Дисертації з теми "Contract option"
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1
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.
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2
Liu, 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.
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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.
Повний текст джерелаАнотація:
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.
4
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.
Повний текст джерелаАнотація:
Public-private partnerships (PPPs) have become a significant global phenomenon and governments are utilizing them more frequently to deliver projects that satisfy increasing societal demands in infrastructure sectors such as highways. Compared to traditional project delivery approaches, PPPs are long-term contracts between the public and the private sectors, where the private sector is engaged in more project tasks and accepts more risks. However, due to their long-term and complex nature, PPP contracts face many issues. Consequently, each project's contract becomes vital to project success because it: allocates risks, governs project relationships, and can align parties' interests. This dissertation examined 21 project contracts in the US highway PPP market to investigate risk allocation; contract designs and risk sharing mechanisms; and revenue risk guarantees. Using a content analysis framework, the allocation of 31 risks associated with highway PPPs was determined. These risks were mostly transferred to the private sector or shared between public and private parties, and project context had a significant influence on risk allocation. Assessment of contract designs indicated that the public sector imposes extensive monitoring and retains a majority of the decision rights to preclude opportunistic actions by the private sector; further, risk sharing mechanisms were complex and largely dependent on resolution during project implementation, which likely increases ex post transaction costs. Finally, revenue guarantees, commonly structured as standard options to mitigate revenue risk, were redesigned to incorporate exotic option features; quantitative analysis revealed that exotic structures can better serve chief PPP stakeholders' interests through increased robustness and flexibility.Ph. D.
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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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Chen, 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.
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Unver, Ibrahim Emre. "Pricing And Hedging A Participating Forward Contract." Master's thesis, METU, 2013. http://etd.lib.metu.edu.tr/upload/12615532/index.pdf.
Повний текст джерелаАнотація:
We use the Garman-Kohlhagen model to compute the hedge and price of a participating forward
contract on the US dollar that is written by a Turkish Bank. The algorithm is computed
using actual market data and a weekly updated hedge is computed. We note that despite a
weekly update and many assumptions made on the volatility and the interest rates the model
gives a very reasonable hedge.
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ROCHA, 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.
Повний текст джерелаАнотація:
Os modelos de Black & Scholes e binomial para avaliação de opções financeiras dão como resultado prêmios cujo valor aumenta proporcionalmente ao aumento da incerteza do retorno dos ativos subjacentes às opções, medida pelo desvio-padrão. Também na avaliação de empresas, a teoria das opções financeiras pode ser estendida para avaliar as mesmas como opções reais. Este método é adequado quando se analisam ativos de empresas sujeitos a fortes incertezas, situação na qual a flexibilidade das opções adiciona valor considerável aos ativos físicos. Seguindo esta ótica, a pesquisa analisou uma linha aérea internacional de uma empresa de transporte aéreo regular de passageiros. A análise é adequada na medida em que a indústria do transporte aéreo, atualmente em crise, está sujeita a fortes incertezas de receita de passageiros e também de custos como o de combustível. Pela análise por opções reais, a pesquisa demonstrou que a flexibilidade existente acerca das opções de aumentar, reduzir freqüências nos
vôos ou até mesmo abandonar as operações, aliada às incertezas de mercado, adiciona valor considerável aos ativos de uma empresa aérea. Assim, avaliar as mesmas apenas baseando-se no método ortodoxo do Valor Presente Líquido num cenário de crise como o atual, constitui-se numa análise incompleta. A pesquisa utilizou uma modelagem discreta no tempo e estado, com a combinação das incertezas de receita e combustível evoluindo segundo uma árvore quadrinomial.The 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.
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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.
Повний текст джерелаАнотація:
In this study, value of demand information and the importance of option contracts are investigated for a supply chain consisting of a buyer and two suppliers in a single period setting. One supplier is cheap but prone to disruptions whereas the other one is perfectly reliable but expensive. At the beginning of the period, buyer orders from the unreliable supplier and reserves from the reliable supplier through a contract that gives buyer an option to use reserved units after getting disruption information of first supplier. We introduce three models which differ in terms of the level of information available when the ordering decisions are made. In the full information model, the options are exercised after getting disruption and demand informationin 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.
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Wanga, Godwill George. "Hedging Exchange Rate Risks." ScholarWorks, 2017. https://scholarworks.waldenu.edu/dissertations/3373.
