Wen-Ting Chen

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This paper investigates the pricing of double barrier options when the price change of the underlying is considered as a fractal transmission system. In this scenario, the option price is governed by a modified Black–Scholes equation with a time-fractional derivative. In comparison with standard derivatives of integer order, the fractional-order derivatives(More)
BACKGROUND Avian reovirus (ARV) is a member of the Orthoreovirus genus in the Reoviridae family. It is the etiological agent of several diseases, among which viral arthritis and malabsorption syndrome are the most commercially important, causing considerable economic losses in the poultry industry. Although a small but increasing number of reports have(More)
Interleukin-1β is a cytokine critically involved in immune and inflammatory responses. To extend its use as a component of avian vaccines, a circularly permuted chicken interleukin-1β was synthesized that maintains its activity after pre-incubation at high temperatures, unlike wild-type chicken interleukin-1β, which is irreversibly inactivated at high(More)
In this paper, we present a ‘‘correction’’ to Merton’s (1973) well-known classical case of pricing perpetual American puts by considering the same pricing problem under a general fast mean-reverting SV (stochastic-volatility) model. By using the perturbation method, two analytic formulae are derived for the option price and the optimal exercise price,(More)
In this paper, two analytic solutions for the valuation of European-style Parisian and Par. asian options under the Black-Scholes framework are, respectively, presented. A key feature of our solution procedure is the reduction of a three-dimensional problem to a two-dimensional problem through a coordinate transform designed to combine the two time(More)
Receptor-binding and subsequent signal-activation of interleukin-1 beta (IL-1β) are essential to immune and proinflammatory responses. We mutated 12 residues to identify sites important for biological activity and/or receptor binding. Four of these mutants with mutations in loop 9 (T117A, E118K, E118A, E118R) displayed significantly reduced biological(More)
In this paper, we apply singular perturbation techniques to price European puts with a stochastic volatility model, and derive a simple and elegant analytical formula as an approximation for the value of European put options. In contrast to the existing Heston’s semi-analytical formula, this approximation has the following unique feature: the latter only(More)
Based on the Legendre pseudospectral method, we propose a numerical treatment for pricing perpetual American put option with stochastic volatility. In this simple approach, a nonlinear algebraic equation system is first derived, and then solved by the Gauss-Newton algorithm. The convergence of the current scheme is ensured by constructing a test example(More)