Dissertations / Theses on the topic 'Option Valuation'
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1
Mollaret, Sébastian. "Collateral choice option valuation." Thesis, KTH, Matematisk statistik, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-161068.
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A bank borrowing some money has to give some securities to the lender, which is called collateral. Different kinds of collateral can be posted, like cash in different currencies or a stock portfolio depending on the terms of the contract, which is called a Credit Support Annex (CSA). Those contracts specify eligible collateral, interest rate, frequency of collateral posting, minimum transfer amounts, etc. This guarantee reduces the counterparty risk associated with this type of transaction. If a CSA allows for posting cash in different currencies as collateral, then the party posting collateral can, now and at each future point in time, choose which currency to post. This choice leads to optionality that needs to be accounted for when valuing even the most basic of derivatives such as forwards or swaps. In this thesis, we deal with the valuation of embedded optionality in collateral contracts. We consider the case when collateral can be posted in two different currencies, which seems sufficient since collateral contracts are soon going to be simplified. This study is based on the conditional independence approach proposed by Piterbarg [8]. This method is compared to both Monte-Carlo simulation and finite- difference method. A practical application is finally presented with the example of a contract between Natixis and Barclays.
2
Athanassoglou, Minos 1976. "Valuation of shipbuilding option contracts." Thesis, Massachusetts Institute of Technology, 2001. http://hdl.handle.net/1721.1/91341.
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Müller, Jürgen. "Real option valuation in service industries /." Wiesbaden : Dt. Univ.-Verl. [u.a.], 2000. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=008939946&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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Hu, Yu. "American Spread Option Models and Valuation." BYU ScholarsArchive, 2013. https://scholarsarchive.byu.edu/etd/3598.
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Spread options are derivative securities, which are written on the difference between the values of two underlying market variables. They are very important tools to hedge the correlation risk. American style spread options allow the holder to exercise the option at any time up to and including maturity. Although they are widely used to hedge and speculate in financial market, the valuation of the American spread option is very challenging. Because even under the classic assumptions that the underlying assets follow the log-normal distribution, the resulting spread doesn't have a distribution with a simple closed formula. In this dissertation, we investigate the American spread option pricing problem. Several approaches for the geometric Brownian motion model and the stochastic volatility model are developed. We also implement the above models and the numerical results are compared among different approaches.
5
Hales, Stanley J. "Valuation of foreign currency options with the Paretian stable option pricing model /." The Ohio State University, 1997. http://rave.ohiolink.edu/etdc/view?acc_num=osu1269364712.
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Neuhaus, Henrik Juhan. "Option valuation and hedging under transactions costs." Thesis, London Business School (University of London), 1989. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.337387.
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ALVES, MARIANA DE LEMOS. "FLEX FUEL CAR: A REAL OPTION VALUATION." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2007. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=10553@1.
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A tecnologia flex fuel foi desenvolvida pelo centro de
pesquisas da Bosch do
Brasil e lançado comercialmente no país em 2003. O
conceito desse automóvel
originou-se da possibilidade do carro utilizar como
combustível álcool, gasolina
ou qualquer proporção de mistura entre os dois em um mesmo
tanque de
combustível. Essa flexibilidade na escolha do combustível
do carro flex fuel e a
existência de incerteza com relação ao preço do álcool e
da gasolina, agregam
valor ao automóvel, pois o consumidor pode escolher o
combustível mais barato
toda vez que abastece o veículo. Este trabalho busca
valorar essa vantagem do
carro flex fuel em relação ao automóvel movido apenas à
gasolina através da
avaliação por Opções Reais, utilizando o Método de
Simulação com Fluxos de
Caixa Dinâmicos, e comparar as vantagens da Simulação de
Monte Carlo em
relação ao modelo de Árvore de Decisão Quadrinomial. Os
resultados indicam
que a opção inerente ao carro flex fuel é relevante para a
decisão de adquirir um
veiculo flex fuel e pode representar de 5% a 10% do seu
valor.The flex fuel car technology was developed by the Bosch Research Center in Brazil, and the firs model was launched in the market in 2003. The concept of flex fuel automobile derived from the possibility of using ethanol, gas or any proportion of this mixture in a fuel tank. The fuel flexibility and its price volatility add value to the vehicle because the consumer has the option to choose the cheapest fuel each time he needs it. We perform the valuation of the flex fuel automobile using Real Options Approach to Dynamic Cash Flow Simulation. The results show that the value of the flex fuel option is significant and can represent from 5% to 10% of the price of the automobile. We also compare this method to the quadrinomial decision tree model and show that while both provide similar results, the simulation method is similar and less computationally intensive.
8
Rafiou, AS. "Foreign Exchange Option Valuation under Stochastic Volatility." University of the Western Cape, 2009. http://hdl.handle.net/11394/7777.
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>Magister Scientiae - MScThe case of pricing options under constant volatility has been common practise for decades. Yet market data proves that the volatility is a stochastic phenomenon, this is evident in longer duration instruments in which the volatility of underlying asset is dynamic and unpredictable. The methods of valuing options under stochastic volatility that have been extensively published focus mainly on stock markets and on options written on a single reference asset. This work probes the effect of valuing European call option written on a basket of currencies, under constant volatility and under stochastic volatility models. We apply a family of the stochastic models to investigate the relative performance of option prices. For the valuation of option under constant volatility, we derive a closed form analytic solution which relaxes some of the assumptions in the Black-Scholes model. The problem of two-dimensional random diffusion of exchange rates and volatilities is treated with present value scheme, mean reversion and non-mean reversion stochastic volatility models. A multi-factor Gaussian distribution function is applied on lognormal asset dynamics sampled from a normal distribution which we generate by the Box-Muller method and make inter dependent by Cholesky factor matrix decomposition. Furthermore, a Monte Carlo simulation method is adopted to approximate a general form of numeric solution The historic data considered dates from 31 December 1997 to 30 June 2008. The basket contains ZAR as base currency, USD, GBP, EUR and JPY are foreign currencies.
9
Hutton, J. P. "Fast valuation of derivative securities." Thesis, University of Essex, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.282493.
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Parthasarathy, Priya. "Real Option valuation of electricity Generators in Alberta." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2000. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape3/PQDD_0021/MQ55178.pdf.
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Mimouni, Karim. "Three essays on volatility specification in option valuation." Thesis, McGill University, 2007. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=103274.