Повний текст джерелаАнотація:
Risks associated with fluctuating exchange rates affect investment cost and investor profitability. Approximately 50% of firms in emerging markets have significant exposure to fluctuating exchange rates. Grounded in principal-agent theory (PAT), the purpose of this case study was to explore hedging strategies to mitigate risks of fluctuating exchange rates. The population comprised a census sampling of 12 bank hedgers (risk managers and controllers) in Dar es Salaam in Tanzania, East Africa. Data collection involved semistructured interviews, casual observations of the work environment, and analysis of reports including risk management, internal control, and compliance policies. Data were analyzed by coding and grouping narrative segments and significant statements into themes of participants' experience in hedging exchange rate risks. Method triangulation and member checking were used to increase the trustworthiness of interpretations. Four themes emerged directly related to the PAT conceptual framework: training and skills development, management of hedging strategies and contracts, corporate governance, and benefits to management and the organization through effective compensation programs. A focus on training and skill development helped develop appropriate exchange rate hedging strategies and corporate governance improved compliance with laws, regulations, and policies. The benefits of effective hedging strategies include a reduction in cost and increase in profitability. The findings may help improve the soundness of professional hedging practices, which will increase the stability of the Tanzanian banking system.
11
He, Yi. "Topics in contract pricing and spot markets." Diss., Atlanta, Ga. : Georgia Institute of Technology, 2008. http://hdl.handle.net/1853/24792.
Повний текст джерелаАнотація:
Thesis (Ph.D.)--Industrial and Systems Engineering, Georgia Institute of Technology, 2008.Committee Chair: Anton Kleywegt; Committee Member: Dong Jun Wu; Committee Member: Ellis Johnson; Committee Member: George L. Nemhauser; Committee Member: Pinar Keskinocak.
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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.
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Cores, 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.
Повний текст джерелаАнотація:
In this article, the authors explain the type of treatment the Call Spread options should be given. They argue that these should be treated as a unique derivative and not as one compound by two independent elements. Likewise, they outline the premium as an inherent element in the determination of any gains or losses from the financial options that it is decided to adopt. As an important point, they claim that adopting one specific side about the treatment of the Call Spread options and the premium implies having a viewpoint about their determination in the Income Tax.En 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.
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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.
Повний текст джерелаАнотація:
Thesis (Ph.D)--Industrial and Systems Engineering, Georgia Institute of Technology, 2009.Committee 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.
15
López, Fung Jorge. "Contractual innovations: Memorandum of Understanding." IUS ET VERITAS, 2017. http://repositorio.pucp.edu.pe/index/handle/123456789/122593.
Повний текст джерелаАнотація:
This article addresses the most relevant aspects of Memorandum of Understanding, one of the most important contractual figures of our times. Through the article, the author explains this figure according to doctrinaire and jurisprudential pronouncements and determines its legal nature and the treatment the Peruvian legal system should grant to it.El 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.
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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/.
Повний текст джерелаАнотація:
Spesso, quando si parla di mercati finanziari, si visualizza subito un'entità centralizzata parte del paradigma monolitico creatosi. E' dunque difficile discostarsi col pensiero da una metodologia così radicata nella struttura sociale qual è la centralizzazione dei mercati, così difficile che la mente evita di abbozzarne una versione differente. Lo sviluppo informatico, fautore di innovazione, è stato, attraverso l'avvento della piattaforma decentralizzata Ethereum, in grado di ristrutturare questo paradigma rompendo lo stigma (solo all'apparenza immutabile) della centralizzazione. Scopo principale di questo lavoro di tesi è dato da un confronto sotto vari aspetti tra il modello attualmente in uso (centralizzato), ed una alternativa proposta da Vishakh immessa nel sistema Ethereum; confronto che è stato attuato prendendo in analisi l'acquisto e la vendita di opzioni finanziarie.
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Oelofse, 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.
Повний текст джерелаАнотація:
Thesis (MBA)--Stellenbosch University, 2001.ENGLISH 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.
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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.
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Constantino, 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.
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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.
