Mean Error

This paper investigates the efficiency of Black-Scholes model used for valuation of call option contracts written on Eight Indian stocks quoted on NSE. It has been generally observed that the B & S Model misprices options considerably on several occasions and the volatilities are 'high for options which are highly overpriced. Mispriced worsen with the increased in volatility of the underlying stocks. In most of cases options are also highly underpriced by the model. In this research paper, the theoretical options prices of Nifty stock call options are calculated under the B & S Model. These theoretical prices are compared with the actual quoted prices in the market to gauge the pricing accuracy.

Murici (Byrsonima sericea) and ingá (Ingá edulis) desorption isotherms were determined by the gravimetric method at two different temperatures. Experimental data was adjusted to five sorption models of Langmuir, Oswin, Anderson, GAB and Peleg. Sorption isotherms were determined gravimetrically by exposing the samples to controlled atmospheres produced by saturated salt solutions. The coefficient of regression R2 and mean squares of

A prospective study was conducted at Obafemi Awolowo University Teaching Hospital Complex, Ile-Ife, Nigeria, between 3 January and 31May 2004, to compare the accuracy of clinical and ultrasonographic estimation of foetal weight at term. One hundred pregnant women ...

We consider the fundamental problem of estimating the mean of a vector $y=X\beta+z$, where $X$ is an $n\times p$ design matrix in which one can have far more variables than observations, and $z$ is a stochastic error term--the so-called "$p>n$" setup. When $\beta$ is sparse, or, more generally, when there is a sparse subset of covariates providing a close approximation to the unknown mean vector, we ask whether or not it is possible to accurately estimate $X\beta$ using a computationally tractable algorithm. We show that, in a surprisingly wide range of situations, the lasso happens to nearly select the best subset of variables. Quantitatively speaking, we prove that solving a simple quadratic program achieves a squared error within a logarithmic factor of the ideal mean squared error that one would achieve with an oracle supplying perfect information about which variables should and should not be included in the model. Interestingly, our results describe the average performance of the lasso; that is, the performance one can expect in an vast majority of cases where $X\beta$ is a sparse or nearly sparse superposition of variables, but not in all cases. Our results are nonasymptotic and widely applicable, since they simply require that pairs of predictor variables are not too collinear.

Abstract-Jitter is the limiting effect for high speed analog-to-digital converters with high resolution and wide digitization bandwidth, which are required in receivers in order to support high data rates. The rapid development of digital wireless system has led to a need of high ...

Two approaches for downscaling and calibrating error estimates from ensemble precipitation forecasts are evaluated; the two methods are intended to be used to produce flood forecasts based on global weather forecasts in ungauged river basins. The focus of this study is on the ability of the approaches to reproduce observed forecast errors when applied to daily precipitation forecasts from the European Centre for Medium-Range Weather Forecasts (ECMWF) Ensemble Prediction System (EPS) for a 10-day forecast period. The two approaches are bias correction with spatial disaggregation (BCSD) and an analog technique. Mean forecast errors and skills are evaluated with respect to Tropical Rainfall Monitoring Mission (TRMM) observations over the Ohio River basin for the period 2002–06 for daily and 5-day accumulations and for 0.25° and 1° spatial resolutions. The Ohio River basin was chosen so that a relatively dense gauge-based observed precipitation dataset could also be used in the evaluati...

In previous work on acoustical lens effect, a model based on the annular decomposition of an axisymmetric focused piezoelectric transducer was described and found to be in agreement with FEM and experimental results. The design of a focused transducer must take into account both radiation and transduction properties. These complex models such as FEM, FDTD and PSTD methods take into

Ingeniería e Investigación Universidad Nacional de Colombia revii_bog@unal.edu.co ISSN (Versión impresa): 0120-5609 COLOMBIA ... Everaldo Joaquín Montes Montes / Ramiro Torres Gallo / Ricardo David Andrade Pizarro / Omar Andrés Pérez Sierra / José Luis Marimon ...

This work seeks to analyze empirically the coherence of the VaR and the Expected Shortfall by the definition of Artzner et al. (1997) at the Brazilian Stock Market (Bovespa), calculated with three methodologies: the historical simulation, the analytical approach with EWMA volatility from RiskMetricsTM and the hybrid approach developed by Boudoukh et al. (1998). The sample includes the ten most

The aim of this paper is to propose two new hybrid cellular techniques for mobile positioning in UMTS. Developed methods are entirely mobile-based since no modifications are required on the network side. Proposed techniques exploit signal strength and delay spread measurements from at least two base stations. The estimation accuracy of the presented location techniques has been assessed by measurement campaigns performed in various network configurations and in diverse propagation environments. Measurement results have indicated that the accuracy of positioning based on signal strength measurements can be improved in majority of propagation environments if one of the proposed methods is used. Namely, in a measured area in an urban micro cellular environment the mean error in the range estimation has been reduced from 58 m to 30 m when introduced method has been used. Slightly smaller improvement (30%) has been observed in macro cellular urban and no improvement -in macro cellular su...