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Most recent empirical option valuation studies build on the affine square root (SQR) stochastic volatility model. The SQR model is a convenient choice, because it yields closed-form solutions for option prices. However, relatively little is known about the empirical shortcomings of this model. In the first essay, we investigate alternatives to the SQR model, by comparing its empirical performance with that of five different but equally parsimonious stochastic volatility models. We provide empirical evidence from three different sources. We first use realized volatilities to assess the properties of the SQR model and to guide us in the search for alternative specifications. We then estimate the models using maximum likelihood on a long sample of S& P500 returns. Finally, we employ nonlinear least squares on a time series of cross sections of option data. In the estimations on returns and options data, we use the particle filtering technique to retrieve the spot volatility path. The three sources of data we employ all point to the same conclusion: the SQR model is misspecified. Overall, the best of alternative volatility specifications is a model we refer to as the VAR model, which is of the GARCH diffusion type.In the second essay, we estimate the Constant Elasticity of Variance (CEV) model in order to study the level of nonlinearity in the volatility dynamic. We also estimate a CEV process combined with a jump process (CEVJ) and analyze the effects of the jump component on the nonlinearity coefficient. Estimation is performed using the particle filtering technique on a long series of S&P500 returns and on options data. We find that both returns data and returns-and-options data favor nonlinear specifications for the volatility dynamic, suggesting that the extensive use of linear models is not supported empirically. We also find that the inclusion of jumps does not affect the level of nonlinearity and does not improve the CEV model fit.
The third essay provides an empirical comparison of two classes of option valuation models: continuous-time models and discrete-time models. The literature provides some theoretical limit results for these types of dynamics, and researchers have used these limit results to argue that the performance of certain discrete-time and continuous-time models ought to be very similar. This interpretation is somewhat contentious, because a given discrete-time model can have several continuous-time limits, and a given continuous-time model can be the limit for more than one discrete-time model. Therefore, it is imperative to investigate whether there exist similarities between these specifications from an empirical perspective. Using data on S&P500 returns and call options, we find that the discrete-time models investigated in this paper have the same performance in fitting the data as selected continuous-time models both in and out-of-sample.
12
FERREIRA, 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.
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COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIORO 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.
13
VIDAL, ALEXANDRE PANZA. "MINING PROJECT VALUATION APPLYING THE REAL OPTION THEORY." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2008. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=12985@1.
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A demanda por commodities mineral e energético no mundo vem
sofrendo
um forte aumento nos últimos anos causado principalmente
pelo crescimento da
economia chinesa. No setor de minério de ferro movimentos
de aquisições e
consolidações são cada vez mais freqüentes pois grandes
grupos siderúrgicos
buscam, por meio de aquisições, garantir o fornecimento de
seu principal insumo
e se proteger contra a forte variação do preço no mercado
e, por outro lado,
empresas de mineração, ao se consolidarem, se protegem
contra essas
ameaças. A avaliação de novos projetos de mineração é
fundamental para
identificar o valor da empresa ao considerarmos que uma
empresa de mineração
é um portfólio de projetos. Dada as características de
alguns projetos de
mineração, o uso da Teoria de Opções Reais permite uma
avaliação mais
eficiente do valor destes projetos em função das
flexibilidades gerenciais e
incertezas de mercado. Esta dissertação procura rever e
aplicar os conceitos de
opções reais utilizando a probabilidade neutra ao risco e
processo estocástico
com drifts de crescimento da variável de incerteza através
de um projeto de
mineração hipotético com a opção de expandir sua capacidade
em um prazo de
5 anos.The world demand for mineral and energetic commodities is rising strongly in the last years due mainly to the growth of the Chinese economy. In the iron ore industry movements of merger and acquisition are more frequent therefore steel producers groups are looking to, by means of acquisition, guarantee their iron ore supply and to protect against the huge volatility of price in the market. On the other hand mining companies are protecting their business against these threats by merger operations. In this context, the valuation of new mining projects is essential to identify the enterprise value, considering that a mining company is a portfolio of projects. Given the characteristics of some mining projects, the use of the Real Option Theory allows a more efficiently valuation be done in presence of flexibilities and market uncertainties. This thesis intent to apply the concepts of real option, considering the risk neutral probability and stochastic process with growth drift of the variable of uncertainty, thru a hypothetic mining project, which holds a capacity expansion option that can be exercised in the five year time.
14
GIL, RODRIGO. "CARAJÁS EXPANSION PROJECT VALUATION USING REAL OPTION THEORY." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2014. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=24005@1.
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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIROSegundo a Associação de Comércio Exterior do Brasil, o minério de ferro representou 12,8 porcento do total exportado pelo Brasil em 2012, se mantendo como primeiro produto, em valor, na pauta de exportação brasileira. Nesse contexto, o complexo Carajás, localizado no sudeste do estado do Pará em operação desde 1985, destaca-se por ser a maior reserva do país e por ter o minério com maior teor de ferro do mundo. Este trabalho tem como objetivo avaliar o projeto de expansão de Carajás, conhecido como projeto S11D,através da teoria de opções reais, buscando considerar o valor da flexibilidade gerencial existente no projeto e potenciais incertezas de mercado de forma a obter uma avaliação mais eficaz de um ativo tão representativo para o país. Os resultados indicam que a opção de expansão aumenta do valor do projeto de 77 bilhões de dólares para 99 bilhões de dólares, indicando o valor da opção em 22 bilhões de dólares.
According to the Brazilian External Association of Commerce, iron ore represented 12,8 percent of total export revenue in 2012, being the first product, at value, on the Brazilian export market share. In this context, Carajás Complex, located at south east of Pará State in operation since 1985, express itself from being the biggest reserve in the country and for having the highest iron ore content of the world. The target of this work is to evaluate the Carajás expansion project, known as S11D project, through Real Option Theory, considering the value of management flexibility existing in this project and potential market uncertainties in which obtain a valuation more efficient from an asset so representative to the country. The results indicate that the expansion option raises the project value from 77 billion dollars to 99 billion dollars, resulting the option value of 22 billion dollars.
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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.
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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIROContratos 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.
16
Rodolfo, Karl. "A Comparative Study of American Option Valuation and Computation." Thesis, The University of Sydney, 2007. http://hdl.handle.net/2123/2063.
