Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 20 of 3707 for “"option"”.
-
The Other Option
Hanti Lin and Kevin Kelly [LK12] introduce a way of relating probability functions and binary beliefs, referred to as odds-threshold method, which is based on comparing the probabilities of the elementary outcomes. Outcome o1 is preferred to outcome o2 if o1 is sufficiently more likely than o2; the …
-
There Is Always an Option
… temporal abstractions, often instantiated as options: temporally extended sequences of actions directed toward sub-goals. While prior work has largely focused on designing algorithms that explicitly learn such options, this work asks a different question: can options emerge naturally within …
-
Towards efficient nonlinear option pricing
… numerical solvers for a wide range of nonlinear option pricing problems, including European options, Asian options and a multi-asset case. The chosen research methodology is the numerical PDE approach which essentially is to solve the nonlinear Black-Scholes equations with the relevant nonlinear …
-
Stock Option Returns, a Puzzle
… the expected returns of European call options must be positive and increasing in the strike price. This paper investigates the returns to call options on individual stocks that do not have an ex-dividend day prior to expiration. The main findings are that over the 1996 to 2005 period …
-
Bounds on baskets option prices
The celebrated Black-Scholes option pricing model is unable to produce closed-form solutions for arithmetic basket options. This problem stems from the lack of an analitical form for the distribution of a sum of lognormal random variables. lVlarket participants commonly price basket options by …
-
Valuation of shipbuilding option contracts
Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Ocean Engineering, 2001.
-
Sensitivities in Option Pricing Models
… appropriate boundary conditions for three main option pricing models: the Black-Scholes model, the Heston's model and the jump diffusion model, for European type options. These adjoint equations can be used to compute the gradient of the cost function accurately for parameter estimation …
-
Option Pricing in Non-Competitive Markets
In the classic option pricing theory, the market is assumed to be competitive. The relaxation of the competitive market assumption introduces two features: liquidity cost and feedback effects. In our study, investors in non-competitive markets are divided into two categories: small investors and …
-
Social Influences on Children's Option Valuations
… distribute the resources, giving their favorite option to a prosocial agent who was presumably more deserving than the other agent. Further, after viewing four peers express a consistent preference for one option over another, children appeared to devalue the option their peers disliked, as they …
-
Essays on Banking and Option Pricing
… procedure to estimate state-price densities from option prices. The existing nonparametric kernel regression estimator in Ait-Sahalia and Lo (1998) does not satisfy a requirement of a probability density function: that it be non-negative on its domain. In this paper, we implement a one-step …
-
Option hedging error in commodity markets
Hedging options are a common practice to reduce or specify the risk of an option position. In most institutions, it takes place daily. The hedge coefficients used are often determined by the Black Scholes option pricing model and are commonly referred to as the “greeks”. Although the flaws of the …
-
Gram-Charlier expansions and option pricing
… is implemented with standard foreign exchange options and gives an exact fit when enough moments are included in the calibration process. GramCharlier expansions also result in analytic solutions for many exotic option prices through an extremely general framework. This relies on representing …
-
Deep Calibration of Option Pricing Models
… involves a direct inversion of the standard option pricing function using neural network. The indirect framework uses two consecutive steps; the first step estimates the option pricing function using a neural network. This is followed by applying the pre-trained model in a calibration …
-
Option pricing with non-constant volatility
… researchers have developed models to price options with non-constant asset price volatility. These models can be divided into deterministic volatility models and stochastic volatility models. Deterministic volatility models assume that volatility is determined by some variables observable in …
-
Option pricing using hidden Markov models
This work will present an option pricing model that accommodates parameters that vary over time, whilst still retaining a closed-form expression for option prices: the Hidden Markov Option Pricing Model. This is possible due to the macro-structure of this model and provides the added advantage of …
-
Factored State Abstraction for Option Learning
… on discovering temporally extended actions (options) to provide efficient solutions for long-horizon decision-making problems with sparse rewards. One promising approach that learns these options end-toend in this setting is the option-critic (OC) framework. However, there are several …
-
Redevelopment option value for industrial property
… component due to existence of a redevelopment option. We do an empirical study based on over 6,600 industrial property transactions across United States from 2000 to 2018. This can be seen as a discovery journey of improving the methodology in identifying and evaluating the redevelopment option …
-
M&A Non-Consummation - A Strategic Option?
… non-consummation decisions (NCDs) as strategic options. A review of published research in strategic management journals reveals that this topic has yet to undergo rigorous academic examination. Putting the M&A non-consummation phenomenon under a strategic management lens, this study asks the …
-
Option pricing in a path integral framework
… is an examination of methods for computing an option price using a path integral framework. The framework, developed by Chiarella, El-Hassan and Kucera, is based on the Black and Scholes paradigm. The path integral is backward recursive with the payoff known at expiry and has no closed form …
Page 1 of 186