH identified differences in the reported molecular-assignment patterns and candi- date spectral features for further evaluation. The study was designed for candidate identification and feasibility assessment and did not evaluate diagnostic accuracy or superiority to PSA. These findings support further investigation of THz spectroscopy as a potential source of complementary molecular information alongside PSA and other established clinical assessments. The study also outlines the technical standardization and clinical-validation requirements that must be addressed before this approach can be considered for routine clinical use.

cond-mat.other↗
arXiv2026

Spin-Axis Dynamic Locking

The all-electrical realization of highly spin-polarized currents and their efficient conversion into pure spin currents remains a fundamental challenge in spintronics. Here, we report a spin-axis dynamic locking (SADL) effect in altermagnets that pins the high and dynamically robust spin polarization to the crystalline axes: an in-plane electric field along one principal axis drives a highly spin-up-polarized current, whereas along the orthogonal axis, it generates a symmetry-enforced, equal-magnitude spin-down current. Consequently, applying an electric field diagonally yields a transverse pure spin current, reaching 100% charge-to-spin conversion in the ideal limit. Mechanistically, SADL originates from a spin-split tent-state band structure whose Lifshitz transitions delimit an open-Fermi-line regime. The momentum-separated Fermi lines carry orthogonal nonzero winding vectors, producing a pronounced velocity contrast while suppressing ordinary backscattering to dynamically stabilize the axial spin selectivity. High-throughput first-principles screening confirms SADL in broad materials. Notably, monolayer Cr2WSe4 and synthesized bulk (BaF)2Mn2Se2O exhibit efficiencies close to the ideal limit, paving the way for ultra-low-power, reconfigurable spintronic devices where the spin states are governed solely by electric field orientation.

cond-mat.other↗