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For many practitioners and market participants, the valuation of financial derivatives is considered of very high importance as its uses range from a risk management tool, to a speculative investment strategy or capital enhancement. A developing market requires efficient but accurate methods for valuing financial derivatives such as American options. A closed form analytical solution for American options has been very difficult to obtain due to the different boundary conditions imposed on the valuation problem. Following the method of solving the American option as a free boundary problem in the spirit of the "no-arbitrage" pricing framework of Black-Scholes, the option price and hedging parameters can be represented as an integral equation consisting of the European option value and an early exercise value dependent upon the optimal free boundary. Such methods exist in the literature and along with risk-neutral pricing methods have been implemented in practice. Yet existing methods are accurate but inefficient, or accuracy has been compensated for computational speed. A new numerical approach to the valuation of American options by cubic splines is proposed which is proven to be accurate and efficient when compared to existing option pricing methods. Further comparison is made to the behaviour of the American option's early exercise boundary with other pricing models.
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Rodolfo, Karl. "A Comparative Study of American Option Valuation and Computation." Science. School of Mathematics and Statistics, 2007. http://hdl.handle.net/2123/2063.
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Doctor of Philosophy (PhD)For many practitioners and market participants, the valuation of financial derivatives is considered of very high importance as its uses range from a risk management tool, to a speculative investment strategy or capital enhancement. A developing market requires efficient but accurate methods for valuing financial derivatives such as American options. A closed form analytical solution for American options has been very difficult to obtain due to the different boundary conditions imposed on the valuation problem. Following the method of solving the American option as a free boundary problem in the spirit of the "no-arbitrage" pricing framework of Black-Scholes, the option price and hedging parameters can be represented as an integral equation consisting of the European option value and an early exercise value dependent upon the optimal free boundary. Such methods exist in the literature and along with risk-neutral pricing methods have been implemented in practice. Yet existing methods are accurate but inefficient, or accuracy has been compensated for computational speed. A new numerical approach to the valuation of American options by cubic splines is proposed which is proven to be accurate and efficient when compared to existing option pricing methods. Further comparison is made to the behaviour of the American option's early exercise boundary with other pricing models.
18
Adams, Jörg. "Applicability of real option valuation for high-risk investments /." Aachen : Shaker, 2004. http://www.gbv.de/dms/zbw/381000915.pdf.
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FONSECA, FERNANDO VAIROLATTI DEL NEGRO. "PROJECT VALUATION ON CHEMISTRY SECTOR: A REAL OPTION APLICATION." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2008. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=11874@1.
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CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICOO presente documento tem por objetivo realizar a análise de viabilidade econômica para a implantação e operação da Fase 1 de um modelo de negócios voltado para a produção, no mercado brasileiro, de tintas especiais para aplicações industriais. Tal análise foi desenvolvida utilizando-se a Teoria das Opções Reais em um processo de simulação de Monte Carlo onde os custos (fatores de incerteza) serão considerados estocásticos seguindo um movimento de reversão à média. Desta forma serão quantificados os efeitos das flexibilidades gerenciais e como estes afetam o valor do projeto através de uma forma eficiente de simular fluxos de caixa. O mercado dessas tintas especiais e patenteadas, tem hoje participação expressiva na Europa e, pelas características dos seus produtos, observa-se um alto potencial de entrada no Brasil. São tintas anticorrosivas isentas de pigmentos metálicos e solventes, indicadas para todos os segmentos industriais, com alta resistência química e mecânica e diversos tipos de acabamento. Uma das grandes vantagens das tintas que utilizam essa tecnologia é que o processo de cura não requer nenhum tipo de exposição ao sol, evaporação ou radiação ultravioleta, resultando em produtos com a fase de secagem mais rápida e vida útil muito maior. O modelo de negócio da fase 1 consiste na terceirização da produção onde, através da supervisão direta, será verificada a correta alocação dos insumos de modo garantir a qualidade das tintas. A forma como está representada traz vantagens como a redução de investimentos iniciais para implementação e a revelação de valiosas informações de mercado.
The present document has as objective to analyze the investment of the fase one start up of a business based on special licenced industrial paint on the brazilian market. Such analysis was accomplished with the Real Options Theory based on a Monte Carlo Simulation process where the costs (uncertainty factors) are stochastic and will follow the Mean Reversion Model. Therefore, it will be able to quantify the management flexibility and how they affect the project value. Nowadays, this industrial paint market has expressive profit share in Europe and a great potential in Brazil. Those paints are anticorrosive and do not have metallic pigments or solvents. They are indicated for all industrial sectors with high chemistry and mechanic resistence application. One of the great advantages on this kind of paint is the lack of extensive time to become dry. The fase one business model is bases on an outside production and the correct formula will be obtained throught direct supervision of qualified internal employees. The bus iness model has advantages such as the reduction of the inicial investments and the development of market knowledge.
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Shikari, Sohel K. (Sohel Khuzem). "Application of option valuation techniques in valuing petroleum leases." Thesis, Massachusetts Institute of Technology, 1994. http://hdl.handle.net/1721.1/12311.
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Thesis (M.S.)--Massachusetts Institute of Technology, Dept. of Civil and Environmental Engineering, 1994.GRSN 681684
Includes bibliographical references (leaves 141-143).
by Sohel K. Shikari.
M.S.
21
Patel, Kavir. "Employee Stock Option Valuation with Earnings-Based Vesting Condition." Master's thesis, University of Cape Town, 2018. http://hdl.handle.net/11427/29471.
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The valuation of employee stock options has become a key requirement due to the rapid growth in the use of these options as a means of employee compensation. IFRS 2 Share-based Payment stipulates that these instruments must be valued and expensed on the date the awards are issued. This dissertation aims to value an employee stock option, in a case where both the equity and vesting (performance) condition are based on a reported earnings process. The equity dependency on earnings stems from the fact that we are primarily concerned with the valuation of employee stock options that are issued by a private firm. We implement a capital structure framework provided by Goldstein, Ju and Leland (2001). In this framework, equity and debt are derived from an underlying EBIT process that is governed by a geometric Brownian motion. The model also accounts for taxation and bankruptcy. The research aim is addressed by incorporating the capital structure model into our employee stock option pricing framework.
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Van, Enckevort Anna Marie. "Real option valuation of a portfolio of oil projects." Thesis, Imperial College London, 2007. http://hdl.handle.net/10044/1/8756.
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Various methodologies exist for valuing companies and their projects. We address the problem of valuing a portfolio of projects within companies that have infrequent, large and volatile cash flows. Examples of this type of company exist in oil exploration and development and we will use this example to illustrate our analysis throughout the thesis. The theoretical interest in this problem lies in modeling the sources of risk in the projects and their different interactions within each project. Initially we look at the advantages of real options analysis and compare this approach with more traditional valuation methods, highlighting strengths and weaknesses of each approach in the light of the thesis problem. We give the background to the stages in an oil exploration and development project and identify the main common sources of risk, for example commodity prices. We discuss the appropriate representation for oil prices; in short, do oil prices behave more like equities or more like interest rates? The appropriate representation is used to model oil price as a source of risk. A real option valuation model based on market uncertainty (in the form of oil price risk) and geological uncertainty (reserve volume uncertainty) is presented and tested for two different oil projects. Finally, a methodology to measure the inter-relationship between oil price and other sources of risk such as interest rates is proposed using copula methods.