Повний текст джерелаАнотація:
La stratégie du créancier face à l'inexécution est une réalité masquée par les théories, elle est tacite dans les analyses. Les éléments qui la composent sont étudiés tour à tour de façon à découvrir une institution qui est composée de mécanismes interdépendants ayant chacun son propre ressort. À partir de l'article 1184 du Code civil, il a fallu saisir l'esprit de la résolution, des qualifications qu'elle comprend, expressément et tacitement, dans l'optique de vérifier les connaissances présentés comme certaines afin de projeter l'institution dans une perspective d'avenir.À travers huit thématiques constitutives de la résolution, il est question d'opérer un tri dans les connaissances relatives au domaine de l'action, à la disqualification de la force majeure, à l'inexécution du contrat par le débiteur dûment constatée par une mise en demeure. Le juge une fois saisi, le créancier bénéficie ainsi de l'option entre résolution ou exécution forcée conférée par l'article 1184 alinéa 2, amenant au caractère judiciaire - fort discuté - de l'action. Enfin, la résolution produit des effets apparents sur le contrat : la rétroactivité mais surtout des effets caractéristiques : l'extinction et les restitutions qui sont issues de la décision judiciaire de résolution.Si le concept de résolution a été étudié à travers son fondement, son histoire ou encore ses formes diverses, il restait à explorer l'envers de cette théorie dans une relecture critique rappelant sa fonction première : permettre au créancier de protéger le contrat face au phénomène d'inexécutionCreditor'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
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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.
Повний текст джерелаАнотація:
The use of currency options has been grown widely during the latest years. This paper tries to answer whether hedge strategies using currency options are superior to forward exchange contracts or not.
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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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Høegh, Morten W. (Morten Westyne) 1973. "Options on shipbuilding contracts." Thesis, Massachusetts Institute of Technology, 1998. http://hdl.handle.net/1721.1/50479.
Повний текст джерелаАнотація:
Thesis (S.B. and S.M.)--Massachusetts Institute of Technology, Dept. of Ocean Engineering, 1998.Includes 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.
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Mahle, Stephen E. "An options model of employee-firm contracts." Connect to resource, 1987. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1262704610.
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Collazzo, Yelpo Pablo Gabriel. "Modeling Stock Option Contracts - Evidence from Spain." Doctoral thesis, Universitat Ramon Llull, 2016. http://hdl.handle.net/10803/378651.
Повний текст джерелаАнотація:
Pocs temes han generat tant debat en matèria de govern corporatiu com el de la remuneració de directius. Aquesta recerca analitza una pràctica tan controvertida com estesa en la contractació executiva, tal com és la concessió al directiu d'opcions sobre accions de l'empresa. Són les opcions sobre accions la resposta al desafiament d'alinear eficientment els incentius del directiu amb els de l'accionista? La clau radica en el disseny del contracte. Aquest estudi pretén contribuir a llançar llum sobre aquesta controvèrsia, a través d'una anàlisi sistemàtica del disseny dels plans d'opcions sobre accions de les empreses de major liquiditat i capitalització del mercat espanyol, representades en l'índex borsari Ibex 35. Les variables de disseny objecto d'anàlisi són el preu d'exercici, el període d'espera, el venciment del contracte, l'actualització del preu d'exercici i les restriccions a la venda posterior de les accions. Sobre aquests plans s'apliquen les teories de contractació òptima i extracció de rendes, per identificar desviaments del paradigma d'alineació d'incentius. Per avaluar l'eficiència en aquesta alineació d'incentius que es persegueix amb el contracte d'opció, es vincula el disseny de les variables a dalt esmentades amb la tornada ajustada per risc de les empreses que concedeixen opcions, a través d'una anàlisi de dades de panell.Pocos 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.
26
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.
Повний текст джерелаАнотація:
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.
27
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.
Повний текст джерела
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Guisiano, Jean-Philippe. "Les promesses de vente d'immeuble." Toulon, 2009. http://www.theses.fr/2009TOUL0057.
