Dissertations / Theses on the topic 'Contract option'
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Chen, Kwok-wang. "Evaluation of market efficiency of stock options in Hong Kong /." Hong Kong : University of Hong Kong, 1997. http://sunzi.lib.hku.hk/hkuto/record.jsp?B18837372.
Full textLiu, Jinhe. "Four essays in contracts and industrial organizations /." View abstract or full-text, 2005. http://library.ust.hk/cgi/db/thesis.pl?ECON%202005%20LIU.
Full textFERREIRA, BERNARDO DE MENDONCA G. "VALUATION OF AN OPTION OVER A FUTURE CONTRACT." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2006. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=9323@1.
Full textO objeto desta dissertação é desenvolver um modelo baseado em técnicas de simulação e árvore binomial para valorar uma opção de compra européia sobre um contrato futuro. Os modelos diferem na abordagem da estimação de parâmetros e principalmente na estrutura de geração das taxas futuras. O modelo Black, Derman & Toy utiliza árvore binomiais para construir possibilidades futuras de exercício da opção. Este modelo é classificado de não arbitragem porque utiliza a estrutura a termo da taxa de juros como informação inicial para precificar derivativos de taxa de juros como títulos. O modelo de Vasicek é classificado como modelo de equilíbrio porque assume que o processo estocástico da taxa de juros possui um fator comum de incerteza simulada pelo método de Monte Carlo. A ferramenta será fundamentada na teoria de derivativos e processos estocásticos para simular o comportamento do ativo objeto. O trabalho a ser desenvolvido enfoca um modelo de um fator, no qual toda a estrutura a termo da taxa de juros é explicada pela evolução da taxa de juros spot.
The object of this work is to develop a model based on techniques of simulation and binomial tree to valuate a call option over a future contract. The tool will be based on the theory of derivatives and stochastic processes to simulate the behavior of the active object. The model Black, Derman & Toy uses binomial tree to construct future possibilities of exercise of the option. This model is classified of not arbitration because it uses the yeld curve as initial information to valuate derivatives of interests. The model of Vasicek is classified as balance model because it assumes that the random process of the tax of interests has one factor of uncertainty simulated for the Monte method Carlo. The work developed is a model of one factor which all the structure the term of the tax of interests is explained by the evolution of the tax of interests spot.
Nguyen, Duc Anh. "Improving Public-Private Partnership Contracts through Risk Characterization, Contract Mechanisms, and Flexibility." Diss., Virginia Tech, 2017. http://hdl.handle.net/10919/78275.
Full textPh. D.
Schmid, Moura Miguel. "Impact of Filtration on Energy Contract Valuation." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/05609615001/$FILE/05609615001.pdf.
Full textChen, Kwok-wang, and 陳國宏. "Evaluation of market efficiency of stock options in Hong Kong." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1997. http://hub.hku.hk/bib/B31267889.
Full textUnver, Ibrahim Emre. "Pricing And Hedging A Participating Forward Contract." Master's thesis, METU, 2013. http://etd.lib.metu.edu.tr/upload/12615532/index.pdf.
Full textROCHA, ANDRE BARREIRA DA SILVA. "VALUATION OF AIRLINE AS A REAL OPTION: TO CONTINUE, TO EXPAND, TO CONTRACT OR TO ABANDON?" PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2003. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=3708@1.
Full textThe Black & Scholes and the binomial models for financial options valuation give, as a result, premiums whose value increases proportionally to the increase of the degree of uncertainty about the return of the underlying assets, as measured by the standard deviation. When companies are valuated, financial options theory can be extended to valuate them as real options. This method is adequate when analysing company assets subjected to great uncertainty, in which the options flexibility adds considerable value to the physical assets. In this context, this research shows the analysis of an international airline of a regular passenger air transport company. The analysis is adequate as long as the air transport industry, nowadays in crisis, is subjected to strong uncertainties like passenger revenue and fuel costs. Through the real options analysis, the research showed that the flexibility given by the options of increasing or decreasing flights frequencies, and even of abandoning operations, together with the Market uncertainties, adds considerable value to the assets of an air carrier. In this sense, valuating them only according to the orthodox method of the Net Present Value in a scenario of crisis as nowadays, is an incomplete analysis. The study was based on a discrete time and discrete state model, combining the evolution of revenue and fuel cost uncertainties according to a quadrinomial decision tree.