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Wang, Yintian 1976. "Three essays on volatility long memory and European option valuation." Thesis, McGill University, 2007. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=102851.
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This dissertation is in the form of three essays on the topic of component and long memory GARCH models. The unifying feature of the thesis is the focus on investigating European index option evaluation using these models.The first essay presents a new model for the valuation of European options. In this model, the volatility of returns consists of two components. One of these components is a long-run component that can be modeled as fully persistent. The other component is short-run and has zero mean. The model can be viewed as an affine version of Engle and Lee (1999), allowing for easy valuation of European options. The model substantially outperforms a benchmark single-component volatility model that is well established in the literature. It also fits options better than a model that combines conditional heteroskedasticity and Poisson normal jumps. While the improvement in the component model's performance is partly due to its improved ability to capture the structure of the smirk and the path of spot volatility, its most distinctive feature is its ability to model the term structure. This feature enables the component model to jointly model long-maturity and short-maturity options.
The second essay derives two new GARCH variance component models with non-normal innovations. One of these models has an affine structure and leads to a closed-form option valuation formula. The other model has a non-affine structure and hence, option valuation is carried out using Monte Carlo simulation. We provide an empirical comparison of these two new component models and the respective special cases with normal innovations. We also compare the four component models against GARCH(1,1) models which they nest. All eight models are estimated using MLE on S&P500 returns. The likelihood criterion strongly favors the component models as well as non-normal innovations. The properties of the non-affine models differ significantly from those of the affine models. Evaluating the performance of component variance specifications for option valuation using parameter estimates from returns data also provides strong support for component models. However, support for non-normal innovations and non-affine structure is less convincing for option valuation.
The third essay aims to investigate the impact of long memory in volatility on European option valuation. We mainly compare two groups of GARCH models that allow for long memory in volatility. They are the component Heston-Nandi GARCH model developed in the first essay, in which the volatility of returns consists of a long-run and a short-run component, and a fractionally integrated Heston-Nandi GARCH (FIHNGARCH) model based on Bollerslev and Mikkelsen (1999). We investigate the performance of the models using S&P500 index returns and cross-sections of European options data. The component GARCH model slightly outperforms the FIGARCH in fitting return data but significantly dominates the FIHNGARCH in capturing option prices. The findings are mainly due to the shorter memory of the FIHNGARCH model, which may be attributed to an artificially prolonged leverage effect that results from fractional integration and the limitations of the affine structure.
24
Richardson, Lyle. "Liquid yield option notes (LYONS) : corporate objectives, valuation and pricing." Honors in the Major Thesis, University of Central Florida, 2001. http://digital.library.ucf.edu/cdm/ref/collection/ETH/id/299.
Full textAbstract:
This item is only available in print in the UCF Libraries. If this is your Honors Thesis, you can help us make it available online for use by researchers around the world by following the instructions on the distribution consent form at http://library.ucf.edu/Systems/DigitalInitiatives/DigitalCollections/InternetDistributionConsentAgreementForm.pdf You may also contact the project coordinator, Kerri Bottorff, at kerri.bottorff@ucf.edu for more information.Bachelors
Business Administration
Finance
25
Hagspihl, Christoph. "A comparison of three analytical approximations for basket option valuation." Master's thesis, University of Cape Town, 2013. http://hdl.handle.net/11427/18690.
Full textAbstract:
Three prominent analytical approximations for pricing basket options,by Levy (1992), Ju (2002) and Deelstra et aI. (2004), are tested for performance and accuracy. Sensitivity analysis shows that all three have greater errors in high volatility and long maturity environments, while Deelstra has weaknesses with small correlation and baskets with few stocks. Deelstra and Levy show tendencies to underprice and overprice respectively, while Ju's errors are more consistently around the true price. A mathematical understanding of the three techniques is also developed.
26
Chang, Chuang-Chang. "Efficient binomial methods for option valuation and hedging : the case of American currency options and warrants." Thesis, Lancaster University, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.260944.
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Schmid, Moura Miguel. "Impact of Filtration on Energy Contract Valuation." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/05609615001/$FILE/05609615001.pdf.
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Zoller, Boris. "The Valuation of Volatility Derivatives An Empirical Analysis /." St. Gallen, 2006. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01280700001/$FILE/01280700001.pdf.
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Bhargav, Shilpa Anandrao. "Impacts of project management on real option values." Thesis, Texas A&M University, 2004. http://hdl.handle.net/1969.1/1455.
Full textAbstract:
The cost of construction projects depends on their size, complexity, and duration. Construction management applies effective management techniques to the planning, design, and construction of a project from conception to completion for the purpose of controlling time, cost and quality. A real options approach in construction projects, improves strategic thinking by helping planners recognize, design and use flexible alternatives to manage dynamic uncertainty. In order to manage uncertainty using this approach, it is necessary to value the real options. Real option models assume independence of option holder and the impacts of underlying uncertainties on performance and value. The current work proposes and initially tests whether project management reduces the value of real options. The example of resource allocation is used to test this hypothesis. Based on the results, it is concluded that project management reduces the value of real options by reducing variance of the exercise signal and the difference between exercise conditions and the mean exercise signal.
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Imamovic, Agnesa. "Real Option Valuation of Ericsson's High Precision In-Building Positioning (HIP)." Thesis, KTH, Industriell ekonomi och organisation (Inst.), 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-45620.
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Ericsson is developing a new technology for accurate indoor positioning, named the HIP-solution. The HIP-solution is a joint product with areas of use in both the public safety market for emergency positioning and as a commercial platform for location based services. The driving force behind the development of Ericsson's HIP solution is E911, a legal requirement imposed in theU.S.where operators are required to position an emergency call within a radius of 50-300 meter, depending on available positioning technology. Location Based Services (LBS) are the other important market for the HIP-solution where the technology can be used to offer customized services for mobile users based on their location, such as guidance to the nearest banking cash machine, or whereabouts of friends or family. This master thesis is conducted at Ericsson, with the purpose of evaluate the HIP-solutions U.S market potential. The theoretical framework used in this paper is the Real Option Pricing Theory, with emphasis on the Expand Option. The theory provides a context for evaluating the HIP-solutions market potential based not only on its physical characteristics, but also of on future expand options and how well Ericsson manages to capture the cloud of externalities the HIP-solution as a joint product. Keywords Ericsson, HIP-High Precision In-building Positioning, U.S Emergency positioning legislation, Location Based Serviced, App, Real Option, Expand Option.
