We study a discrete time hedging and pricing problem in a market with liquidity costs. Using Leland’s discrete time replication scheme [Leland, H.E., 1985. Journal of Finance, 1283–1301], we consider a discrete time version of the Black–Scholes model and a delta hedging strategy. We derive a partial differential equation for the option price in the presence of liquidity costs and develop a modi...

The LSS Review is a product of the Mid-Atlantic Regional Educational Laboratory, the Laboratory for Student Success (LSS), one of ten regional educational laboratories funded by the Institute of Education Sciences (IES) of the U.S. Department of Education. LSS seeks to provide research-based information to significantly improve the educational capacity of the region, including Delaware, Marylan...

References: Scarani = Valerio Scarani et al. Rev. Mod. Phys. 81 (2009) 1301-1350. Lengthy review with much valuable material. QCQI = Quantum Computation and Quantum Information by Nielsen and Chuang (Cambridge, 2000), Sec. 12.6 through 12.6.3. The material becomes more and more difficult as Sec. 12.6 advances Stinson = D. R. Stinson, Cryptography: Theory and Practice (CRC Press, 1995). Contains...

This paper presents an overview of the techniques used for solving optimization problems, in the area of VLSI Physical Computer Aided Design. The material is presented in the form of a general introduction, without going into quantitative or theoretic details. The work describes fundamental aspects of topics such as simulated annealing, genetic algorithms, linear programming, integer programmin...

Seonghoon Kim, Bo Zhang, Zhaorong Wang, Julian Fischer, Sebastian Brodbeck, Martin Kamp, Christian Schneider, Sven Höfling, and Hui Deng Department of Electrical Engineering and Computer Science, University of Michigan, 1301 Beal Avenue, Ann Arbor, Michigan 48109-2122, USA Department of Physics, University of Michigan, 450 Church Street, Ann Arbor, Michigan 48109-1040, USA Technische Physik, Un...

background: the study aimed to examine the association between human leukocyte antigen (hla) class ii allele frequencies and breast cancer in iranian women. methods: a total of 100 patients with pathologically proven breast cancer who referred to cancer institute were randomly selected and compared with a group of age matched healthy blood donors (n = 80). hla class ii alleles were determined b...

Peli, E., Yang, J., Goldstein, R. & Reeves, A. (1991). Effect of luminance on suprathreshold contrast perception. Journal of the Optical Society of America A, 8, 1352-1359. Peli, E., Arend, L. & Labianca, A. T. (1996). Contrast perception across changes in luminance and spatial frequency. Journal of the Optical Society of America A, 13, 1953-1959. Rovamo, J., Mustonen, J. & N~anen, R. (1994). M...

The LSS Review is a product of the Mid-Atlantic Regional Educational Laboratory, the Laboratory for Student Success (LSS), one of ten regional educational laboratories funded by the Institute of Education Sciences (IES) of the U.S. Department of Education. LSS seeks to provide research-based information to significantly improve the educational capacity of the region, including Delaware, Marylan...