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Date: 2002-08-01T09:04:55+01:00This feature, excerpted from Wolfgang Engel's ShaderX book from Wordware
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glot international call for squibs > from lisa cheng and rint sybesma , editors of glot international next year glot international will start featuring a squib section . we invite everybody to send us squibs on any subject in any field of " theoretical " linguistics . since we appear monthly ( almost ! ) and our production time is relatively short , we will be able to publish squibs very soon after their acceptance . the review procedure we have set up is also geared at losing as little time as possible . what squibs are ? what squibs do ? squibs inspire . they present ideas , yet to be fleshed out but one at the time . they find connections between facts that nobody ever thought were related . they spell out the beginning of a new analysis , not necessarily daring . they give you new facts from old languages and old facts in a new guise . they come up with beautiful observations that somehow seem theoretically relevant as well . they tell you about wonderful problems and possibly only hint at a solution . and they have the length of one page in glot international , which is about 1500 words ( including the references ! ) . if you are interested in submitting a squib , please send us three hard copies and one soft copy to the addresses below . however , before sending us anything , please consult the guidelines for authors on the our web site ( www . hagpub . com / glot . htm ) or send us an e-mail if you prefer to receive the guidelines by e-mail or regular mail . our addresses : e-mail : glot @ rullet . leidenuniv . nl regular mail : lisng and rint sybesma glot international department of general linguistics leiden university p . o . box 9515 2300 ra leiden the netherlands * * * * * * * * * * * * * * * * * * * * * * * * * * * lisa cheng and rint sybesma editors glot international hil / department of general linguistics leiden university po box 9515 2300 ra leiden the netherlands fax : + 31-70 - 448-0177 http : / / www . hagpub . com / glot . htm
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re : aluminium asian digital options anjam , we can use moment matching to find the " effective " volatility and dividend yield for the average . then we can apply the european digital option formula . attached please find the c - code i did for asian spread option , when i find the effective vol and drift for both averages then find the option value by calling the european spread option . you can do just the same for the asian digital option . it would be nice to do a monte - carlo , just checking the accuracy of the approximation . it was nice to have you here , we are impressed by the work you have done . keep up the good work . zimin enron capital & trade resources corp . - europe from : anjam ahmad 07 / 27 / 2000 10 : 14 am to : zimin lu / hou / ect @ ect cc : subject : aluminium asian digital options hi zimin , russell placket of mg metals just talked to me about the issue of pricing a strip of twelve monthly asian digital options on lme aluminium . as i understand , the payoff to the customer is a fixed cash amount that wil be paid if the average of the closing prices of aluminium for a month are greater than the strike agreed in advance , where holiday days do not contribute to the average . russell mentioned that this would be a set of 12 monthly options starting in jan - 01 , and that the lme price for jan - 01 of $ 1572 . 5 ( which is the future converging to the spot price on the 3 rd wednesday in jan 01 ) can be used as a proxy / estimate for the average for the month . do you have a model for asian digitals or should i proceed with monte carlo to price this , maybe using european digital option model as control variate ? thanks , anjam x 35383
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