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LASKIER, RAFAEL CAMPOS. "REAL OPTION THEORY: AN INVESTMENT VALUATION APPROACH FOR VENTURE CAPITAL INDUSTRY." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2007. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=11346@1.
Full textAbstract:
A metodologia tradicional do fluxo de caixa descontado,
amplamente
adotado pelas empresas para avaliar investimentos e
tomar
decisões, possui
diversas limitações quando a análise está sujeita a
incertezas e existem
flexibilidades gerenciais. A teoria de opções reais
surge
como uma metodologia
mais adequada para este tipo de cenário, uma vez que
permite a avaliação do
investimento em função das flexibilidades incluídas no
projeto que podem ser
modeladas de maneira semelhante ao cálculo do valor de
uma
opção financeira do
mercado de capitais. Este trabalho analisa um
investimento
para um projeto de
uma empresa que capta recursos através da formação de um
fundo de Venture
Capital. A utilização do método de opções reais para
avaliação de projetos
financiados através deste tipo de captação é
recomendada,
uma vez que os
mesmos encontram-se em estágio de desenvolvimento
inicial,
submetidos a um
ambiente de forte incerteza e com a existência de
flexibilidades gerenciais que
afetam a tomada de decisão. A indústria de Venture
Capital
é tipicamente
representada por empresas de elevado crescimento nos
primeiros anos de
investimento e forte volatilidade dos retornos esperados
(incerteza). O projeto
apresentou VPL negativo quando a abordagem tradicional é
utilizada e, ao aplicar
a metodologia de opções reais, foi possível perceber que
este resultado subestima
o valor do projeto e leva a uma tomada de decisão não
ótima. A partir deste
trabalho, conclui-se que, em cenários de grande
incerteza
e existência de
flexibilidades, como é o caso de investimentos de
Venture
Capital, o método de
valoração mais adequado é a metodologia de opções reais.The traditional discounted cash flow method, which is commonly used by companies to analyze capital budgeting investments, has important limitations when uncertainty and managerial flexibility are present. For these types of project, option pricing methods are more appropriate, since they allow the value of these managerial flexibilities to be adequately captured and valued. In this work we analyze the investment in a project through a venture capital fund, and show that the use of the real option method for the valutation of this type of projects and financing scheme is recommended, given these projects are in the initial stages of development, have a high degree of uncertainty and allow significant managerial flexibility. The Venture Capital industry is typically represented by firms with high growth rates in their initial years and high volatility of the expected returns. The results show that the project has a negative NPV under the traditional discounted cash flow method, but with real option valuation the project value was significantly higher, which shows that non optimal decisions may occur if project flexibility is not valued. We conclude that when high levels of uncertainty and flexibility exist, such as is the case of investments in Venture Capital projects, the real options method provides a more adequate value for the project.
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CHAGASTELLES, THAISSA DUARTE. "VALUATION OF SMART COMPLETION VALUE IN WELL CONVERTION USING REAL OPTION." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2018. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=34499@1.
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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIROCOORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR
PROGRAMA DE SUPORTE À PÓS-GRADUAÇÃO DE INSTS. DE ENSINO
PROGRAMA DE SUPORTE À PÓS-GRADUAÇÃO DE INSTITUIÇÕES COMUNITÁRIAS DE ENSINO PARTICULARES
A completação inteligente é uma tecnologia inovadora que permite uma maior eficiência na produção dos campos do pré-sal, a principal fronteira de produção do Brasil atualmenente. Além disso, uma técnica comumente utilizada nos projetos de petróleo é a conversão de poços produtores em injetores quando há um declínio na vazão de produção. Saber valorar um projeto de petróleo que possua a opção de conversão para poços injetores no futuro, de forma a decidir qual tipo de completação é a que maior valor agrega, é um dos objetivos de um tomador de decisão na área petrolífera. Esta dissertação aborda o uso da teoria de opções reais, através da técnica de diferenças finitas, com o objetivo de analisar se é vantajoso adotar a tecnologia de completação inteligente frente à completação convencional baseado no valor agregado por cada uma em um projeto de petróleo com conversão de poço. Como contribuição final, o projeto propõe a aplicação de um modelo de opções reais, com uma janela de exercício temporal, para a decisão de qual tecnologia de completação um projeto da indústria petrolífera deve considerar.
Smart well is a new technology that allows greater efficiency in pre-salt production, which is currently the largest production frontier in Brazil. Another technique used in oil projects is the conversion of production wells in injector wells when there is a decline in production. Valuing an oil project that has the option to allow conversion to injector wells in the future and decide what kind of completion adds more value is one of the objectives of the decision maker in the oil industry. This dissertation addresses the use of real option theory, by using finite differences, with the objective of analyzing whether it is advantageous to adopt smart completion compared to conventional completion based on the value added by each one in an oil project with a well conversion. As final contribution, this project proposes the application of real option model, with a limited exercise interval, to decide what completion technology an oil company may consider.
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Jens, Paul Justin, and paul jens@csl com au. "Valuation Models for Australian Biotechnology Companies." RMIT University. Economics, Finance and Marketing, 2007. http://adt.lib.rmit.edu.au/adt/public/adt-VIT20080226.120515.
