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Implied volatility estimation of bitcoin options and the stylized facts of option pricing

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Financial Innovation 2021年第1期7卷 1508-1537页

作者： Noshaba zulfiqar saqib Gulzar COMSATS University Islamabad-Wah Campus Wah CanttPakistan

The recently developed Bitcoin futures and options contracts in cryptocurrency derivatives exchanges mark the beginning of a new era in Bitcoin price risk *** need for these tools dates back to the market crash of 1987,when investors needed better ways to protect their portfolios through option *** tools provide greater flexibility to trade and hedge volatile swings in Bitcoin prices *** violation of constant volatility and the log-normality assumption of the Black–Scholes option pricing model led to the discovery of the volatility smile,smirk,or skew in options *** stylized facts;that is,the volatility smile and implied volatilities implied by the option prices,are well documented in the option literature for almost all financial *** are expected to be true for Bitcoin options as *** data sets for the study are based on short-dated Bitcoin options(14-day maturity)of two time periods traded on Deribit Bitcoin Futures and Options Exchange,a Netherlandsbased cryptocurrency derivative *** estimated results are compared with benchmark Black–Scholes implied volatility values for accuracy and efficiency *** study has two aims:(1)to provide insights into the volatility smile in Bitcoin options and(2)to estimate the implied volatility of Bitcoin options through numerical approximation techniques,specifically the Newton Raphson and Bisection *** experimental results show that Bitcoin options belong to the commodity class of assets based on the presence of a volatility forward skew in Bitcoin option ***,the Newton Raphson and Bisection methods are effective in estimating the implied volatility of Bitcoin ***,the Newton Raphson forecasting technique converges faster than does the Bisection method.

关键词： Bitcoin options Deribit Bitcoin smile Implied volatility estimation Numerical estimation

Morphological and electrical properties of SrTiO3/TiO2/SrTiO3 sandwich structures prepared by plasma sputtering

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Chinese Physics B 2017年第1期26卷 156-159页

作者： saqib Jabbar Riaz ahmad Paul K Chu Government College University Lahore 54000 Pakistan Department of Physics and Materials Science City University of Hong Kong Kowloon Hong Kong China

SrTiO3（STO） and TiO2 are insulating materials with large dielectric constants and opposite signs of the quadratic coefficient of voltage（α）. Insertion of a TiO2 thin film between STO layers increases the linearity of the capacitance in response to an applied voltage, to meet the increasing demand of large-capacitance-density dynamic random access memory capacitors. Both STO and TiO2 suffer from the problem of high leakage current owing to their almost equivalent and low bandgap energies. To overcome this, the thickness of the thin TiO2 film sandwiched between the STO films was varied. A magnetron sputtering system equipped with radio frequency and direct current power supply was employed for depositing the thin films. Ti N was deposited as the top and bottom metal electrodes to form a metal–insulator metal（MIM） structure,which exhibited a very large linear capacitance density of 21 fF/um-2 that decreased by increasing the thickness of the TiO2 film. The leakage current decreased with an increase in the thickness of TiO2, and for a 27-nm-thick film, the measured leakage current was 2.0 × 10^-10 A. X-ray diffraction and Raman spectroscopy revealed that Ti N, STO, and TiO2 films are crystalline and TiO2 has a dominant anatese phase structure.

关键词： strontium titanate Raman spectroscopy plasma deposition MIM capacitor

Thermal Decomposition Kinetics of Some Di- and Triorganotin（IV） Carboxylates Derived from para-Nitrophenylethanoic Acid

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Chinese Journal of Chemistry 2011年第7期29卷 1359-1365页

作者： Danish, Muhammad ahmad, Nazir Ali, saqib Muhammad, Niaz Department of Chemistry University of Gujrat Hafiz Hayat Campus Gujrat-50700 Pakistan Department of Chemistry University of Sargodha Srgoadha 40100 Pakistan Department of Chemistry Quaid-i-Azam University Islamabad-45320 Pakistan