Kole, Huseyin. "Analysis Of An Options Contract In A Dual Sourcing Supply Chain Under Disruption Risk." Master's thesis, METU, 2012. http://etd.lib.metu.edu.tr/upload/12614937/index.pdf.
Full textin the partial information model, the options are exercised after getting disruption information before demand information. In the no information model, there is no options contract and units are ordered from the reliable supplier when buyer has no information about demand and disruption. Through the analysis of these models, we explore the value of advance demand and disruption information in the presence of an options contract.
Wanga, Godwill George. "Hedging Exchange Rate Risks." ScholarWorks, 2017. https://scholarworks.waldenu.edu/dissertations/3373.
Full textHe, Yi. "Topics in contract pricing and spot markets." Diss., Atlanta, Ga. : Georgia Institute of Technology, 2008. http://hdl.handle.net/1853/24792.
Full textCommittee Chair: Anton Kleywegt; Committee Member: Dong Jun Wu; Committee Member: Ellis Johnson; Committee Member: George L. Nemhauser; Committee Member: Pinar Keskinocak.
Wignall, Christopher David. "The economics of real estate brokerage and contracts." Diss., [La Jolla] : University of California, San Diego, 2009. http://wwwlib.umi.com/cr/ucsd/fullcit?p3356245.
Full textCores, Ferradas Roberto, and Ramírez Víctor Valdez. "Treatment of the Call Spread options and the premiums associates to financial options in the Income Tax." IUS ET VERITAS, 2017. http://repositorio.pucp.edu.pe/index/handle/123456789/123035.
Full textEn el presente artículo, los autores explican el tipo de tratamiento que se debería dar a las opciones Call Spread. Sostienen que debería ser tratado como un derivado único y no como uno compuesto por dos elementos independientes. Asimismo, señalan a la prima como un elemento inherente a la determinación de las eventuales ganancias o pérdidas definitivas generadas por las opciones financieras que se decida adoptar. Como punto importante, indican que adoptar una posición específica sobre el tratamiento de las opciones Call Spread y de las primas supone una posición sobre su determinación en el Impuesto a la Renta.
Lee, Jinpyo. "A method for distribution network design and models for option-contracting strategy with buyers' learning." Diss., Atlanta, Ga. : Georgia Institute of Technology, 2008. http://hdl.handle.net/1853/29620.
Full textCommittee Chair: Kleywegt, Anton J.; Committee Member: Ayhan, Hayriye; Committee Member: Dai, Jim; Committee Member: Erera, Alan; Committee Member: Ward, Amy R. Part of the SMARTech Electronic Thesis and Dissertation Collection.
López, Fung Jorge. "Contractual innovations: Memorandum of Understanding." IUS ET VERITAS, 2017. http://repositorio.pucp.edu.pe/index/handle/123456789/122593.
Full textEl presente artículo aborda los aspectos más relevantes del Memorando de Entendimiento o Memorandum of Understanding, una de las figuras contractuales más importantes de nuestros tiempos. A lo largo del artículo, el autor explica esta figura a la luz de pronunciamientos doctrinarios y jurisprudenciales y, asimismo, determina su naturaleza jurídica y el tratamiento que el ordenamiento jurídico peruano debe otorgarle.
Gurioli, Andrea. "Ethereum alla prova dei fatti: Analisi sull'utilizzo degli smart contracts per l'implementazione di opzioni nei mercati finanziari." Bachelor's thesis, Alma Mater Studiorum - Università di Bologna, 2020. http://amslaurea.unibo.it/20602/.
Full textOelofse, Rudolf P. "Die verskansing van 'n aandeleportefeulje deur gebruik te maak van opsie- en termynkontrakte." Thesis, Stellenbosch : Stellenbosch University, 2001. http://hdl.handle.net/10019.1/52233.