Повний текст джерелаАнотація:
Contrat consensuel par nature, la vente nécessite, en matière immobilière, que soit pris le temps de la réflexion. La pratique a ainsi élaboré diverses figures juridiques destinées à préparer une vente d'immeuble. Les parties qui souhaiteront sceller leur accord sur les éléments essentiels de la vente, dans l'attente de l'accomplissement des formalités préalables propres à la vente immobilière, trouveront en effet un intérêt à se lier par la signature d'une promesse qui comportera tantôt un engagement unilatéral de vendre, le plus souvent consenti à titre onéreux, tantôt des engagements symétriques de vendre et d'acquérir, lesquels, en principe, suffiront à former la vente. Toutefois, les interventions récurrentes du législateur, voire du juge, sont perçues comme autant d'atteintes au principe du consensualisme qui gouverne notre droit des contrats. Or, ces atteintes ne sont pas toujours jusitifiées au regard des solutions retenues par la jurisprudence en cas de manquement des parties à leurs engagements. Il en ressort une force obligatoire "à géométrie variable" des promesses de vente d'immeuble alors, pourtant, qu'elles devraient toutes être pleinement dotées des attributs inhérents à leur nature contractuelle. S'efforçant d'élaborer une théorie de l'avant-contrat, la jurisprudence répond cependant à un impératif de mise en ordre des différents avant-contrats de vente d'immeuble, qu'elle opère hélas au détriment de la cohérence des principes et de la sécurité juridique que l'on peu légitimement attendre de la signature d'une promesse d'immeuble, qu'elle soit unilatérale ou synallagmatiqueA 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
29
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.
Повний текст джерела
30
Palvadeau, Émmanuelle. "Le contrat en droit pénal." Thesis, Bordeaux 4, 2011. http://www.theses.fr/2011BOR40048/document.
Повний текст джерелаАнотація:
En tant que « pilier de l’ordre juridique », le contrat n’est pas ignoré du droit pénal. Incontestablement présent dans d’innombrables incriminations, le contrat fait toutefois l’objet de conceptions particulières que la doctrine relève ponctuellement comme autant de marques d’autonomie de la matière. Mais la présentation du contrat en droit pénal par le simple constat de solutions autonomes ne peut suffire, qui ne permet pas de déterminer, de manière positive et rationnelle, ce en quoi le contrat consiste en droit pénal.En refusant de lui transposer l’ensemble du régime contractuel, le droit positif semble pourtant formuler le principe d’une sélection que la finalité du droit pénal peut éclairer de manière décisive. Le contrat en droit pénal apparaît alors, qui résulte ainsi d’une sélection fonctionnelle des dispositions du régime contractuel : seules celles assurant la finalité du droit pénal doivent être caractériséesAs 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
31
Landman, Daniel. "Real Option Analysis of Primary Rail Contracts in Grain Shipping." Thesis, North Dakota State University, 2017. https://hdl.handle.net/10365/28647.
Повний текст джерелаАнотація:
Grain shipping for a country elevator involves many sources of risk and uncertainty. In response to these dynamic challenges faced by shippers, railroad carriers offer various types of forward contracting instruments and shuttle programs. Certain contracting instruments provide managerial flexibility by allowing shippers to sell excess railcars into a secondary market. The purpose of this study is to value this transferability as a European put option. A framework is developed around a material requirement planning schedule and real option analysis to represent the strategic decisions facing a primary shuttle contract owner. Monte Carlo simulation is incorporated with a stochastic binomial option pricing model to value the transfer option. A sensitivity analysis is then conducted to determine the impact of key input variables. This study provides insights about railcar ordering strategy, and the implications of transferable rail contracts for shippers and carriers.
32
Zhang, 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.
Повний текст джерелаАнотація:
The intense few-cycle laser pulses play an important role in the investigations of laser-plasma interaction. However, one of the biggest challenges in their generation is the reduction of temporal intensity contrast by introducing undesired pre-pulses and a long pedestal. Two techniques were investigated in this work to improve the contrast. First, the crossed-polarized wave (XPW) generation was optimized to get clean pulse. The conditions for XPW were optimized including crystal thickness and maximal background pressure in the vacuum cell. Second, the method of elliptical polarization rotation (EPR) in a gas-filled hollow-core fiber (HCF) was implemented to produce both broadened and cleaned pulse, since its setup is much simpler. For the tested EPR-based nonlinear filter, the spectral smoothening and broadening were obtained. The contrast of cleaned pulse was characterized providing 2 order of magnitude contrast enhancement, while it had a high average power of 80 mW. The EPR-based nonlinear filter is a promising simplified technique in the development of intense few-cycle lasers.
33
Hron, Jiří. "Risk Analysis and Pricing of Retail Energy Contracts." Doctoral thesis, Vysoká škola ekonomická v Praze, 2007. http://www.nusl.cz/ntk/nusl-191806.