Thermogravimetric （TG） investigations of organotin（IV） carboxylates with the general formula RmSnL4-m （where R=CH3, C2H5, n-C4H9, C6H5, cyclo-C6H11, n-C8H17, m=2, 3, and L=para-nitrophenylethanoate anion） have been performed. Derivative thermogravimetry （DTG） and differential thermal analysis （DTA） techniques, Horowitz-Metzger method and the fundamental thermodynamic relations are used to evaluate the thermokinetic pa- rameters of each thermal degradation pattern. Results reveal that the thermal stability is functional to Sn--C and Sn--O bonds. In the case of R2SnL2, activation energy, reaction order and pre-exponential factor associated with the bulk degradation processes increase as the alkane chain length increases. Hence, Oct2SnL2 is thermally more stable than Bu2SnL2, which in turn is more resistant to thermal dissociation than Et2SnL2. The same phenomenon is not observed for R3SnL compounds because their degradation is highly irregular. Furthermore, R2SnL2 has larger values of kinetic parameters than those of corresponding triorganotin（IV） para-nitrophenylethanotes. Thermodynamic parameters of these compounds also reinforce the above facts.

关键词： organotin(IV) caroxylate thermogravimetry decomposition kinetics activation energy thermodynamics

Optimization of gob ventilation boreholes design in longwall mining

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International Journal of Mining Science and Technology 2020年第6期30卷 811-817页

作者： saqib ahmad Saki Jürgen F.Brune Muhammad Usman Khan University of Engineering and Technology Lahore Lahore 54890Pakistan Colorado School of Mines GoldenCO 80401USA

Gob ventilation boreholes(GVBs)are widely used for degasification in *** coal *** on geological conditions,30–50%of methane can be recovered from longwall gob using GVBs.A NIOSH funded research at the Colorado School of Mines confirmed that GVBs can efficiently reduce methane at the ***,GVBs can also draw some fresh air from the face and create explosive gas zones(EGZs).Explosive gas mixtures may be formed in gob areas due to the increased ingress of oxygen from *** is critical to identify the locations for GVBs for maximizing extraction of methane and minimizing hazards of *** study analyzes the effect of operating parameters and design of GVB on methane extraction,EGZs formation,and face and tailgate methane *** extraction,formation of EGZs,and concentration of methane in working areas are significantly impacted by various *** factors include the distance of work face and tailgate from GVBs,diameter of GVBs,vacuum pressure of wellhead,GVB distance from the roof of the coal seam,and number of operating GVBs in a *** fluid dynamics(CFD)evaluations suggest optimal design and operating parameters of GVBs that can contribute to maximum benefits with minimum risks.

关键词： Longwall mining Explosive gas zones Computational fluid dynamics Gob ventilation boreholes

On Computer Implementation for Comparison of Inverse Numerical Schemes for Non-Linear Equations

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Computer Systems Science & Engineering 2021年第3期36卷 493-507页

作者： Mudassir Shams Naila Rafiq Nazir ahmad Mir Babar ahmad saqib Abbasi Mutee-Ur-Rehman Kayani Department of Mathematics and Statistics Riphah International UniversityI-14Islamabad44000Pakistan Department of Mathematics NUMLIslamabadPakistan Department of Mathematics Comsats UniversityIslamabad44000Pakistan

In this research article,we interrogate two new modifications in inverse Weierstrass iterative method for estimating all roots of non-linear equation *** modifications enables us to accelerate the convergence order of inverse Weierstrass method from 2 to *** analysis proves that the orders of convergence of the two newly constructed inverse methods are *** computer algebra system Mathematica,we find the lower bound of the convergence order and verify it *** planes of the inverse simultaneous methods and classical iterative methods are generated using MATLAB(R2011b),to present the global convergence properties of inverse simultaneous iterative methods as compared to classical *** non-linear models are taken from Physics,Chemistry and engineering to demonstrate the performance and efficiency of the newly constructed *** CPU time,and residual graphs of the methods are provided to present the dominance behavior of our newly constructed methods as compared to existing inverse and classical simultaneous iterative methods in the literature.

