Option Strategies Research Articles

Removal of nitrate nitrogen by aerobic denitrification granular sludge under strongly alkaline conditions: Performance and mechanism

Aerobic granular sludge (AGS) technology faces challenges in treating strongly alkaline wastewater because high pH affects sludge settleability and microbial metabolic activity. In this study, aerobic denitrification granular sludge (ADGS) was cultivated with strongly autoaggregating aerobic denitrifying bacteria as the sludge source at an influent pH of 11.0 under aerobic conditions. The formation characteristics of ADGS and its pollutant removal efficiency under strongly alkaline conditions were explored. Compared with ADGS cultivated under neutral conditions, ADGS cultivated under strongly alkaline conditions resulted in superior particle formation rates, settleability, particle strengths and particle stabilities. Nitrate nitrogen was almost completely removed at a pH of 11.0 under aerobic conditions. Protein, polysaccharides and humic acid in extracellular polymeric substances (EPS) under strongly alkaline conditions were involved in the ADGS formation process. In addition, the presence of metallic elements in the EPS and inorganic nuclei in the sludge facilitated the formation of ADGS. The strongly alkaline environment enriched the alkali-resistant aerobic denitrifying bacteria, such as unclassified_f__Rhodobacteraceae, Tessaracoccus, Halomonas, and Pseudofulvimonas, as well as specialized alkali-resistant genera. Furthermore, the strongly alkaline environment increased the abundance of key enzymes involved in carbon metabolism and upregulated the expression of nitrogen metabolism genes in the ADGS to maintain their metabolic activity. In addition, the microorganisms upregulated genes that encoded reverse transporter protein genes (mnhACEFG, nhaACP, and phaACDEFG) and K+ uptake protein genes (trkAHG) and secreted greater amounts of acidic functional groups and free amino groups to help maintain intracellular and extracellular osmolality and acid–base homeostasis under strongly alkaline stress. This research provides a possible option and innovative strategy for the management of highly alkaline nitrate-containing wastewater.

Enhancing Sustainability through Weather Derivative Option Contracts: A Risk Management Tool in Greek Agriculture

This paper investigates the efficacy of weather derivatives as a risk management tool in the agricultural sector of Naousa, Greece, focusing on tree crops sensitive to temperature variations. The specific purpose is to assess how effectively weather derivative options can mitigate financial risks for farmers by providing strategic solutions. The study assesses the strategic application of Heating Degree Days (HDD) index options and their potential to alleviate economic vulnerabilities faced by farmers due to temperatures fluctuations. Employing different strike prices in Long Call and Straddle options strategies on the HDD index, the research offers tailored risk management solutions that cater to varying risk aversions among farmers. Moreover, the study applies the Value at Risk (VaR) methodology to quantify the financial security that weather derivatives can furnish, revealing a significantly reduced probability of severe financial losses in hedged scenarios compared to no-hedge conditions. Results show that all implemented strategies effectively enhance financial outcomes compared to scenarios without hedging, highlighting the exceptional utility of weather derivatives as risk management tools in the agricultural sector. Strategy 4, which exhibits the lowest VaR, emerges as the most effective, providing substantial protection against adverse weather conditions. This research supports the notion that weather derivatives can substantially contribute to the economic sustainability of rural economies, influencing policy decisions toward enhancing financial instruments for risk management in agriculture.

Mitigating Risk with Conditional Option Strategies

Mitigating Risk with Conditional Option Strategies

Exercise-Induced Bronchoconstriction in Children: State of the Art from Diagnosis to Treatment.