Повний текст джерелаАнотація:
The presented dissertation is focused on the applications of statistical methods and ap-proaches applied in the energy business. The need for the modeling of energy risks arose only recently when the energy business was opened to competition. Therefore, the prima-ry aim of the dissertation is to clarify the main principles of the energy business which are necessary for understanding both risk principles and motivation of the proposed models. I am largely focused on retail risks, i.e., the risks associated with delivery to end-consumers. In particular, I deal with energy contracts providing volume flexibility, recalled as swing options in the literature. Therefore, the second issue on which I am focusing is a group of demand-driven swing options whose more systematic analysis in the portfolio context has not been published so far. Examining the risk, I apply the deductive (probabil-istic) analysis which reveals interesting relations between correlations. The practical ap-plications also require inductive considerations resulting in the construction of statistical estimators relying on historical data. I propose an estimator of the volumetric correlation based on a classical theory whose bias is investigated via MC simulation. To analyze a par-ticular volume-price correlation, I introduced the notion of robust dependency. Applying bootstrap procedures, robust dependency can be used both for testing purposes and for sensitivity analysis of the sample correlation. There are many works available devoted to energy price models which are different from the price models applied on financial markets. Therefore, the third target of the dis-sertation is an empirical statistical analysis of both power and natural gas Czech spot pric-es which can serve as a basis for the development of price models adapted to the Czech market environment. Finally, the fourth aim is the evaluation of power contracts which is very specific. The outputs of the model are both a synthetic market price and a hedging strategy. The model is designed to provide flexibility in practical applications.
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GROSSO, 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.
Повний текст джерелаАнотація:
COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOREste 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).
35
Saly, Jane P. "The effect of major stock downturns on executive stock option contracts." Thesis, University of British Columbia, 1991. http://hdl.handle.net/2429/31464.
Повний текст джерелаАнотація:
This dissertation analyzes the effect of a stock market downturn on executive compensation
plans which include stock option contracts. A model is developed to determine sufficient conditions for which the optimal compensation contract exhibits characteristics
of a fixed salary plus stock option. If a publicly known shift in the distribution of firm value occurs after contracting and before the agent takes his action, then it can be shown to be in the principal's interest to renegotiate the agent's contract. The resulting contract is again a fixed salary plus stock options with lower exercise prices than in the original contract. It is assumed that the shift in the distribution of firm value is a low probability event that is not contracted upon. To determine whether or not it is optimal to contract on a low probability event the set of original contract and rengotiated contract
is compared to a contract that is complete with respect to the event. Benefits to complete contracting exist if the agent commits to stay after information about the event becomes available. However, if the agent can leave at any time, the principal may prefer, initially, not to contract on low probability events and simply renegotiate the contract if a low probability event occurs. Renegotiation can take the form of lowering the exercise price of outstanding stock options or adding a layer of options with a lower exercise price than existing outstanding options. Nonparametric tests on stock option grants in 1985 through 1988 indicate that the size of grants in 1987 and 1988 is significantly larger than in 1985 and 1986. These results support the prediction that stock options outstanding in 1987 were renegotiated following the stock crash in October 1987.Business, Sauder School of
Accounting, Division of
Graduate
36
von, Hofsten Olof. "Phase-Contrast and High-Resolution Optics for X-Ray Microscopy." Doctoral thesis, KTH, Biomedicinsk fysik och röntgenfysik, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-26781.
Повний текст джерелаАнотація:
X-ray microscopy is a well-established technique for nanoscale imaging. Zone plates are used as microscope objectives and provide high resolution, approaching 10 nm, currently limited by fabrication issues. This Thesis presents zone plate optics that achieve either high resolution or phase contrast in x-ray microscopy. The high-resolution optics use high orders of the zone plate, which alleviates the demands on fabrication, and the phase-contrast optics are single-element diffractive optical elements that produce contrast by Zernike or differential-interference contrast methods. The advantage of phase contrast in x-ray microscopy is shorter exposure times, and is crucial in the hard x-ray regime. Microscopy in the absorption‑contrast region of the water-window (2.34 - 4.37 nm) also benefits from these optics. The development of the optics for a laboratory soft x-ray microscope spans from theoretical and numerical analysis of coherence and stray light to experimental implementation and testing. The laboratory microscope uses laser-produced plasma-sources in the water-window and is unique in its design and performance. It will be shown that the laboratory microscope in its current form is a user-oriented and stable instrument, and has been used in a number of applications. The implementation of a cryogenic sample stage for tomographic imaging of biological samples in their natural environment has enabled applications in biology, and 3D x-ray microscopy of cells was performed for the first time with a laboratory instrument.QC 20101130
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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.