关键词： Non-linear equation inverse iterative method simultaneous method basins of attraction lower bound of convergence

The effect of positive/negative ion on the dust grain charging process in a Vasyliunas-Cairns (VC)-distributed dusty plasma system

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Plasma Science and Technology 2019年第6期21卷 58-62页

作者： N ahmad A A ABID Y AL-HADEETHI M N S QURESHI saqib REHMAN Department of Engineering and Applied Physics University of Science and Technology of China Hefei 230026 People's Republic of China CAS Key Laboratory of Geospace Environment Department of Geophysics and Planetary ScienceUniversity of Science and Technology of China Hefei 230026 People's Republic of China Department of Physics Faculty of Sciences King Abdulaziz Unniversity Jeddah 21589 Saudi Arabia Department of Physics GC University Lahore 54000 Pakistan Department of Chemical Physics University of Science and Technology of China Hefei 230026People's Republic of China

Charging mechanism of dust particles has been considered as a growing research area in dusty plasma physics because of its exciting *** this paper,we consider a low-temperature non-equilibrium multispecies plasma model,which consists of Vasyliunas-Caims (VC) distributed electrons,negative/positive streaming ions,and negatively-charged dust grains to explain the charging mechanism of dust *** main theme of this work is to derive expressions of currents for negatively-charged dust grains (considering an equilibrium state position) in the plasma environment comprised of electrons and positive/negative streaming ions using the VC distribution *** proposed model shows that the dust grain surface potential is significantly affected by different plasma parameters such as the negative ion streaming velocity (Sn),positive ion streaming velocity (Si),spectral indices of VC distribution,negative ion charging state (Zn),positive ion charging state (Zi),and negative ion number density (ρ).

关键词： dust grain surface potential vasyliunas-cairns power law velocity distribution function multi species plasma

Analysis of Silver Nanoparticles in Engine Oil: Atangana–Baleanu Fractional Model

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Computers, Materials & Continua 2021年第6期67卷 2915-2932页

作者： saqib Murtaza Farhad Ali Nadeem ahmad Sheikh Ilyas Khan Kottakkaran Sooppy Nisar Department of Mathematics City University of Science and Information TechnologyPeshawar25000Pakistan Computational Analysis Research Group Ton Duc Thang UniversityHo Chi Minh City70000Vietnam Faculty of Mathematics and Statistics Ton Duc Thang UniversityHo Chi Minh City70000Vietnam Department of Mathematics College of Science Al-ZulfiMajmah UniversityAl-Majmah11952Saudi Arabia Department of Mathematics College of Arts and SciencePrince Sattam bin Abdulaziz UniversityWadi Al-Dawaser11991Saudi Arabia

The present article aims to examine the heat and mass distribution in a free convection flow of electrically conducted,generalized Jeffrey nanofluid in a heated rotatory *** flow analysis is considered in the presence of thermal radiation and the transverse magnetic field of strength *** medium is porous accepting generalized Darcy’s *** motion of the fluid is due to the cosine oscillations of the *** has been formed by the uniform dispersing of the Silver nanoparticles in regular engine *** problem has been modeled in the form of classical partial differential equations and then generalized by replacing time derivative with Atangana–Baleanu(AB)time-fractional *** taking the Laplace transform technique(LTT)and using physical boundary conditions,exact expressions have been obtained for momentum,energy,and concentration *** impact of a number of parameters on fluid flow is shown *** numerical tables have been computed for variation in the rate of heat and mass transfer with respect to rooted ***,the classical solution is recovered by taking the fractional parameter approaching *** is worth noting that by adding silver nanoparticles in regular engine oil,its heat transfer rate increased by 14.59%,which will improve the life and workability of the engine.