Exercise-induced bronchoconstriction (EIB) is a common clinical entity in people with asthma. EIB is characterized by postexercise airway obstruction that results in symptoms such as coughing, dyspnea, wheezing, chest tightness, and increased fatigue. The underlying mechanism of EIB is not completely understood. "Osmotic theory" and "thermal or vascular theory" have been proposed. Initial assessment must include a specific work-up to exclude alternative diagnoses like exercise-induced laryngeal obstruction (EILO), cardiac disease, or physical deconditioning. Detailed medical history and clinical examination must be followed by basal spirometry and exercise challenge test. The standardized treadmill running (TR) test, a controlled and standardized method to assess bronchial response to exercise, is the most adopted exercise challenge test for children aged at least 8 years. In the TR test, the goal is to reach the target heart rate in a short period and maintain it for at least 6 min. The test is then followed by spirometry at specific time points (5, 10, 15, and 30 min after exercise). In addition, bronchoprovocation tests like dry air hyperpnea (exercise and eucapnic voluntary hyperpnea) or osmotic aerosols (inhaled mannitol) can be considered when the diagnosis is uncertain. Treatment options include both pharmacological and behavioral approaches. Considering medications, the use of short-acting beta-agonists (SABA) just before exercise is the commonest option strategy, but daily inhaled corticosteroids (ICS) can also be considered, especially when EIB is not controlled with SABA only or when the patients practice physical activity very often. Among the behavioral approaches, warm-up before exercise, breathing through the nose or face mask, and avoiding polluted environments are all recommended strategies to reduce EIB risk. This review summarizes the latest evidence published over the last 10 years on the pathogenesis, diagnosis using spirometry and indirect bronchoprovocation tests, and treatment strategies, including SABA and ICS, of EIB. A specific focus has been placed on EIB management in young athletes, since this condition can not only prevent them from practicing regular physical activity but also competitive sports.

Valuation and hedging of cryptocurrency inverse options

Currently, the most liquidly traded options on the crypto underlying are the so-called inverse options. An inverse option contract is quoted and traded in the units of the underlying cryptocurrency. The main economic reason for the popularity of inverse contracts in the crypto exchanges (such as Deribit) is that inverse contracts enable traders to operate without maintaining fiat cash accounts. For the theoretical part, we show that inverse options are just regular vanilla options considered under the martingale measure using the forward of the underlying as the numéraire. This measure requires an adjustment to option delta. For the empirical part, we use Deribit options data of past five years to backtest delta-hedged option strategies. We introduce USD and Coin accounting of trading Profit&Loss (P&L) which is important for designing strategies in crypto options. We show empirically that USD and Coin accounting rules are equivalent when performance is measured is Coin and USD units, respectively. We establish that the risk-premia observed in options on Deribit is negative and significant so that strategies selling volatility are expected to generate positive risk-adjusted performance in the long-term.

Stock Hedging Using Strangle Strategy on Vanilla Options and Capped Options

The financial market often experiences unexpected fluctuations that can impact stock values. Therefore, investors require hedging strategies to protect their investment values from unwanted price fluctuations. This study compares the hedging results using the strangle strategy on Vanilla options and Capped options on Micron Technology, Inc. (MU) stock. The methods used are Monte Carlo simulation and Black Scholes Merton to calculate the option prices. The research results indicate that the strangle strategy on Vanilla options has unlimited maximum profit potential, whereas on Capped options, the profit is capped above. However, the potential maximum loss on Capped options is lower than that on Vanilla options. Therefore, Capped options are preferred for hedging the MU stock. The research yields significant practical and theoretical benefits. Practically, it offers investors insights into more effective hedging choices for risk management and profit potential in the stock market. Opting for capped options allows investors to control risk better while preserving profit potential. Theoretically, the study enhances our understanding of cost efficiency and risk profiles across various options strategies, making a vital contribution to financial literature.

The asymmetry in day and night option returns: Evidence from an emerging market

AbstractDelta‐hedged option selling strategies typically yield positive returns, owing to the volatility risk premium embedded in the option price. Recent research based on S&P 500 options has found a day–night asymmetry in option returns. We find a similar disparity in the returns for short Nifty option strategies. Positive and significant overnight option returns are accompanied by negative intraday returns. The day–night asymmetry is robust across option categories and subsamples but weaker on days with significant jumps in the underlying. We confirm that the variance risk premium earned by option sellers is mainly a reward for overnight risk.

Venous Thrombosis and Thromboembolism of Pulmonary Artery in Plastic Surgery: Risk Factors, Course Options and Therapeutic Strategies

A detailed analysis of the literature was carried out and an analysis of our own clinical case of managing a patient with thrombosis of the veins of the lower extremities and thromboembolism of the pulmonary arteries, which developed after the procedure of abdominoplasty and liposuction, is presented. There are limited descriptions of thromboembolic events and their treatment after abdominoplasty and/or liposuction in the literature. The article summarizes modern mechanisms of development and variants of the course of venous thrombosis, pulmonary embolism and pulmonary fat embolism in plastic surgery, as well as approaches to the management of such patients, with special attention paid to the interdisciplinary approach.