Повний текст джерелаАнотація:
O Ambiente de Contratação Livre proporcionou uma
continuidade do
processo de livre concorrência de mercado iniciado com a
reestruturação do setor
elétrico em 1997. A mudança de um regime baseado em
contratos de suprimento
renováveis para uma estrutura baseada em preços dados por
um mercado
competitivo, expõe as empresas do setor elétrico
brasileiro à volatilidade do
mercado de eletricidade. Neste novo ambiente, as empresas
devem gerenciar os
riscos associados às suas operações. Devido às
características singulares do setor
elétrico brasileiro, o gerenciamento de risco é um grande
desafio para os próximos
anos. Por outro lado, com a liberdade de negociação
permitida pelo segmento de
comercialização de energia no Ambiente de Contratação
Livre, os contratos de
compra e venda de energia elétrica passaram a adaptar-se
as necessidades de
mercado com a incorporação de flexibilidades que viessem a
mitigar os riscos
com relação à demanda por energia elétrica e
principalmente com relação ao
preço. Dentro desse contexto, foi desenvolvido um modelo
de avaliação de
portfolio de contratos de compra e venda de energia
elétrica, incorporando as
flexibilidades inerentes a atividade de comercialização,
de forma a quantificar os
riscos associados a esta atividade e determinar o valor
adicionado ao portfolio
pelas flexibilidades. O caso estudado é fictício, mas é um
exemplo típico na área
de comercialização de energia elétrica dentro deste novo
modelo.The 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.
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Doidge, Stephen. "The tax treatment of receipts and accruals arising from equity option contracts." Thesis, Rhodes University, 2013. http://hdl.handle.net/10962/d1007921.
Повний текст джерелаАнотація:
In this thesis the tax treatment of equity option contracts is examined. The writer gives an overview of the derivatives market in general and discusses the nature and effect of equity options in detail. Limited amendments have been made to the South African Income Tax Act No 58 of 1962 ('the Act') since the emergence of derivative instruments and at present only three types of derivative instruments are recognised: forward exchange and option contracts relating to forward exchange, interest rate swaps based on notional capital amounts and option contracts. Other than section 241 of the Act which deems all receipts and accruals from foreign exchange contracts to be income, the other sections dealing with derivatives do not concern themselves with capital or revenue classification. Accordingly, the classification of receipts and accruals arising from an equity option transaction is generally governed by the ordinary principles of South African tax law with the added problem of there being limited South African case law applying these general prinCiples to such transactions. The research undertaken in this thesis results in the establishment of a framework designed to determine the classification as revenue or capital the receipts and accruals arising from equity option contracts. Speculating, trading and investing in equity options is examined with regard to the general principles of South African tax and available case law. Hedging transactions are analysed with specific reference to their exact nature as well as general tax principles and available case law. The analogy of Krugerrands is used to draw parallels with the tax treatment of receipts and accruals arising from equity options used for hedging purposes. Once the theoretical framework has been established for revenue or capital classification, the actual tax treatment of both revenue and capital receipts is examined with reference to the Act and issues such as the gross income definition, the general deduction formula, trading stock and timing provisions are analysed and applied to receipts and accruals arising from equity option transactions. The thesis concludes with a summary of the findings and recommendations are made based on the research conducted.
39
Xu, Li. "Financial and computational models in electricity markets." Diss., Georgia Institute of Technology, 2014. http://hdl.handle.net/1853/51849.