Full textENGLISH ABSTRACT: The objective of this study was to determine whether a number of hedging strategies, based on option and future contracts, can be implemented to hedge a share portfolio in a successful and cost-effective way during periods of market uncertainty. The study consists of two main sections, a review of the literature and an empirical survey. The review of the literature deals with the specifications of option and future contracts that trade on SAFEXand the use of option contracts to develop different hedging strategies. In the empirical survey the different hedging strategies were applied on a share portfolio of Rim over periods of three, six, nine and twelve months. The study yielded the following conclusions: o Call and put options can be combined in various ways to create different hedging strategies such as bear spread, straddle, strip, strangle and zero cost col/ar strateg ies. o By managing the option positions of the zero cost col/arstrategy actively, the portfolio can be hedged fully and cost effectively over any period. o The portfolio can be hedged fully and cost effectively over any period through the active management of future positions. The outcome of any hedging strategy ultimately depends on the assumptions and decisions made by the portfolio manager.
AFRIKAANSE OPSOMMING: Die doel van die studie was om te bepaal of 'n aantal verskansingstrategieë, wat op opsie- en termynkontrakte gebaseer is, suksesvol en kostedoeltreffend toegepas kan word om 'n aandeleportefeulje teen verwagte markdalings te beskerm. Die studie is in twee hoofafdelings verdeel, naamlik 'n teoretiese en empiriese ondersoek. Die teoretiese ondersoek handel oor die spesifikasies van opsie- en termynkontrakte wat op SAFEX verhandel en die gebruik van koop- en verkoopopsies om verskillende opsiestrategieë daar te stel. In die empiriese ondersoek is die verskillende verskansingstrategieë op 'n aandeleportefeulje van R1m oor 'n aantal tydperke van drie, ses, nege en twaalf maande getoets. Die volgende gevolgtrekkings kan uit die studie gemaak word: o Koop- en verkoopopsies kan in verskeie kombinasies gebruik word om verskillende verskansingstrategieë daar te stel. Voorbeelde van sulke strategieë is die bear spread-, straddle-, strip-, strangle- en zero cost collarstrategieë. o Deur die aktiewe bestuur van opsieposisies by die zero cost collar-strategie kan 'n portefeulje te alle tye ten volle verskans word. Die strategie is ook kostedoeltreffend . o Deur die aktiewe bestuur van termynkontrakte kan 'n aandeleportefeulje ook te alle tye ten volle en kostedoeltreffend verskans word. Die uiteindelike resultaat by die gebruik van termynkontrakte om 'n portefeulje te verskans, is soos by opsiekontrakte egter afhanklik van die aannames en besluite wat deur die portefeuljebestuurder geneem word.
Lindensjö, Kristoffer. "Essays in financial mathematics." Doctoral thesis, Handelshögskolan i Stockholm, Institutionen för Finansiell ekonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-2145.
Full textConstantino, Luiz Felipe Monteiro. "Contratos de performance sob risco e na ausência de incentivo." reponame:Repositório Institucional do FGV, 2011. http://hdl.handle.net/10438/10146.
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This paper shows that fixed wages are not the optimal solution for a labour contract when the worker’s outside option is a function of a factor that can vary. The worker’s contract will include a bonus that will also be a function of the same factor that modifies its outside option, even though this factor does not depend on his effort and the agent is risk-averse. This result contrasts with the classical theory according to which one should only allocate risk to the employee when such contract is necessary to provide incentives for greater effort from the agent. Another conclusion of this paper is that there is a limit to the risk the employee assumes in the optimal contract, i.e., the value of the bonus is an increasing function of the difference of the values of the worker’s outside options between the possible scenarios only until a certain point, after which the size of the bonus is fixed.
Este trabalho mostra que a solução ótima do contrato de remuneração do empregado não é de salário fixo quando sua utilidade reserva é uma função de um fator que pode variar. A remuneração ótima do empregado incluirá um bônus que será também uma função do mesmo fator que modifica sua utilidade reserva, mesmo que tal fator não dependa do seu esforço e que o agente seja avesso ao risco. Esse resultado contrasta com a teoria clássica segundo a qual só se deveria alocar risco ao funcionário quando tal contrato fosse necessário para prover os incentivos para um esforço maior do agente. Outra conclusão desse trabalho é que existe um limite para o tamanho do risco que o funcionário assume no contrato ótimo, ou seja, o valor do bônus é uma função crescente da diferença dos valores da utilidade reserva nos diferentes cenários possíveis até certo ponto apenas e a partir de determinado valor para essa diferença, a magnitude do bônus se mantém estável.