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Biotechnology generated solutions have been hailed as potential cures to many of the problems facing the world today. New therapeutics will eradicate disease, new agricultural products will solve food shortages, and industrial application will improve productivity with reduced environmental impact. Despite the much anticipated benefits of biotechnology, the industry faces significant challenges that must be overcome in the coming decades. Biotechnology is an inherently complex field with a high degree of uncertainty and associated risks. In addition to the risk associated with project development and delivery, businesses looking to extract an economic return from the provision of biotechnology products and services face significant financial risk. This is exacerbated by the long lead times in biotechnology product development and the expensive nature of research and development. This thesis looks investigates the multi faceted problem of biotechnology valuation in Australia using a multi method approach designed to provide greater insight into the valuation challenges facing the industry and identify key value drivers. The approach incorporates a broad qualitative investigation, complimented by more focused quantitative studies into specific valuation issues surrounding IPO and project valuation. Australian biotechnology firms face a significant challenge to raise sufficient capital in order to remain internationally competitive. The current industry structure and funding mechanisms encourage creation of small firms with narrow pipelines, exacerbating the risk of company failure and acting as an impediment to sustainability and, therefore, investment in the sector. Despite the challenges facing the Australian biotechnology industry, the nation possesses a competitive advantage in the strength of local science which, if fully leveraged, should see the development of an internationally competitive industry. Through improved funding mechanisms which encourage the creation of sustainable business models, increased investor participation in the industry should see a greater portion of the value generated through biotechnology retained by local participants. An IPO is likely the largest single capital raising in a company's history. A quantitative investigation into the factors influencing the amount of underpricing and money left on the table for Australian biotechnology IPOs found that the amount of money left on the table was more critical than the level of underpricing. Additionally the impact of market sentiment on biotechnology IPOs was investigated with increased media coverage found to be positively related to the amount of money left on the table. Using project valuation models, the drivers of value over the life of a typical biotechnology project were identified. Key drivers of biotechnology value are commercial viability, coupled with development cost and time. The ability of management to control these elements is crucial. Analysis of project valuations using a traditional DCF model found value estimates exhibited a greater level of uncertainty than those calculated using more contemporary methods of decision tree and real option analysis. Additionally, incorporation of management flexibility into valuation assessment using real options techniques increased the perceived value of biotechnology projects. The value of management flexibility was found to be most relevant for early stage projects where the option to abandon was found to greatly influence values.
34
Shu-Jiun, Su. "Game Option Valuation Model." 2005. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0001-0407200519390800.
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Su, Shu-Jiun, and 蘇淑君. "Game Option Valuation Model." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/58102480004394598125.
Full textAbstract:
碩士國立臺灣大學
國際企業學研究所
93
In Kifer (2000), a new derivative security called game option was introduced. Game option, also called Israeli option, is a contract which enables both its holder (buyer) and writer (seller) to stop it at any time before expiration. That is, its buyer can exercise the right to buy (for a call) or to sell (for a put) a specified underlying asset at a predetermined price, and its seller can cancel the contract by paying the buyer the early exercise payoff plus an amount of penalty. Although some literatures probed into the valuation model of this new derivative, efficient numerical methods have not been developed yet, and both its free boundary problem and the corresponding variational inequalities have not been constructed. Throughout this thesis, we only consider the most general case of game-type contingent claims for its valuation. First we propose the rules of penalty format, choose a more practical one, and apply the familiar binomial tree method. Then we construct its free boundary problem, formulate the corresponding variational inequalities, and use finite-difference method to solve it. Finally, we compare the above results and bring up some discussions.
36
Lu, Chang Rong, and 呂張榕. "The Valuation of Presale Option Using Compound Option." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/93432343711584852545.
Full textAbstract:
碩士國立彰化師範大學
商業教育學系
100
The thesis models the presale contract of the real estate market and incorporate compound option theory in order to make the pricing formula more elastic. The presale system prevails in many Asian cities for a long time, also in Taiwan. There is a unique feature in the housing trading market, that is, the deposit (option premium) can deduct from the property price when you pay for the house. We also take this feature into account by using contingent claim analysis. Additionally, we incorporate the tax factor and other crucial factors into the model and have a closed-form solution. We provide some simulation results and sensitivity analysis. Results from the model are generally consistent with the rational option pricing theory.
37
Sewambar, Soraya. "The theory of option valuation." Thesis, 1992. http://hdl.handle.net/10413/7830.
Full textAbstract:
Although options have been traded for many centuries, it has remained a relatively
thinly traded financial instrument. Paradoxically, the theory of option
pricing has been studied extensively. This is due to the fact that many of the
financial instruments that are traded in the market place have an option-like
structure, and thus the development of a methodology for option-pricing may
lead to a general methodology for the pricing of these derivative-assets.
This thesis will focus on the development of the theory of option pricing.
Initially, a fundamental principle that underlies the theory of option valuation
will be given. This will be followed by a discussion of the different types
of option pricing models that are prevalent in the literature.
Special attention will then be given to a detailed derivation of both the
Black-Scholes and the Binomial Option pricing models, which will be followed
by a proof of the convergence of the Binomial pricing model to the
Black-Scholes model.
The Black-Scholes model will be adapted to take into account the payment
of dividends, the possibility of a changing inter est rate and the possibility of
a stochastic variance for the rate of return on the underlying as set. Several
applications of the Black-Scholes model will finally be presented.Thesis (M.Sc.)-University of Natal, 1992.
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Kun-Hong, Hou. "Lookback Option Valuation: A Binomial Approach." 2006. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0001-2107200615085500.
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Hou, Kun-Hong, and 侯坤宏. "Lookback Option Valuation: A Binomial Approach." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/82233026157300033093.
Full textAbstract:
碩士國立臺灣大學
數學研究所
94
Working in the framework of Cox, Ross and Rubinstein (1979), Cheuk and Vorst (1997) derive one-state variable binomial models for lookback options using a change of numeraire. Due to its efficiency, their method has been the most attractive binomial approach to pricing lookback options while the observation frequency is investigated. However, it seems a bit complicated to price discretely sampled options. Other than Cheuk and Vorst''s change of numeraire, there is an alternative to derive the equivalent models. Choi and Jameson (2003) propose a simplified method to develop one-state variable binomial models for European lookback options without considering two important extensions --- the American type and observation frequency. They do not also give a rigorous and clear proof. In this paper, following Cox et al. (1979) arbitrage arguments, we develop equivalent one-state variable binomial models for lookback options on the basis of the idea of Choi and Jameson (2003): First, we construct the same models for European options as those in Choi and Jameson (2003) and give a more apprehensible proof. Moreover, we extend these models to cope with American and discretely sampled options, and then derive one-state variable binomial models for these variants. Finally we compare our models with others available. Our models perform as well as Cheuk and Vorst''s in terms of efficiency, but are much more intuitive and simpler, especially for discretely sampled options. For this reason, the binomial valuation method of this paper are preferred over that of Cheuk and Vorst (1997).
40
Yu, Yu-Chieh, and 游雨潔. "The Valuation of Protected Barrier Option." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/53540889659059076240.
Full textAbstract:
碩士輔仁大學
應用統計學研究所
95
In this thesis, we show how to value the exotic options easy and correct. Above all, we deal with the pricing of European barrier options with a protected period. We provide an overview of the background literature that is related to price barrier options. Using underlying methods and highlighting the techniques price the value of options. In addition, the framework can be blocked to develop an analytic solution to the European up-and-out call option with a protected period. After that, we apply sensitivity analysis to discuss the distinctive features about the influence of value on variables.
