Showing papers by "University of Marne-la-Vallée published in 1993"

Convergence of the Critical Price In the Approximation of American Options

Abstract: We consider the American put option in the Black-Scholes model. When the value of the option is computed through numerical methods (such as the binomial method and the finite difference method) the approximation yields an approximate critical price. We prove the convergence of this approximate critical price towards the exact critical price.

A remark about distortion

Abstract: In this note we show that every Banach space $X$ not containing $\ell_1^n$ uniformly and with unconditional basis contains an arbitrarily distortable subspace.

Ro-vibronic spectrum of the N2O+ ion in the X 2Π state

Abstract: Three-dimensional potential energy functions (PEFs) for the two components of the electronic ground state X 2 Π state of the N 2 O + radical cation have been calculated using multi-configuration self-consistent field approach. The theoretical PEFs and the existing experimental information have been combined to generate empirical PEFs for the beyond Born-Oppenheimer variational calculations of the ro-vibronic energy levels including the couplings of the rotation-vibration, the electron spin and the electronic angular momenta. Band origins ( J = P ) are given for energies up to 4500 cm −1 . The experimentally known vibronic energy levels are reproduced with an accuracy of better than 5 cm −1 for the vibronic states with K ⩽ 2. The anharmonic coupling effects have been investigated.

Las ciudades de la nueva granada: teatro y objeto de los conflictos de la memoria política (1810-1830)

Abstract: A nuestro parecer, la ciudad colonial fue planeada como si se tratara de un teatro cuya unica finalidad hubiera sido la de conmemorar el vasallaje de la Ciudad a los dos poderes de la Conquista. Diminuto resulta, en realidad, el artificio de la metafora en cuanto la Plaza y sus calles contiguas se asimilan a un autentico escenario donde se verificaron "ceremonias de la informacion".' Estas, periodicas u ocasionales, consideran a los vecinos como otros tantos actores y espectadores de una dramaturgia que sella el pacto explicito de su adhesion al estandarte de la Fe y al pendon real. Anadamos que durante el intervalo de tiempo que separa esas manifestaciones rituales, ciertos simbolos arquitectonicos (calvarios, escudos de armas o picotas), colocados en un itinerario determinado de lugares, constituyen, en el sentido del arsmemorativa clasico, unas "imagenes sobresalientes" 2 que refrescan en la mente de quienes las contemplan la memoria de la Pasion de Cristo, la de la Gloria del Principe o de su justicia ejemplar...

Hedging Index Options With Few Assets1

Abstract: We consider hedging strategies against contingent claims depending on a large number of assets (typically options on an index). We introduce strategies involving a limited number of assets and give explicit formulae to characterize optimal strategies. Numerical methods to compute these formulae are also discussed.