We consider the problem of pricing European forward starting options in the presence of stochastic volatility. By performing a change of measure using the asset price at the time of strike determination as a numeraire, we derive a closed-form solution based on Heston’s model of stochastic volatility.

We would like to thank the authors of the commentary [1] for pointing out the error in the analysis of the early winter months (Oct–Dec) in our article. We find that this is indeed correct, and wish to apologize for such an error in our analysis. After correcting the error we have been able to reproduce Figure 1 from the commentary. We wish to point out that we have checked that this issue has ...

[1] The tectonic evolution of Mars has been driven primarily by the interaction of Tharsisinduced loading stresses with a uniform contractional stress field, leading to global assemblages of graben and wrinkle ridges. Until recently, strike-slip faults have appeared to be largely absent from the tectonic record. We here present evidence for a new set of Noachian to Early Hesperian strike-slip f...

Heel strike detection is an important cue for human gait recognition and detection in visual surveillance since the heel strike position can be used to derive the gait periodicity, stride and step length. We propose a novel method for heel strike detection using a gait trajectory model, which is robust to occlusion, camera view, and low resolution. When a person walks, the movement of the head ...

Mantis shrimp strike with extreme impact forces that are deadly to prey. They also strike conspecifics during territorial contests, yet theoretical and empirical findings in aggressive behaviour research suggest competitors should resolve conflicts using signals before escalating to dangerous combat. We tested how Neogonodactylus bredini uses two ritualized behaviours to resolve size-matched co...

This study aimed to identify the similarities and differences among half-marathon runners in relation to their performance level. Forty-eight male runners were classified into 4 groups according to their performance level in a half-marathon (min): Group 1 (n = 11, < 70 min), Group 2 (n = 13, < 80 min), Group 3 (n = 13, < 90 min), Group 4 (n = 11, < 105 min). In two separate sessions, training-r...

The aim of this paper is to propose a robust reliable bi-objective supply chain network design (SCND) model that is capable of controlling different kinds of uncertainties, concurrently. In this regard, stochastic bi-level scenario based programming approach which is used to model various scenarios related to strike of disruptions. The well-known method helps to overcome adverse effects of disr...

Almost all cultures have roots in some sort of self defence system and yet there is relatively little research in this area, outside of a sports related environment. This project investigated different applications of strikes from Kung Fu practitioners that have not been addressed before in the literature. Punch and palm strikes were directly compared from different heights and distances, with ...