41
Ko, Kun-Yi, and 柯坤義. "Fast Accurate Option Valuation UsingGaussian Quadrature." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/41053272228019375220.
Full textAbstract:
碩士國立中央大學
財務金融研究所
91
This paper develops an efficient and accurate method for numerical evaluation of the integral equations in option pricing problems. We suggest using the Gaussian quadratures, the highest order method in numerical integration, to approximate the option values. The idea of Gaussian quadratures is to give ourselves the freedom to choose not only the weight coefficients, but also the location of the abscissas at which the function is evaluated. It turns out that we can achieve Gaussian quadrature formulas whose convergence order is, essentially, twice that of Newton-Cotes formula (such as the Simpson's rule) with the same number of points. The numerical results are extremely well for a broa d range of options and underlying asset price processes. With this powerful tool, it would be possible to extract information such as implied volatility from the market prices of American options and other exotic options.
42
Li, Haidan. "Stock option compensation and equity valuation." Thesis, 2002. http://wwwlib.umi.com/cr/utexas/fullcit?p3099479.
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Shao, Hua-chin, and 邵華嶔. "Valuation and hedging of Himalaya option." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/73125626952342194624.
Full textAbstract:
碩士國立中山大學
應用數學系研究所
95
The first option has been publicly traded for more than 30 years. With the progress of time, despite the European option is still the exchange-traded option. But evolved through the years, the European option has not meet people''s needs, so exotic option was born. Similarly, the pricing model, from the traditional closed-form solution (under the Black-Scholes assumption), now commonly used binomial trees, finite difference, or by using the Monte Carlo simulation. The main impact of the following factors: the first, with the complexity of the option contract - from single asset to multi-assets, from the plain vanilla option to the path-dependent option, it is more difficult to find the closed-form solution of the option. Second, with the development of personal computers, making numerical computing is no longer a difficult task. It is precisely these two front reason, there will be the birth of this article. Himalaya option is also an exotic options. With the multi-assets and path dependent features, we want to find a closed-form solution is very difficult. Under multi-assets situation, the binomial tree and finite difference will be time-consuming calculation. Therefore, this paper is using Monte Carlo simulation of reasons. In this paper, we use Monte Carlo simulation to pricing Himalaya option, which includes several variance reduction techniques used to reduce sample variance. Finally, when pricing completed, we try to do a simple study to option hedging.
44
Cheng, Chia-i., and 鄭家宜. "Valuation of Strategic Operating Leverage Option." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/03447628916230832564.
Full textAbstract:
碩士國立成功大學
財務金融研究所
95
When management faces a new project, costs are the most important element. The cost amount will affect the expected profit. By using the NPV method, the cost of facility is irreversible. The fixed assets do not have salvage value, in other words, we cannot gain cash inflow from selling the fixed assets. Management should decide the best strategy of operating leverage according to the market situation. Previous research about operating leverage has concentrated on the relationship between operating risk and operating leverage. In contrast to these literatures, we assume that management needs to think about the possibility of existing real options such as the option to expand, abandon and grow. Real options can increase the value of an investment project. In this paper, we assume that there is an option to expand held by management. Management has to take actions after taking the option into account. By using a mathematical method, we obtain the conclusion that if management expects the market to be good, they will adopt high operating leverage; if their expectation is bad, they will use low operating leverage and have an option to expand. If the market becomes better in the future, management will exercise the option and transfer to a firm with high operating leverage. Furthermore, if the demand varies a lot, in other words, the volatility greatly, management will tend to use low operating leverage to avoid the high operating risk.
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Tai-Sang, Hom, and 洪泰盛. "The Option Valuation on Seasoned Issues." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/79071247260415641190.
Full textAbstract:
碩士國立臺灣科技大學
管理技術研究所
86
The option pricing model is applied in many fields. It is able to be an instrument for solving problems about decision making. The purpose here is to employ option pricing model to make empirically test as follows:1.Should the stockholders of the issuing firms hold their stock purchase rights? These rights could be viewed as call options. And which are the factors affecting the rights?2.Is the behavior of the investors who purchase the seasoned new issues reasonable? These purchase rights could be also treated as call options. And which are the factors affecting the purchase rights? 3.Value the underwriting agreements, and testing the risk premium of firm commitment under 3% controlled by Securities and Futures Commission is effective? Do underwriters underprice the securities? Is there any size effect of seasoned new issues? The samples consist of sixty-nine issuing companies offering seasoned new stocks during the period 1994-1997. Applying the rights valuation modeland underwriting agreements valuations suggested by Smith (1977) for the valuation of the rights and underwriting agreements; Moreover, applying Black''(1976) future options model for pricing the rights of purchasing theseasoned new issues by investors.Furthermore, stepwise regression analysis is developed to find out which the factors concern with these theoretical option values. The conclusions of this research are presented as follows:1. Stockholders should keep the offering rights. The regression analysis shows the prediction of the call options and the factors which are the ratioof underpricing, standard deviation of daily stock returns, the price between right on day, dilution ratio and the ex-rights date are in highly positive correlation .2. Investors should carefully make decisions on purchasing the seasoned new issues, however it may be cause disadvantage. The regression analysis shows the prediction of the call options and the factors which are the ratio of underpricing and standard deviation of daily stock returns are in highly positive correlation .3. The risk premium of firm commitment under 3% controlled by Securities and Futures Commission is empirically effective. Predicted underwriting risk premium as measured by put options valued in the contract is highly negative with the ratio of underpricing. In this research we discovers underwriters would underprice the securities and the size effect of seasoned new issues is unsupported by this research.
46
Du, Hua-Ho, and 杜華和. "Intellectual Property Valuation ~ Using Real Option Approach." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/58702427366009905650.