Berne, de la Calle Cédric. "Le contentieux de la résolution du contrat au regard de l'article 1184 du Code civil : éléments pour une stratégie du créancier." Thesis, Aix-Marseille, 2014. http://www.theses.fr/2014AIXM1027.
Full textCreditor's strategy in case of breach of contract is often avoided because of full theories.It could be described as a tacit phenomenon. Elements of judicial dissolution are studied in a way to discover a legal institution made by independent mechanisms which each have their own spring. Starting with article 1184 of French Civil Code, the aim of the study was to grasp the spirit of "judicial dissolution" of contract, also the legal institutions it contains, formally or tacitly, checking all the law doctrinal knowledge, supposed to be certain and proposing a perspective for this particular judicial termination of contract.Judicial dissolution composed of eight themes is a study trying to share into a mass knowledge relative to the action's area, the fortuitous event (irresistible force), the breach of contract itself, which is officially established into a formal notice. When the judge is seized, the creditor has a legal option between dissolution or enforced performance offered by article 1184 paragraph 2, which leads to the question of judicial characteristic - involving an important argument - of the dissolution.Finally, judicial dissolution causes apparent consequences : retrospective effect on contract but, overall, there are specific effects : termination of contract involving return of goods, values and performances between parties coming from the judicial decision.If dissolution's concept had been studied before into its fundamentals, its story or its diverse forms, it allows to explore the reverse side of this theory into as a new critical reading which recalls the original function of this legal action : to permit creditor to defend in case of breach of contract
Arabi, Alireza, and Maziar Saei. "Simple foreign currency option Hedge strategies A comparison of Option contracts versus Forward contracts." Thesis, Mälardalens högskola, Akademin för hållbar samhälls- och teknikutveckling, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-9977.
Full textAthanassoglou, Minos 1976. "Valuation of shipbuilding option contracts." Thesis, Massachusetts Institute of Technology, 2001. http://hdl.handle.net/1721.1/91341.
Full textHøegh, Morten W. (Morten Westyne) 1973. "Options on shipbuilding contracts." Thesis, Massachusetts Institute of Technology, 1998. http://hdl.handle.net/1721.1/50479.
Full textIncludes bibliographical references (p. 123-124).
Analysis of investment projects and strategic decisions using option theory has gained wide acceptance among corporate finance scholars and professionals. In the shipping and shipbuilding industries, option analysis is still in its infancy, and few professionals are familiar with option valuation tools. At the same time, practically all shipbuilding contracts contain option elements, the value of which most industry players do not know how to calculate. Newbuilding options give shipowners closing newbuilding contracts a right, but not an obligation, to enter into additional newbuilding contracts, with predetermined terms, at a later date. This thesis presents a general introduction to option theory as it applies to traded financial securities. This framework is extended to newbuilding options. Characteristics of the newbuilding markets are given, and fundamental stochastic processes that can describe newbuilding prices are introduced. Based on these stochastic processes, closed-form formulas for calculating the value of newbuilding options are presented. Actual observations of shipbuilding prices are analyzed in the context of the stochastic models. The results of this analysis are discussed as they apply to the option formulas and to the practical aspects of the newbuilding option framework. Recommendations are given on how to analyze real cases in which newbuilding options appear.
by Morten W. Høegh.
S.B.and S.M.
Mahle, Stephen E. "An options model of employee-firm contracts." Connect to resource, 1987. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1262704610.
Full textCollazzo, Yelpo Pablo Gabriel. "Modeling Stock Option Contracts - Evidence from Spain." Doctoral thesis, Universitat Ramon Llull, 2016. http://hdl.handle.net/10803/378651.