Повний текст джерелаАнотація:
This dissertation is dedicated to study the design and utilization of financial contracts and pricing mechanisms for managing the demand/price risks in electricity markets and the price risks in carbon emission markets from different perspectives. We address the issues pertaining to the efficient computational algorithms for pricing complex financial options which include many structured energy financial contracts and the design of economic mechanisms for managing the risks associated with increasing penetration of renewable energy resources and with trading emission allowance permits in the restructured electric power industry. To address the computational challenges arising from pricing exotic energy derivatives designed for various hedging purposes in electricity markets, we develop a generic computational framework based on a fast transform method, which attains asymptotically optimal computational complexity and exponential convergence. For the purpose of absorbing the variability and uncertainties of renewable energy resources in a smart grid, we propose an incentive-based contract design for thermostatically controlled loads (TCLs) to encourage end users' participation as a source of DR. Finally, we propose a market-based approach to mitigate the emission permit price risks faced by generation companies in a cap-and-trade system. Through a stylized economic model, we illustrate that the trading of properly designed financial options on emission permits reduces permit price volatility and the total emission reduction cost.
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Firch, Robert S. "Put Options on Cotton Futures Contracts as Low Price Insurance." College of Agriculture, University of Arizona (Tucson, AZ), 1986. http://hdl.handle.net/10150/219696.
Повний текст джерела
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Al-Sakkaf, Ghazi Ahmed 1956. "PUT OPTIONS ON COTTON FUTURES CONTRACTS AND ALTERNATIVE MARKETING STRATEGIES." Thesis, The University of Arizona, 1986. http://hdl.handle.net/10150/275479.
Повний текст джерела
42
Schlumberger, Edmond. "Les contrats préparatoires à l'acquisition de droits sociaux." Paris 1, 2011. http://buadistant.univ-angers.fr/login?url=https://www.dalloz-bibliotheque.fr/pvurl.php?r=http%3A%2F%2Fdallozbndpro-pvgpsla.dalloz-bibliotheque.fr%2Ffr%2Fpvpage2.asp%3Fpuc%3D4428%26nu%3D16.
Повний текст джерелаАнотація:
Il arrive qu'un associé s'engage à racheter à terme les titres d'un minoritaire, que les statuts d'une société intègrent une clause d'agrément ou d'exclusion, ou encore qu'une société émette des titres offrant un accès futur à son capital social: toutes ces hypothèses, extrêmement fréquentes en pratique, ont pour point commun de reposer sur la technique civiliste du contrat préparatoire, plus précisément sur ses figures les plus connues que constituent la promesse unilatérale et le pacte de préférence. Si l'utilisation de ce type de conventions en matière de droits sociaux révèle la vitalité et la capacité d'adaptation de mécanismes relevant du droit commun, la détermination de leur régime soulève de nombreuses interrogations, qui tiennent au caractère atypique de leur objet. Contrairement à l'immeuble ou au fonds de commerce, les droits sociaux sont l'émanation d'un groupement qui unit ses membres autour d'un intérêt commun, de sorte que leur acquisition n'est jamais indifférente pour les autres associés. Aussi un simple renvoi aux solutions du droit commun des contrats ne peut-il suffire à dresser le régime applicable aux avant-contrats étudiés. La présente étude se propose, s'agissant de la formation comme de la vie toute entière de ces conventions, de mettre en évidence une perversion des règles de droit commun et l'intrusion d'un ordre juridique nouveau propre au droit des sociétés. A l'analyse, le droit commun voit ses règles simplement modulées en fonction du contexte sociétaire de la convention, tandis que la sollicitation des normes spéciales afférentes à la matière sociétaire exige pour sa part une mise en cause directe de l'intérêt commun des associés.
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Bellalah, 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.
Повний текст джерелаАнотація:
Notre étude a pour objectif de démontrer comment étendre la théorie classique d'évaluation des options sur action et des options sur matières premières pour évaluer des options sur indice et des options sur contrat à terme d'indice. L'existence de spécificités propres à ces instruments d'une part, et les déviations observées entre les prix théoriques obtenus au moyen d'un modèle d'évaluation d'options sur action et ceux du marché d'autre part, suggèrent un "lien manquant" dans la réconciliation entre la théorie d'évaluation des options et la réalité du marché. Notre travail se focalise essentiellement sur la recherche et l'analyse de ce lien, son intégration dans l'analyse et sa mise en oeuvre dans des modèles théoriques. Ainsi, nous avons étudié successivement les aspects suivants : l'effet du détachement de dividende sur l'évaluation et l'exercice prématuré des options sur indice ; l'effet de la volatilité des taux d'intérêt sur l'évaluation et les stratégies d'exercice optimales de ces options ; l'évaluation des options dans un contexte d'information incomplète. Enfin, nous avons testé les modèles ainsi proposés en étudiant particulièrement les propriétés empiriques des modèles prenant en considération un coût d'information.
