This article addresses the problem of pricing European options when the underlying asset is not perfectly liquid.A liquidity discounting factor as a function of market-wide liquidity governed by a mean-reverting stoch...This article addresses the problem of pricing European options when the underlying asset is not perfectly liquid.A liquidity discounting factor as a function of market-wide liquidity governed by a mean-reverting stochastic process and the sensitivity of the underlying price to market-wide liquidity is firstly introduced,so that the impact of liquidity on the underlying asset can be captured by the option pricing model.The characteristic function is analytically worked out using the Feynman–Kac theorem and a closed-form pricing formula for European options is successfully derived thereafter.Through numerical experiments,the accuracy of the newly derived formula is verified,and the significance of incorporating liquidity risk into option pricing is demonstrated.展开更多
Myelin basic protein（MBP） is an essential structure involved in the generation of central nervous system（CNS）myelin.Myelin shape has been described as liquid crystal structure of biological membrane.The interactio...Myelin basic protein（MBP） is an essential structure involved in the generation of central nervous system（CNS）myelin.Myelin shape has been described as liquid crystal structure of biological membrane.The interactions of MBP with monolayers of different lipid compositions are responsible for the multi-lamellar structure and stability of myelin.In this paper,we have designed MBP-incorporated model lipid monolayers and studied the phase behavior of MBP adsorbed on the plasma membrane at the air/water interface by thermodynamic method and atomic force microscopy（AFM）.By analyzing the pressure–area（π–A） and pressure–time（π–T） isotherms,univariate linear regression equation was obtained.In addition,the elastic modulus,surface pressure increase,maximal insertion pressure,and synergy factor of monolayers were detected.These parameters can be used to modulate the monolayers binding of protein,and the results show that MBP has the strongest affinity for 1,2-dipalmitoyl-sn-glycero-3-phosphoserine（DPPS） monolayer,followed by DPPC/DPPS mixed and1,2-dipalmitoyl-sn-glycero-3-phospho-choline（DPPC） monolayers via electrostatic and hydrophobic interactions.AFM images of DPPS and DPPC/DPPS mixed monolayers in the presence of MBP（5 n M） show a phase separation texture at the surface pressure of 20 m N/m and the incorporation of MBP put into the DPPC monolayers has exerted a significant effect on the domain structure.MBP is not an integral membrane protein but,due to its positive charge,interacts with the lipid head groups and stabilizes the membranes.The interaction between MBP and phospholipid membrane to determine the nervous system of the disease has a good biophysical significance and medical value.展开更多
基金support for a three-year project funded by the ARC(Australian Research Council funding scheme DP170101227)with which first author’s visiting fellowship was provided for his visit to UoW between Jan 2019 and Dec 2019+1 种基金support provided by the National Natural Science Foundation of China(No.12101554)the Fundamental Research Funds for Zhejiang Provincial Universities(No.GB202103001).
文摘This article addresses the problem of pricing European options when the underlying asset is not perfectly liquid.A liquidity discounting factor as a function of market-wide liquidity governed by a mean-reverting stochastic process and the sensitivity of the underlying price to market-wide liquidity is firstly introduced,so that the impact of liquidity on the underlying asset can be captured by the option pricing model.The characteristic function is analytically worked out using the Feynman–Kac theorem and a closed-form pricing formula for European options is successfully derived thereafter.Through numerical experiments,the accuracy of the newly derived formula is verified,and the significance of incorporating liquidity risk into option pricing is demonstrated.
基金Project supported by the National Natural Science Foundation of China(Grant Nos.21402114 and 11544009)the Natural Science Basic Research Plan in Shaanxi Province of China(Grant No.2016JM2010)+1 种基金the Fundamental Research Funds for the Central Universities of China(Grant No.GK201604004)the National University Science and Technology Innovation Project of China(Grant Nos.201610718014 and cx16018)
文摘Myelin basic protein（MBP） is an essential structure involved in the generation of central nervous system（CNS）myelin.Myelin shape has been described as liquid crystal structure of biological membrane.The interactions of MBP with monolayers of different lipid compositions are responsible for the multi-lamellar structure and stability of myelin.In this paper,we have designed MBP-incorporated model lipid monolayers and studied the phase behavior of MBP adsorbed on the plasma membrane at the air/water interface by thermodynamic method and atomic force microscopy（AFM）.By analyzing the pressure–area（π–A） and pressure–time（π–T） isotherms,univariate linear regression equation was obtained.In addition,the elastic modulus,surface pressure increase,maximal insertion pressure,and synergy factor of monolayers were detected.These parameters can be used to modulate the monolayers binding of protein,and the results show that MBP has the strongest affinity for 1,2-dipalmitoyl-sn-glycero-3-phosphoserine（DPPS） monolayer,followed by DPPC/DPPS mixed and1,2-dipalmitoyl-sn-glycero-3-phospho-choline（DPPC） monolayers via electrostatic and hydrophobic interactions.AFM images of DPPS and DPPC/DPPS mixed monolayers in the presence of MBP（5 n M） show a phase separation texture at the surface pressure of 20 m N/m and the incorporation of MBP put into the DPPC monolayers has exerted a significant effect on the domain structure.MBP is not an integral membrane protein but,due to its positive charge,interacts with the lipid head groups and stabilizes the membranes.The interaction between MBP and phospholipid membrane to determine the nervous system of the disease has a good biophysical significance and medical value.