Full textPocos temas han generado tanto debate en materia de gobierno corporativo como el de la remuneración de directivos. Esta investigación analiza una práctica tan controvertida como extendida en la contratación ejecutiva, tal como es la concesión al directivo de opciones sobre acciones de la empresa. ¿Son las opciones sobre acciones la respuesta al desafío de alinear eficientemente los incentivos del directivo con los del accionista? La clave radica en el diseño del contrato. Este estudio pretende contribuir a arrojar luz sobre dicha controversia, a través de un análisis sistemático del diseño de los planes de opciones sobre acciones de las empresas de mayor liquidez y capitalización del mercado español, representadas en el índice bursátil Ibex 35. Las variables de diseño objeto de análisis son el precio de ejercicio, el período de espera, el vencimiento del contrato, la actualización del precio de ejercicio y las restricciones a la venta posterior de las acciones. Sobre dichos planes se aplican las teorías de contratación óptima y extracción de rentas, para identificar desvíos del paradigma de alineación de incentivos. Para evaluar la eficiencia en esta alineación de incentivos que se persigue con el contrato de opción, se vincula el diseño de las variables arriba mencionadas con el retorno ajustado por riesgo de las empresas que conceden opciones, a través de un análisis de datos de panel.
Few issues in modern corporate governance have received as much attention lately as executive compensation. This research deals with a highly controversial yet widespread practice in executive pay: stock options plans. Are stock options the answer to efficiently align incentives, bridging the gap between cash-flow rights and control rights? A design that delivers that goal proves crucial. This study aims to contribute to the current debate on such a heated corporate governance issue by presenting a systematic analysis of stock option design in Spanish largest and most liquid companies, out of the entire population of the Ibex 35 stock market index. The specific design variables to be examined are strike price, vesting period, maturity, repricing and trading restrictions. A mix of the optimal contracting and the rent-extracting approaches are applied to explore for significant deviations from the incentive-alignment paradigm. Finally, panel data analysis is conducted to identify potential relationships between the above mentioned variables and risk-adjusted returns for Ibex 35 firms with stock option plans.
SILVA, RODRIGO ROCHA DA. "FPSO CHARTERING CONTRACTS VALUATION USING REAL OPTION APPROACH." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2015. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=29455@1.
Full textContratos de afretamento de FPSO, tipicamente contêm cláusulas de extensão de prazo após um número fixo de anos, sendo que o exercício dessas opções de extensão é prerrogativa da empresa de Exploração e Produção (E e P) que contrata o ativo. Dado que esta flexibilidade gerencial não é capturada pelos métodos tradicionais de avaliação de projetos como o método do Fluxo de Caixa Descontado, um desafio surge: como definir o valor do projeto dado que existem opções de extensão contratual? Neste trabalho foi utilizada a TOR (Teoria de Opções Reais) para analisar o valor das opções sob o ponto de vista do afretador da FPSO, considerando que o exercício destas opções resulta no recebimento, por parte do afretador, de fluxos de caixa adicionais ao final do período fixo de anos estabelecido no contrato. Diferentemente do tratamento padrão de valor de opções encontrado na literatura, neste caso agrega-se valor também ao afretador da FPSO apesar deste estar na posição vendida no contrato. Foram utilizados dois processos estocásticos distintos para a modelagem das incertezas e precificação das opções. O primeiro utilizou como base o MGB (Movimento Geométrico Browniano) e o segundo o MRM (Movimento de Reversão à Média). Os resultados encontrados em ambos os modelos sugerem que a precificação das opções de extensão agrega valor ao contrato e consequentemente pode tornar o afretador da FPSO mais competitivo no processo concorrencial, uma vez que é possível o compartilhamento de parte desse valor adicional com a empresa de E e P através da redução do valor da taxa de afretamento da FPSO.