Common risk factors in cross-sectional FX options returns

Abstract We identify a comprehensive list of thirty-eight characteristics for predicting cross-sectional FX options returns. We find that three factors—long-term straddle momentum, implied volatility, and illiquidity—can generate economically and statistically significant risk premia not explained by other return predictors. Meanwhile, the predictability of the other characteristics becomes insignificant after accounting for the FX option three-factor model. The significance of the three factors is confirmed through a series of robustness tests covering different data sources, alternative options strategies, diversification effects, bootstrapping, and omitting crisis years.

Effectiveness of Various Options Strategies for Exchange-Traded Funds

Effectiveness of Various Options Strategies for Exchange-Traded Funds

Analysis on Hedging and Risk Management of Options and Futures

Options play an irreplaceable role in today's financial markets This article begins with an introduction to the meaning and rules of use of options, where a party who owns an option has the right, but not the obligation, to buy or try to sell an asset at a particular price on or before a specific date. As the price of the underlying changes, the option price changes along with it, providing an opportunity to hedge risk and speculate. In the face of different market conditions, this article proposes different options strategies that enable investors to choose the right combination of options to mitigate risk and get more returns under different circumstances. Maximize gains or minimize losses by taking advantage of the different properties of call and put options and the effects of the combination. Finally, this article draws conclusions on the characteristics of futures in risk management and the implications for investors or companies.

High-accuracy DLP 3D printing of closed microfluidic channels based on a mask option strategy

High-accuracy DLP 3D printing of closed microfluidic channels based on a mask option strategy

An option-based capacity control mechanism for code-sharing alliances

This study addresses capacity control problems in code-sharing alliances, which deal with the determination of member airlines' booking limits. We propose an innovative option-based capacity control mechanism to overcome the drawback of inflexibility in blocked seat allotment for a two-airline code-sharing alliance. The mechanism incorporates the concept of a straddle, an advanced option strategy in finance, to allow member airlines the flexibility to tackle not only downward but also upward demand variations during the booking process. We design simulation experiments and use a case illustration to show scenarios when the code-sharing alliance can benefit from the proposed mechanism.

Design and analysis of direct abort trajectory for a crewed lunar mission based on the quasi-lambert problem

A direct design method for direct abort trajectory based on the quasi-lambert problem is proposed. The re-entry constraint is analytically addressed via a quasi-lambert problem instead of variables iteration and optimization method in the past. Then a new parameter is introduced to determine the plane. The exact solution is determined by differential correction based on the initial solution. Numerical simulation is carried out to test the validity and efficiency of the method. The comparison with STK verifies its reliability. Additionally, the characteristics of direct abort trajectory and their application in the option strategy for different abort ways are studied. The flight time and abort point affect the abort trajectories’ velocity increment and the latitude of the landing area.

Implementation of variance reduction techniques applied to the pricing of investment certificates

Certificates are structured financial instruments that aim to provide investors with investment solutions tailored to their needs. Certificates can be modeled using a bond component and a derivative component, typically an options strategy. The pricing of certificates is typically performed using the Monte Carlo numerical methodology. Such method allows for projections of the underlying using series of random numbers. The results obtained display an error (standard deviation) that depends on the number of simulations used and on the specific characteristics of the structured product. This work has the objective of minimizing the experimental error, and, consequently, of accelerating the speed of convergence using statistical techniques known in the literature as variance reduction methods. The most popular stochastic dynamics have been analyzed, like the classical Black and Scholes model, the Local Volatility model and the Heston model. Three certificates are analyzed in the paper and they are characterized by different payoffs. The variance reduction techniques, implemented in different programming languages (Python, Matlab and R), are: Latin Hypercube, Stratified Sampling, Antithetic Variables, Importance Sampling, Moment Matching and Control Variates

Optimal warranty option and post-warranty maintenance strategy under a warranty menu: from a consumer perspective