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Růžek, Lukáš. "Regulace derivátových kontraktů." Master's thesis, Vysoká škola ekonomická v Praze, 2016. http://www.nusl.cz/ntk/nusl-264693.
Повний текст джерелаАнотація:
This diploma thesis deals with the legal regulation of derivatives contracts with respect to their economic nature. It provides a detailed view on the legislation regulating derivatives contracts in the legal order of the Czech Republic. Considering the interconnection of local derivatives markets, this diploma thesis pays attention to the legal regulation and standardization of derivatives contracts in foreign countries and at the international level. The first part of this thesis describes basic features of derivatives and proposes their typology. The aim of the following part is to evaluate the contemporary legal regulation of derivatives contracts in the Czech Republic. The rest of this thesis elaborates on foreign and international legal regulation of derivatives contracts. The main goal of this diploma thesis is to evaluate present the state of the regulation of derivatives contracts in the Czech Republic, asses to what degree it reflects their economic nature, and eventually, propose legal changes.
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Fischer, Annett Birgit. "Planar optics with wavelength-scale high contrast gratings." Thesis, University of York, 2015. http://etheses.whiterose.ac.uk/9072/.
Повний текст джерелаАнотація:
In recent years, the emergence of a new type of sub-wavelength dielectric grating with a high refractive index contrast, typically referred to as high contrast grating, and its simple fabrication procedure have given rise to numerous applications in integrated photonics and optoelectronics. The on-going demand for miniaturised planar devices in the near-infrared spectral range and the compatibility with standard processing techniques motivated us to explore the intriguing resonance effects in high contrast gratings for the application as broadband mirrors, reflective lenses, and as part of static and tuneable Fabry-Pérot cavities. We chose amorphous silicon as the high refractive index material. The characteristics of grating mirrors were analysed numerically and measured experimentally, confirming their suitability for use as focussing reflectors and cavity mirrors in a Fabry-Pérot interferometer. As a result, a new type of reflective diffractive lens incorporating multiple phase jumps was designed, fabricated, and experimentally tested, and showed improved performance in terms of numerical aperture compared to other devices in the literature. Furthermore, initial experiments by integrating arrays of such lenses with a microfluidic platform showed an application potential in the area of large-scale optical trapping. In an attempt to develop functional wavelength-selective filters utilising high contrast gratings and microelectromechanical systems, we investigated static cavities based on metals and gratings, which included simulation, development of the fabrication process, and optical characterisation. Following these proof-of-principle studies and the computational analysis of the mechanical behaviour of flexible membrane designs, the challenge in making tuneable devices was to fabricate a fully working tuneable filter and its characterisation. Overall, this thesis contributes to the field of integrated and planar silicon photonics by addressing the design and the performance aspects of high contrast grating lenses with high numerical aperture as well as addressing key challenges in the fabrication of tuneable filters.
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Bengtsson, 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.
Повний текст джерела
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Shuaibi, 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.
Повний текст джерелаАнотація:
The main objective of this study was to evaluate alternative marketing strategies involving options on live cattle futures contracts during the period of 1966-85. To predict the option premiums that would have occurred at various points in this period of time, the study did research on market premiums of options on live cattle futures contracts from October 30, 1984, to November 22, 1985. The research showed that actual premiums conform closely to the premiums estimated by the Black model of option pricing. The generalized stochastic dominance with absolute risk aversion function intervals is demonstrated in the study in order to make the evaluation. The results showed that under different risk preferences, the commodity options provide the dominant alternative for cattle producers. Options provided protection from losses resulting from falling cash price and in some cases raised average income of hedgers.
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Vik, 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.
Повний текст джерелаАнотація:
This diploma thesis deals with a public lighting and its direct impact on the financial management of the municipality. Within this analysis the basic methods and ways, which the municipality use in the field of a management and a maintenance of the public lighting system, were described. The eventual form of the reconstruction of the public lighting in the Černožice village was also proposed. In a response to this proposal possible ways of financing this investment project were subsequently outlined. The secondary aim of this thesis was to create a concise database of implemented projects of the reconstruction in other municipalities and comparison of these results.
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Yin, 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.
Повний текст джерела
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COSTA, 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.
Повний текст джерелаАнотація:
PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIROCOORDENAÇÃO 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).