FPSO contracts tipically include clauses that allow contractual extensions after a fixed period of time. The exercise of these extensions options are the prerogative of the Exploration and Production (E and P) company that hires the FPSO. This management flexibility is not captured by traditional valuation tools such as the Discounted Cash Flow method, and thus, the challenge is how to define the value of a project given that exist contractual extensions options. In this work we analyse the value of these options from the standpoint of an FPSO chartering firm under the Real Options approach, considering that the exercise of these options result in additional cash flows to the chartering company beyond the original contract term. Differently of traditional results in options valuation found in literature, in this case, value is added also to the chartering firm, even though the firm holds a short position in the options. Two different stochastic processes were used to model project uncertainty and option pricing. The first was based on Geometric Brownian Motion (GMB) and the second in Mean Reverting Processes (MRP). The results in both cases suggest that the valuation of contractual extensions options add value to the project, and thus to the chartering firm, and consequently may improve the competitive position of the FPSO chartering firm in a bid process, as it is possible to share part of this value with E and P company through a reduction in the cost of the charter.
Andersson, Henrik. "Valuation and hedging of long-term asset-linked contracts." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics (EFI), 2003. http://www.hhs.se/efi/summary/613.htm.
Full textGuisiano, Jean-Philippe. "Les promesses de vente d'immeuble." Toulon, 2009. http://www.theses.fr/2009TOUL0057.
Full textA consensual contract by nature, the sale requires in real estate domain, that time be taken for reflection. So practice has elaborated many of legal mechanisms destined to prepare the sale of real estate. The parties that whish to seal their agreement upon the essential elements of the sale, whilst wainting of the preliminary formalities inherent to property sale to be accomplished, will find an interest in being bound by the signature of a promise which is at once a unilateral engagement to sell, the most often in return for remuneration, and symmetrical engagements to buy and sell, which, in principle, suffice to form the sale. However, recurrent interventions of the legislator, or of the judge, are perceived as many breaches in the principle of consensus which governs our contract law. In event of one of the parties not respecting their engagements, these breaches are not always justified by the courts in the light of the chosen solutions. From this ensues a "swing wing" force obligatoire of promises of real estate sale, although they should be fully endowed with the attributes inherent to their contractual nature. Forcing themselves to elaborate a theory of pre-contract, the courts answer however the need to organize the different pre-contracts in real estate sale, which they alas implement to the detriment of the coherence of the legal principals and security that could legitimately be expected from the signature of a promise of a real estate sale, whether it be unilateral or bilateral
Landsweerdt, Christie Auque Françoise. "La vente franco." [S.l.] : [s.n.], 2006. http://edoctorale74.univ-lille2.fr/fileadmin/master_recherche/T_l_chargement/memoires/contrats/landsweerdt06.pdf.
Full textPalvadeau, Émmanuelle. "Le contrat en droit pénal." Thesis, Bordeaux 4, 2011. http://www.theses.fr/2011BOR40048/document.
Full textAs a « bedrock of the legal order », the contract is not ignored by criminal law. Unquestionably present in many offences, the contract is the object of specific conceptions that the doctrine find here and there as signs of the autonomy of criminal law.However, the presentation of the contract in criminal law through the statement of fact that autonomous solutions exist, is not sufficient. It doesn’t allow establishment in a positive and rational way, the real definition of the contract in criminal law.By refusing transposition of the entire contractual settlement, current law expresses the principle of a selection and that the purpose of criminal law may clarify it in a decisive way.Then, the contract in criminal law appears, resulting of a functional selection from the dispositions of contractual settlement: only the ones which maintain the aim of criminal law must be distinguished
Landman, Daniel. "Real Option Analysis of Primary Rail Contracts in Grain Shipping." Thesis, North Dakota State University, 2017. https://hdl.handle.net/10365/28647.
Full textZhang, Xiaoying. "Contrast improvement of few-cycle pulses." Thesis, Umeå universitet, Institutionen för fysik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-165565.
Full textHron, Jiří. "Risk Analysis and Pricing of Retail Energy Contracts." Doctoral thesis, Vysoká škola ekonomická v Praze, 2007. http://www.nusl.cz/ntk/nusl-191806.
Full textGROSSO, LUCIANO MOLTER DE PINHO. "PRICING ON OPTIONS ON ONE-DAY INTERBANK DEPOSIT FUTURE CONTRACT." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2006. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=8954@1.
