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Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 13 of 13 for “"option pricing theory"”.
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Incorporating default risk into the Black-Scholes model using stochastic barrier option pricing theory
… a general model that prices Black-Scholes options subject to intertemporal default risk using stochastic barrier option pricing theory. The explicit closed-form solution is obtained by generalizing the reflection principle to k-space to determine the appropriate transition density function. …
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The real cost of the Government Mortgage Indemnity Scheme : an application of the option pricing theory
The legacy of apartheid in the social and economic fabric of South Africa is pervasive. More than two million households, with an average of five persons per household, are living in shacks or in hostels. Thus, the South African Government of National Unity as its most urgent priority has …
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Ex-ante valuation of United States agricultural support programs: An application of option pricing theory and methods
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Real Options and Game Theoretic Valuation, Financing and Tendering for Investments on Build -Operate -Transfer Projects
Built upon modern option pricing theory and game theory, this thesis presents a quantitative BOT model that can dynamically evaluate the value of a BOT investment from the perspectives of the developer and government, and determine the BOT investment's developing decisions. By incorporating with …
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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 …
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A mathematical model for managing equity-linked pensions
… pioneering work of Brennan and Schwartz [10] for pricing these minimum guarantees. The model they developed prices these minimum guarantees using option pricing theory. We also look at the model proposed by Deelstra et al. [13] which prices minimum guarantees in a stochastic financial setting. We …
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Dynamics of bankrupt stocks
… the real prices. On the other hand, we match the option pricing theory against observed behavior of the options to see how the periodic buy-ins would act to cover the the cost of the short position, which gives the mechanism of the essential feedback of the Hard-to-Borrowness.
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Markov-Switching models and resultant equity implied volatility surfaces: a South African application
… the stock model underlying Black-Scholes famous option pricing formula. There are however numerous problems with this stock model as certain features do not follow some empirical stylised facts we see from the observation of actual asset prices. In particular, the constant parameter idea behind …
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Vessel valuation : an options approach
… of managerial and operating flexibility as real options. Similar to options on financial assets, real options involve decisions or rights, with no obligation, to acquire or exchange an asset or project for a pre-specified price. Within the shipping industry the application of real options on …
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Essays on Volatility Risk and Security Returns
… studies the determinants of expected option returns and equilibrium determinants of variance risk and the variance risk premium. In the first essay, I analyze the relation between expected option returns and the volatility of the underlying securities. In the Black-Scholes-Merton and …
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The Black-Scholes model and the pricing of stock options in South Africa
Option Pricing Theory (OPT), along with the Capital Asset Pricing Model, the Theory of Capital Structure, and the Efficient Markets Hypothesis, form one of the pillars of modem finance theory. Central to OPT is the Black-Scholes model, the first option pricing model derived within a general …
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Optimal Bond Refunding: Evidence From the Municipal Bond Market
… bonds. Callable bonds contain embedded call options by virtue of provisions in bond indentures that permit the issuing firm to buy back the bond at a predetermined strike price. Such an embedded American call option has two components to its value, the intrinsic value and the time value. The …
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Closing the memory gap in stochastic functional differential equations
… have linear growth. In mathematical finance, an option pricing formula with full finite memory is obtained through convergence of stock dynamics with memory gap to stock dynamics with full finite memory.