ABSTRACT As manufacturers continue to provide new and unique products and services for their customers, we argue that warranty menus with differentiated options are an often-overlooked unique selling point. Meanwhile, there is a huge swathe of customers who own durable products which are still in use even after the expiration of a warranty. It is in this area that we develop a research perspective which urges customers to consider warranty plans and post-warranty maintenance strategies simultaneously when making a purchasing decision. In this paper, through the lens of a consumer, we propose an integrated model of warranty and post-warranty maintenance under a flexible renewable warranty. This model takes into account repair limits and multiple failure types with time-varying probabilities. As part of this, a new post-warranty maintenance strategy is designed, in which the repair time-based corrective replacement and the age-based preventive replacement are combined. The life cycle cost rate of the product is minimised by a synthetic decision-making about the consumer’s warranty purchase and post-warranty maintenance strategy. Numerical studies show that there exists a joint optimal solution, which can help the customer to develop an optimal overall warranty-maintenance strategy under the warranty menu with minimised cost rate. Highlights An integrated model of warranty and post-warranty maintenance is developed. The warranty product has minor and catastrophic failures with time-varying probabilities. A flexible renewable warranty is considered for the consumer. A post-warranty maintenance strategy with the repair time limit is proposed. The optimal warranty-maintenance strategy is derived to minimise the Life cycle cost rate.

Strategy recommender for stock options in india using deep learning and live stock data from NSE

An Option is a financial instrument, which is extensively used in share markets, money markets, and commodity markets to hedge the investment risks. It acts as financial leverage investment and is a kind of derivative instrument along with forwards, futures and swaps, which are used for managing risk of the investors. Though derivatives are theoretically risk management and leveraged investment tools, it is mostly used as speculative tools. The objectives of this work is to build a positional stock trading strategy in derivatives (Options) and recommending the users the strategy based on the predicted price of the stock, and, to generate P&L charts and Payoff graphs based on different Options strategies selected by the user. For this, the stock market data is collected from various online sources such as NSE, and BSE websites. The contributions of this work include, a comparison of various strategies and to predict the range of the stock based on Implied Volatility (IV); providing the user with the Option Chain and enable to calculate several Options indicators like PCR, Max Pain; and, the implementation of machine learning algorithm (LSTM) to predict the sentiment of the stock. An interactive web application for users is created, which provides consolidated data in the form of a dashboard from where the users can analyse the stocks and make strategic decisions on procuring stocks.

Gastric Cancer: A Review of Risk Factors and New Insights into Treatment

Gastric cancer (GC) is one of the most frequent cancers in the world, which is ranked the fourth most prevalent cancer and the second leading cause of cancer death. GC is often diagnosed at a progressive phase when the majority of patients are ineligible for remedial therapies in this stage. In addition, the existing systemic chemotherapy exhibits low efficiency and minimum survival benefits. Nowadays, GC therapy is multidisciplinary and multiple option strategies are well-known; therefore, the present study reviewed new insights into chemotherapy agents and various alternative strategies, such as neoadjuvant and adjuvant therapy, nanotherapy, and natural medicines, which are suggested for GC treatment. Moreover, we evaluated current surgical techniques such as endoscopic and laparoscopic resection. We also summarized current findings in pathophysiology, epidemiology, risk factors, diagnosis, prevention, and screening approaches in GC.

Option-Strategy Indexes: A Powerful Tool for Improving Portfolios

The majority of multiasset investment portfolios allocate most of their assets to a mix of stocks and bonds, ostensibly relying on the observed negative correlation between the two asset classes for diversification. Unfortunately, the observed negative correlation between equities and fixed income is not guaranteed to continue. Furthermore, although rates are beginning to rise from historic lows, bonds may take some time to provide satisfactory yields. Equity options may be used to reduce the risk of portfolios, generate income, or both. Historically, options strategies have been out of reach for most investors, but a growing number of exchange-traded funds offer access to option strategy indexes that can provide the potential for material improvements in the risk and reward of portfolios. In this article, the authors introduce a set of option strategy indexes linked to the NASDAQ-100 Index that can be accessed via exchange-traded funds and demonstrate how they can add value to multiasset portfolios.

