0000000000597900
AUTHOR
Jean-paul Laurent
Building a Consistent Pricing Model from Observed Option Prices
This paper constructs a model for the evolution of a risky security that is consistent with a set of observed call option prices. It explicitly treats the fact that only a discrete data set can be observed in practice. The framework is general and allows for state dependent volatility and jumps. The theoretical properties are studied. An easy procedure to check for arbitrage opportunities in market data is proved and then used to ensure the feasibility of our approach. The implementation is discussed: testing on market data reveals a U-shaped form for the "local volatility" depending on the state and, surprisingly, a large probability for strong price movements.
Fluency versus conscious recollection in category-production performance: the performance of schizophrenic patients.
The purpose of this study was to investigate the relative contribution in schizophrenics of automatic processes (fluency) and conscious processes (conscious recollection) for the control of preencoded material in category production tasks. In one condition (Exclusion condition), subjects were told specifically not to produce previously presented words during the category-production task. This condition was compared with a standard category-production task in which subjects were told to produce the six first words that came to mind for a semantic category (Inclusion condition). In the inclusion condition, the effects of conscious control and automatic processes operated in the same direction…