关键词： Jeffrey fluid silver nanoparticles engine oil Atangana-Baleanu fractional derivatives Laplace transform technique

Exact Analysis of Non-Linear Fractionalized Jeffrey Fluid.A Novel Approach of Atangana-Baleanu Fractional Model

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Computers, Materials & Continua 2020年第12期65卷 2033-2047页

作者： saqib Murtaza Farhad Ali Aamina Nadeem ahmad Sheikh Ilyas Khan Kottakkaran Sooppy Nisar Department of Mathematics City University of Science and Information TechnologyPeshawarKhyber PakhtnkhwaPakistan Computational Analysis Research Group Ton Duc Thang UniversityHo Chi Minh CityVietnam Faculty of Mathematics and Statistics Ton Duc Thang UniversityHo Chi Minh CityVietnam Department of Mathematics College of Science Al-ZulfiMajmah UniversityAl-Majmah11952Saudi Arabia Department of Mathematics College of Arts and SciencesPrince Sattam Bin Abdulaziz UniversityWadi AldawaserSaudi Arabia

It is a very difficult task for the researchers to find the exact solutions to mathematical problems that contain non-linear terms in the ***,this article aims to investigate the viscous dissipation(VD)effect on the fractional model of Jeffrey fluid over a heated vertical flat plate that suddenly moves in its own *** on the Atangana-Baleanu operator,the fractional model is developed from the fractional constitutive *** is responsible for the non-linear behavior in the *** taking the Laplace and Fourier sine transforms,exact expressions have been obtained for momentum and energy *** influence of relative parameters on fluid flow and temperature distribution is shown *** special cases,and for the sake of correctness,the corresponding results for second-grade fluid and Newtonian viscous fluid are also *** is interesting to note that fractional parameterαprovides more than one line as compared to the classical *** effect represents the memory effect in the fluid which is not possible to elaborate by the classical *** is also worth noting that the temperature profile of the generalized Jeffrey fluid rises for higher values of Eckert number which is due to the enthalpy difference of the boundary layer.

关键词： Viscous dissipation atangana-baleanu fractional derivative laplace transform fourier sine transform

Removing ammonia from air with a constant pH, slightly acidic water spray wet scrubber using recycled scrubbing solution

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Frontiers of Environmental Science & Engineering 2016年第6期10卷 159-168页

作者： ahmad Kalbasi Ashtari Amir M. Samani Majd Gerald L. Riskowski saqib Mukhtar Lingying Zhao Biological & Agricultural Engineering Deptartment Texas A&M University College Station TX 77843 USA University of Florida Gainesville FL 32611 USA Deptartment of Food Agriculatral and Biological Engineering Ohio State University Columbus OH 43210 USA

Previous research on wet scrubbers has only studied highly acidic scrubbing solutions because of their high ammonia capture efficiencies; however, the high acidity created practical problems. Lower acidity solutions would reduce corrosion, maintenance, and cost; however, designers may need to use strategies for increasing scrubber effectiveness, such as using lower air velocities. The objective of this studywas to determine if a spray scrubber with slightly acidic and higher p H scrubbing solution （pH from 2 to 8） could effectively remove NH3 from NH3 laden air （such as animal building exhaust air）, and also collect this valuable resource for rater use as a fertilizer. A bench-scale spray wet scrubber treated 20 ppmv NH3/air mixture in a countercurrent contact chamber. First, the solution pH was varied from 2 to 8while maintaining constant air velocity at 1.3 m. s-1. Next, air velocity was increased （2and 3 m.s-1） while solution pH remained constant at pH6. At 1.3 m.s -1, NH3 removal efficiencies ranged between 49.0% （pH8） and 84.3% （pH2）. This study has shown that slightly acidic scrubbing solutions are a practical means of removing ammonia from air especially if the scrubber is designed to increase collisions between solution droplets and NH3 molecules. The NH3 removed from the air was held in solution as NH4＋ and accumulates over time so the solution should be an excellent fertilizer.

关键词： Ammonia Spray wet scrubber Slightly acidic scrubbing solution Controlled pH Removal efficiency