Full textEste trabalho tem como objetivo apresentar uma alternativa para se analisar e avaliar opções sobre DI Futuro. Para tanto, faremos uso da teoria clássica sobre derivativos, e em particular, do modelo sugerido por Black [2] para a avaliação de opções sobre futuros de commodities. O contrato em questão, não possui solução analítica devido ao comportamento não linear do seu pay- off. A teoria define que a equação diferencial que descreve o comportamento do preço do ativo é função do ativo objeto. Neste trabalho, algumas simplificações foram assumidas, face a não adoção de um modelo estocástico que determine o comportamento futuro da taxa livre de risco, neste caso definida como um parâmetro determinístico do modelo. É fato de que tal simplificação não invalida os resultados, pelo contrário, McConnell e Schwartz [17] mostram que a relação custo benefício em se adotar modelos mais sofisticados não compensa frente aos resultados obtidos quando praticidade e ganhos são comparados. De posse da equação diferencial que governa o comportamento do preço do derivativo, se faz presente a necessidade de se usar um procedimento numérico - Método de Diferenças Finitas Explícito (MDFE).
The main objective of this paper is to describe an alternative model to value Brazilian DI Future option. And so, we will make use of the classical derivatives theory, in particular, to the model introduced by Black for options on commodities future contracts. For such instrument, the analytical solution is not possible to be obtained due to the non-linear formulation of the pay-off (Risk Neutral Valuation). The theory defines the differential equation that describes the asset price behavior, in this case the financial operation agreed, as function of the underlying variables that govern its behavior. In the present work some simplifications had been carried through, regarding the non-adoption of a stochastic model to represent the future behavior of the risk-free rate, being defined as a deterministic parameter in the model. One must bear in mind that such simplification does not invalidate the results; on the contrary, McConnell e Schwartz [17] shows that the trade-off between the practicability and the profit in term of the results makes questionable the use of the more sophisticated model. Having the differential equation that governs the behavior of the derivative contract price, a numerical procedure is carried out - Explicit Finite Differences Method (EFDM).
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TORRES, RODRIGO CORREA. "PORTFOLIO VALUATION OF ELECTRICITY CONTRACTS: AN OPTIONS THEORY APPROACH." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2006. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=8675@1.
Full textThe Free Contracts Environment enabled continuity of the free market competition process which started with the electric sector restructure in 1997. The shift from a regime based on renewable supply contracts to a structure based on prices established by competition exposes companies in the Brazilian electric sector to the volatility of the electricity market. In this new environment companies must manage the risks associated to the operations. The Brazilian electric sector singular features make risk management a great challenge for ensuing years. On the other hand, with free negotiation enabled by the energy trade segment within the free contracts environment, electric energy purchase and sale contracts started to adapt to the market needs incorporating flexibilities designed to face uncertainty regarding electric energy demand in general and prices in particular. Within this context, an electric energy purchase and sale portfolio valuation model was developed, incorporating the flexibilities inherent to commercialization activities, in order to quantify the risks associated with this activity and establish the value added to the portfolio by the flexibilities. The case studied is fictitious, but typical in the field of electric energy trading within this new model.
Doidge, Stephen. "The tax treatment of receipts and accruals arising from equity option contracts." Thesis, Rhodes University, 2013. http://hdl.handle.net/10962/d1007921.
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Full textBellalah, Mondher. "Quatre essais sur l'évaluation des options sur indice et des options sur contrat à terme d'indice." Paris 9, 1990. https://portail.bu.dauphine.fr/fileviewer/index.php?doc=1990PA090017.
Full textRůžek, Lukáš. "Regulace derivátových kontraktů." Master's thesis, Vysoká škola ekonomická v Praze, 2016. http://www.nusl.cz/ntk/nusl-264693.
Full textFischer, Annett Birgit. "Planar optics with wavelength-scale high contrast gratings." Thesis, University of York, 2015. http://etheses.whiterose.ac.uk/9072/.
Full textBengtsson, Jens. "Valuation of production flexibility and supply contracts : a real options approach /." Linköping : Dep. of Production Economics, Linköping Inst. of Technology, 2003. http://www.gbv.de/dms/zbw/504399829.pdf.
Full textShuaibi, Abdulaziz Mohamed 1960. "PUT OPTIONS ON LIVE CATTLE FUTURES CONTRACTS AND ALTERNATIVE MARKETING STRATEGIES." Thesis, The University of Arizona, 1987. http://hdl.handle.net/10150/276487.