Full textAbstract:
碩士國立中興大學
高階經理人碩士在職專班
93
Market Approach, Cost Approach, Income Approach and the Real Option Approach are common approaches in the field of ‘Intellectual Property Valuation’. Being Different from the other three approaches, the Real Option Approach valuate not only the ‘Risk’ aspect of an object but also the value of the object itself on the basis of Opportunity and Flexibility. The study adopted the Real Option Approach and Black-Scholes Model; took Patent, one of the Intellectual Properties, as the valuation object and chose new drug industry as the study case to examine the Approach. The result of this study was during the process of valuation, although Quantity Models were used, the results of the calculation turned out to be variant due to the subjective judgment of the parameters given in the models. The Patent value should be determined by both sides of the transactions that followed the economic law, adopted their own suitable models, chose the reasonable parameters, found out their value and they finalized the transaction after having the negotiation on the Price issue. The ‘Valued Price’ was not the only issue when it came to a transaction. The study suggested that in order to enhance the recognition of the qualifications, Certified Valuation Analyst in Taiwan should cooperate with National Association of Certified Valuation Analysts (NACVA) to issue the international certificates. By doing so, it will help the financing organization to get the trustworthiness about the result of the valuation. Furthermore, it will empower the intellectual properties collateral as an efficient financing tool.
47
"Valuation of option embedded fixed income securities." 1998. http://library.cuhk.edu.hk/record=b5889417.
Full textAbstract:
by Matthew Bailey Greenberg, Ng Hin Wah.Thesis (M.B.A.)--Chinese University of Hong Kong, 1998.
Includes bibliographical references (leaves 61-62).
ABSTRACT --- p.ii
TABLE OF CONTENTS --- p.iv
Chapter
Chapter I. --- INTRODUCTION --- p.1
Chapter II. --- CONVERTIBLE BONDS AND WARRANTS --- p.3
ConvertIBle Bonds --- p.3
Value At Maturity --- p.5
Value Before Maturity --- p.6
Warrants --- p.8
The Difference Between Convertible Bonds and Warrants --- p.11
Considerations of Issuing Convertibles and Bond with Warrants --- p.13
Valuation of Convertible Bond --- p.15
Valuation of Warrants --- p.18
Chapter III. --- CALLABLE BONDS --- p.20
Performance Characteristics of Callable Bonds --- p.21
Valuation of a Two-year Callable Bond with the Salomon Brothers Model --- p.22
Valuation of a Three-year Callable Bond with the Salomon Brothers Model --- p.25
Step1: Determination of ru and rd --- p.27
"Step 2: Determination of ruu, rud and rdd " --- p.28
"Black, Derman & Toy Model (BDT) " --- p.30
Step 1: Determination of ru and rd --- p.31
"Step 2: Determination of ruu, rud and rdd " --- p.32
Chapter IV. --- SINKING-FUND BONDS --- p.37
Advantages for the Investor --- p.38
Disadvantages for the Investor --- p.38
Methods Used by Issuers for Early Bond Redemption --- p.39
Valuation of Non-callable Sinking Fund Bonds --- p.40
Valuation of Callable Sinking Fund Bond --- p.45
Chapter V. --- VALUATION OF A CALLABLE BOND BY A COMPUTERIZED PROGRAM… --- p.47
System requirements --- p.48
Opening the program file --- p.48
Manual for using the program --- p.48
Construction of Interest Rate Tree --- p.48
Valuation of a Callable Bond --- p.50
APPENDIX --- p.55
BIBLIOGRAPHY --- p.61
48
Shih-Wen, Hsiao, and 蕭世玟. "Weather Option Valuation - Considering Temperature Jump Model." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/46371947668223302819.
Full textAbstract:
碩士國立暨南國際大學
財務金融學系
99
This thesis pursues the goal for capturing the stochastic process of temperature. I also examine whether the temperature model considering jump is better than the mean reversion model, and compute the price of HDD/CDD option in the end. This study is based on the temperature data of Taipei area in past 30 years. At first, I do the regression for average temperature in long term, discuss the residual between real temperature and average temperature in long term, and then exploit our model considering temperature jump to describe this residual process. Next, I obtain the price of HDD/CDD option under the risk-neutral. Finally, I compare the HDD/CDD option price of normal model and jump model, moreover, I take the sensitivity analysis for jump factor in jump model, discuss the change of HDD/CDD expectation, variance, call and put as the jump parameter: λ、σ_ξ、μ_ξ change. The empirical results indicate: First, the average temperature of Taipei is based on 23 degrees Celsius and oscillate year after year. Second, the residual does not obey normal distribution, the model considering temperature jump would better than the mean reversion model. Third, the relationship between HDD/CDD option price and strike price is nonlinear, under risk-neutral condition, the price of HDD/CDD option between call and put would be symmetrical as the expectation is more than standard deviation. Fourth, the expectation of HDD under jump model is larger than normal model, but the expectation of CDD is smaller under jump model. Fifth, in sensitivity analysis, the expectation of HDD would be higher and the expectation of CDD would be lower when λ/σ_ξ is larger, and there is positive correlation between λ/σ_ξ and variance of HDD/CDD (also the option price of HDD/CDD). And another, expectation of HDD would be higher and CDD would be lower when μ_ξ is smaller, but there is no influence between μ_ξ and variance of HDD/CDD (also the option price of HDD/CDD).
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LIN, CHING-FENG, and 林慶豐. "Real option valuation of urban regeneration application." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/09002464956834429365.
Full textAbstract:
碩士國立臺灣科技大學
營建工程系
98
The urban regeneration practice operates has the high uncertainty and the risk, but the traditional value evaluated method is unable to express the urban regeneration project accurately the value which conceals under the uncertain factor. Therefore, in this research that applies the method of real options for the characteristics of the urban regeneration practice operates to evaluate the value of urban regeneration investment proposal and inquire the option value into enterprise period and construction period of urban regeneration. At the same time, this study includes giving up value in enterprise period that make practitioner invests more flexible and accord with the characteristics of urban regeneration operation. Finally, this research carries on the case analysis, confirmed the expanded Net Present Value ( NPV) of real option is bigger than the traditional one. After the sensitivity analysis, we find that urban regeneration option is influenced by these parameters: urban regeneration income, volatility and construction cost.
50
Hung, Yu-huan, and 洪玉環. "Valuation of Surrender Option in Life Insurance." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/20457237791443623415.
Full textAbstract:
碩士國立高雄第一科技大學
金融研究所
101
This study discusses the surrender option value of traditional life insurance policy. Policyholder surrender option can be regarded as the American put option. This study is the use of Longstaff and Schwartz (2001) least-squares Monte Carlo model, and the CIR stochastic interest rate model to simulate the value of the policy surrender option. This model was added to the instant one''s strength and policy loyalty to discuss the impact of movements in interest rates on the policy surrender option price. The study finds that fluctuations in interest rates affect the surrender option value. When the expected future increases in interest rates, the surrender option value will increase. When the expected future interest rates fall, the surrender option value will decline. I hope that this evaluation model can be used as insurance companies assess policyholders billed costs or hedging strategy considerations in the future.