Ingeniería e Investigación Universidad Nacional de Colombia revii_bog@unal.edu.co ISSN (Versión impresa): 0120-5609 COLOMBIA ... Everaldo Joaquín Montes Montes / Ramiro Torres Gallo / Ricardo David Andrade Pizarro / Omar Andrés Pérez Sierra / José Luis Marimon ...

We tested the hypothesis that the mechanism, rate, and extent of in vivo placental transfer of dideoxynucleoside drugs against human immunodeficiency virus can be predicted by the in vitro perfused human placenta and the drug octanol-water partition coefficient. Near-term pregnant macaques (Macaca nemestrina ) underwent long-term catheterization for the administration of 4 dideoxynucleosides against human immunodeficiency virus: zidovudine, didanosine, zalcitabine, and stavudine. Maternal plasma, fetal plasma, and amniotic fluid concentrations were determined frequently after intravenous bolus and/or infusion of the drugs administered into the maternal or fetal circulation on separate occasions. Antipyrine was included in all experiments as a marker of placental blood flow. The mechanism, rate, and extent of placental transfer of the 4 dideoxynucleosides in perfused human placenta were determined and compared with the findings obtained by others. The mechanism and rate of the antipyrine-normalized placental transfer of the 4 dideoxynucleosides in perfused human placenta were highly correlated with those observed in vivo. The extent of placental transfer (fetal/maternal steady-state plasma concentration ratio) was also highly correlated with both the antipyrine-normalized placental transfer clearance (clearance index) determined in the in vitro perfused human placenta model (r 2 = 0.95, in vitro clearance-index model) and the drug octanol-water partition coefficient (r 2 = 0.99, in vitro partition-coefficient model). To determine the predictive capacity of these correlative models, we predicted the fetal/maternal steady-state plasma concentration ratio of each drug after excluding the data on that drug from the model fit. Both in vitro models to predict in vivo placental transfer of drug models resulted in good predictions of the observed fetal/maternal steady-state plasma concentration ratio (mean error: in vitro clearance-index model = -1. 2%; in vitro partition-coefficient model = 3.9%). We propose that our models will accurately predict the extent of placental transfer of dideoxynucleoside drugs against human immunodeficiency virus. The models may also be applicable to other classes of drugs, regardless of therapeutic category, provided that these drugs passively diffuse across the placenta. Such a result will expedite phase 1 clinical trials of drugs in pregnant women.

We present relative astrometric measurements of visual binaries made during the first semester of 2007, with the Pupil Interferometry Speckle camera and COronagraph (PISCO) at the 102-cm Zeiss telescope of Brera Astronomical Observatory, in Merate. Our sample contains orbital couples as well as binaries whose motion is still uncertain. We obtained 226 new measurements of 214 objects, with angular separations

The velocity–azimuth display (VAD) technique was designed to estimate the areal mean vertical profile of the horizontal wind above a ground-based Doppler radar. The method uses radial velocity observations under the assumption of a linear wind field, though it encounters difficulty when the observations are contaminated by velocity ambiguities, large noise, and when viable data exist only over a restricted azimuthal range. The method suggested in this paper uses gradients of radial velocity, rather than only the velocity itself, to derive wind profiles and thus is termed the gradient velocity–azimuth display (GVAD) technique. Both the VAD and GVAD methods are tested first on simulated data to examine their sensitivity to different type of errors in radial velocity. The retrieved mean wind profiles are shown to be insensitive to random errors in radial velocity, even at large amplitude. However, the VAD method is very sensitive to systematic errors caused by velocity ambiguities. The...

In this paper we assess accuracy of some commonly used estimators of upper quantiles of a right skewed distribution under both parameter and model uncertainty. In particular, for each of log-normal, log-logistic, and log-double exponential distributions, we study the bias ...

In selected patients undergoing epilepsy surgery, subdural electrode grids play an important role in localizing the epileptogenic zone and identifying eloquent cortex. Determining the relationship of the electrodes to underlying brain architecture traditionally has been difficult. This report describes and validates the use of an original computer-aided method that displays a representation of the electrode positions, based on postimplantation CT or MR findings, coregistered with a 3D-rendered image of the brain, on an image-guided surgery system. Seventeen patients underwent the procedure with visual verification of the actual and virtual grids undertaken during the second (postimplantation) surgery. The accuracy of the Virtual Grid electrode positions was further studied in a subgroup of five patients during surgery by plotting the distance from the actual electrode positions by using an infrared stereotactic probe. The accuracy of the Virtual Grid electrode positions by visual in...

We consider a distributed multi-agent network system where the goal is to minimize a sum of convex objective functions of the agents subject to a common convex constraint set. Each agent maintains an iterate sequence and communicates the iterates to its neighbors. Then, each agent combines weighted averages of the received iterates with its own iterate, and adjusts the iterate

SUMMARY: The point source recording can be decomposed into a set of plane-wave components with an arbitrary angle of propaga-tion. Such plane wave seismograms have a far simpler structure over spherical waves of the point source records, which makes them ...