Full textVik, Vladimir. "Ekonomická efektivnost a finanční proveditelnost projektu realizovaného obcí." Master's thesis, Vysoké učení technické v Brně. Fakulta stavební, 2014. http://www.nusl.cz/ntk/nusl-227046.
Full textYin, Shihong. "Theory and application of exotic options, pricing revenue insurance contracts in agriculture." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2002. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp05/NQ65842.pdf.
Full textCOSTA, LETICIA DE ALMEIDA. "VALUATION OF NATURAL GAS CONTRACTS WITH SWING OPTIONS USING TWO-FACTOR MODEL." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2012. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=20251@1.
Full textCOORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR
PROGRAMA DE SUPORTE À PÓS-GRADUAÇÃO DE INSTS. DE ENSINO
No mercado de gás natural (GN), muitos contratos incorporam flexibilidades no volume a ser entregue, conhecidas como opções de swing. Sujeitos a restrições, esses contratos concedem ao titular a opção de exercer o direito de receber volumes maiores ou menores de GN contratado, de acordo com as oscilações dos preços de mercado, dos indicadores econômicos e a demanda. Através das opções de swing é possível valorar as flexibilidades embutidas em um contrato de GN. As opções de swing fazem parte das chamadas opções exóticas, cujas características são específicas distinguindo-se das opções padrão. Um dos aspectos primordiais na avaliação de opções é determinar de que forma são tratadas as incertezas do contrato. No presente trabalho, o preço do GN é a principal fonte de incerteza e foi considerado estocástico seguindo o modelo de dois fatores de Schwartz e Smith (2000) com sazonalidade trimestral. As commodities, em geral, não são negociadas no mercado a vista, sendo negociadas nos mercados futuros. Por isso, para estimar os preços à vista do GN, usando os preços dos contratos futuros do Henry Hub negociados na NYMEX, foi preciso implementar o método do filtro de Kalman, que relaciona as variáveis não observáveis com os preços futuros de diversas maturidades. Como resultado principal, analisou-se o valor das cláusulas contratuais, ou seja, opções de swing que ajudam na necessidade de hedge de um mercado sujeito a incertezas. O apreçamento da opção foi realizado por meio do modelo de árvore binomial bi-variável em tempo discreto, desenvolvido por Hahn e Dyer (2011) para o modelo de Schwartz e Smith (2000). O valor da opção de swing foi positivo nos dois casos analisados, mostrando que essa opção tem valor e, portanto, deve ser cuidadosamente analisada para inclusão nos contratos de GN. As características do contrato analisado foram as mesmas especificadas em Jaillet et al.(2004).
In energy markets, in particular, natural gas (NG), many contracts incorporate flexibility in the volume to be delivered. These contracts are known as swing options or take-or-pay contracts. Subject to restrictions, such contracts allow the option holder to exercise the right to receive greater or smaller amounts of NG contracted in accordance with market price, economic indicators and demand. Through swing options it is possible to value the flexibilities built into a contract for NG. Swing options are part of family called exotic options, which have unique distinguishing characteristics in comparison to standard options. One of the key aspects in the evaluation of options is to determine how they behave as a result of the uncertainties of the contract. In this work, the price of NG was the main source of uncertainty and was considered following the stochastic two-factor model of Schwartz and Smith (2000) with quarterly seasonality. Commodities in general are not traded in the spot market, but rather traded in futures markets. Therefore, to estimate the spot prices of NG, using the prices of futures contracts traded on NYMEX Henry Hub, it was necessary to implement the Kalman filter method, which relates the unobservable variables in the future prices of various maturities. As the primary focus, we analyzed the value of contractual terms, i.e. swing options that help to hedge in a market subject to uncertainties. The pricing of the option was made through the binomial tree model bi-variable in discrete time developed by Hahn and Dyer (2011) for the model of Schwartz and Smith (2000). The value of the swing option was positive in both cases analyzed, showing that this option has value and therefore should be carefully considered for inclusion in contracts of natural gas. The characteristics of the analysis were the same as specified in Jaillet et al. (2004).