The outcome of pulmonary function tests and high-resolution computed tomography of chest in post-coronavirus disease 2019-confirmed cases after 3 months of recovery

Background Coronavirus disease (COVID-19) is a recently prevalent infectious disease that is caused by a virus from the coronavirus family and causes acute respiratory syndrome. It is a pandemic catastrophe that has affected more than 60 million people around the world and has caused about 1.5 million deaths, as reported by the WHO. This disease affects the respiratory system and leads to different forms of symptoms and signs. Pneumonia is a common cause for hospitalization, with most patients treated in hospital wards and others requiring ICU. Although the number of complete recoveries from COVID-19 has increased, there is still concern about complications associated with the disease that appear after recovery. The studies that have looked at past types and other forms of coronavirus epidemics, such as SARS have shown that some cases had respiratory complications from the infection after being full recovered, as 36 and 30% of the entire study population had clinical and high-resolution computed tomography (HRCT) changes at 3 and 6 months after recovery, respectively. Mostly, the abnormalities seen in pulmonary function test (PFT) results are sequelae of diffusion capacity defect. In recovered cases of Middle East respiratory syndrome, 36% of patients showed HRCT sequelae at follow-up of 6 weeks, because of fibrosis. Data on COVID-19 indicate that prolonged disease and persistent symptoms show post-PFT affection and follow-up radiographic changes after recovery from COVID-19 as interstitial pulmonary changes and a degree of pulmonary vasculopathy. In recovered cases of COVID-19, capacity of diffusion is the commonest defect in lung function, followed by the restrictive pattern defects on spirometry; both are related to the degree of severity of pneumonic COVID-19. PFTs (involving spirometry as well as diffusion capacity) are considered as routine follow-up examinations for some of the recovered cases, especially severe cases. Rehabilitation programs of the respiratory system are an option strategy that might be considered. This study aims to show changes in pulmonary function and HRCT of chest in post-COVID-19-infected patients to detect long-term effects on the lungs after 3 months as obstructive or restrictive, or both, lung diseases. Patients and methods The study was conducted on 100 confirmed PCR-positive COVID-19 cases that were admitted to Ain Shams University Isolation Hospitals, and the follow-up was performed in the outpatient clinic. PCR samples (Combined nasopharyngeal and oropharyngeal swab) were taken after 3 months from discharge of patients above the age of 18 years who become negative with clinical improvement. PFT [spirometry and diffusion for carbon monoxide (DLCO)] and chest HRCT were done. All patients’ clinical data were recorded, and CT chest imaging data of these patients were correlated with the clinical data. Results A total of 100 patients were included in this study, where males represented 58% and female represented 42%. The mean±SD age of cases in this study was 45.05 ± 11.80 years and ranged from 20 to 79 years. CT chest severity score (SS) of abnormality in COVID-19-infectedd patients based on HRCT chest findings before and after 3 months from treatment showed a highly significant correlation (P=0.000). The results of PFT in the studied group after 3 months of discharge showed restrictive pattern in 14.9%, obstructive pattern in 17.8%, and both obstructive and restrictive patterns in 5.9% of the total number of cases. There was a significant correlation between DLCO abnormality findings and age of studied group (P=0.032), a significant correlation between abnormality findings on PFT and HRCT chest SS after discharge of the studied group (P<0.001). There was a significant correlation between abnormality findings of DLCO and HRCT chest SS after 3 months of the studied group (P=0.000) and before treatment (P=0.001), whereas there was no significant correlation between other findings of PFT and HRCT chest SS after 3 months and before. There was a significant correlation between HRCT chest SS of the studied group and their age after (P=0.003) and before treatment (P=0.000). This cohort study provided the long-term dynamic sequelae and variations of lung function after hospital discharge. Conclusion DLCO-predicted value detected at 3 months is the most important factor associated with severe respiratory COVID-19, which is identified as the cause of impairment of any ordinary basic activity of patients in the stage of postrecovery from COVID-19. The radiological chest findings must be analyzed in conjunction with other functional parameters to provide accurate assessment of the disease. These findings highlight the significance of a comprehensive follow-up after severe and critical COVID-19 infection, with appropriate management of pulmonary consequences. Patients after discharge and on follow-up in outpatient clinics in the post-COVID-19 stage should be strictly followed up with PFTs. Further studies with longer follow-up periods might be needed.