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Modelos de precificação de Opções Americanas a partir de plataformas paralelas / Pricing models of American Options from parallel platformsLucas Vioto dos Santos Ribeiro 22 September 2017 (has links)
O objetivo desta dissertação é fornecer primeiramente o arcabouço necessário para o entendimento do derivativo opções, muito utilizado nos mercados financeiros mundiais, e posteriormente executar precificações de opções americanas a partir dos modelos dos mínimos quadrados de Monte Carlo (LSM), o modelo de árvore binomial com extrapolação de Richardson e a aproximação analítica de Bjerksund e Stensland (B&S), aplicando duas plataformas de processamento paralelo computacional, a TPL (Task Parallel Library) nativa no .NET framework 4.5 e a plataforma CUDA (Compute Unified Device Architecture), demonstrando o comparativo dos resultados obtidos a cada modelo diante de cada plataforma. / The objective of this dissertation is to provide first the necessary framework for the understanding of the derivative options, widely used in the world financial markets, and later to execute the American option pricing from Monte Carlo least squares models (LSM), the binomial tree model with Richardson extrapolation and the Bjerksund and Stensland analytic approach (BJS) by applying two parallel computational processing platforms, the native TPL (Task Parallel Library) in the .NET framework 4.5 and the CUDA platform (Compute Unified Device Architecture), demonstrating the comparison of the obtained results to each model before each platform.
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[en] A REAL OPTION MODEL FOR VALUING PROJECTS USING IMPLIED BINOMIAL TREES ADJUSTED BY PROJECT SKEWNESS AND KURTOSIS / [pt] UM MODELO DE OPÇÕES REAIS PARA AVALIAÇÃO DE PROJETOS AJUSTADOS POR ASSIMETRIA E CURTOSE DO PROJETO19 February 2019 (has links)
[pt] A avaliação dos projetos de investimentos é uma tarefa difícil para muitas empresas, especialmente para aqueles cujo fluxo de caixa depende dos preços das commodities, já que o nível de incerteza nos preços tem um alto impacto na determinação do momento adequado para o investimento. Os métodos de avaliação tradicionais, que não levam em consideração a flexibilidade gerencial nem a modelagem da incerteza do projeto, podem levar a decisões não ótimas. Esta pesquisa desenvolve um modelo que considera estas variáveis, usando árvores binomiais implícitas ajustados por outros indicadores de risco, como assimetria e curtose da rentabilidade do projeto. O nível de incerteza pode não só ser medido pela volatilidade do retorno do projeto, mas também pela probabilidade de se obter um resultado baixo ou negativo no projeto. A magnitude dessa probabilidade poderia ser a avaliada conhecendo-se o valor da assimetria e curtose do retorno do projeto. Para modelar o comportamento de um projeto, esta dissertação apresenta dois tipos de árvores binomiais implícitas, recombinantes e não recombinante. Cada árvore tem sua própria abordagem específica para determinar o valor do projeto, incluindo opções. Um caso aplicado é apresentado considerando uma empresa de mineração. Os resultados sugerem que o nível de assimetria contribui para uma melhor avaliação do risco do projeto, que combinado com a metodologia de opções reais captura melhor o valor das flexibilidades do projeto; o que é uma importante contribuição do modelo proposto nesta dissertação. / [en] Valuation of capital investment projects is a difficult task for many companies, especially for those whose cash flows depend on commodity prices. The level of uncertainty in commodity prices has a significant impact in determining the proper timing for an investment. Traditional valuation methods, which do not take into account managerial flexibility or project uncertainty modeling can lead to non-optimal decisions. This research develops a dynamic model that considers these variables, and uses implied binomial trees adjusted by other indicators of risk, such as project return s skewness and kurtosis. The level of uncertainty can not only be measured by the project return s volatility, but also by how probable is the occurrence of a low or negative result in the project. The magnitude of this probability could be assessed by knowing the project return s skewness and kurtosis. To model the project s behavior, this dissertation presents two kinds of implied binomial trees, recombining and non-recombining trees. Each tree has its own specific approach to determining the value of the project, including options or managerial flexibility. An applied case is presented considering a mining project. The results suggest that the level of skewness helps to have a better measure of project risk, which combined with the real option approach, allows capturing the value of project managerial flexibilities; which is an important contribution of the proposed model in this dissertation.
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平均利率上限選擇權之評價-LIBOR Market Model謝震洋 Unknown Date (has links)
爲規避利率上升風險,市場上有很多避險工具,諸如遠期利率協定、利率交換、我國期交所於2004年1月2日所推出的債券期貨(或稱利率期貨)、歐元期貨契約。本論文所要探討的是平均利率上限選擇權之評價,使用的方法是建構Forward LIBOR Tree之利率樹,再使用Timothy. R. Klassen(2001)評價亞式選擇權的方法來評價平均利率上限選擇權。
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Pricing American style employee stock options having GARCH effectsArotiba, Gbenga Joseph January 2010 (has links)
Magister Scientiae - MSc / We investigate some simulation-based approaches for the valuing of the employee stock options. The mathematical models that deal with valuation of such options include the work of Jennergren and Naeslund [L.P Jennergren and B. Naeslund, A comment on valuation of executive stock options and the FASB proposal, Accounting Review 68 (1993) 179-183]. They used the Black and Scholes [F. Black and M. Scholes, The pricing of options and corporate liabilities, Journal of Political Economy 81(1973) 637-659] and extended partial differential equation for an option that includes the early exercise. Some other major relevant works to this mini thesis are Hemmer et al. [T Hemmer, S. Matsunaga and T Shevlin, The influence of risk diversification on the early exercise of employee stock options by executive officers, Journal of Accounting and Economics 21(1) (1996) 45-68] and Baril et al. [C. Baril, L. Betancourt, J. Briggs, Valuing employee stock options under SFAS 123 R using the Black-Scholes-Merton and lattice model approaches, Journal of Accounting Education 25 (1-2) (2007) 88-101]. The underlying assets are studied under the GARCH (generalized autoregressive conditional heteroskedasticity) effects. Particular emphasis is made on the American style employee stock options. / South Africa
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增進樹狀模型評價重設型選擇權效率之方法王志原, Wang, Chih-Yuan Unknown Date (has links)
傳統上,對於選擇權的評價模型,大抵可分為封閉解與數值分析兩大類。封閉解計算的速度快,但卻十分缺乏彈性,譬如無法求得美式解,相反的數值分析相當具有彈性,評價時卻比較耗時,譬如障礙選擇權。本文針對上面的問題,提出一個以數值分析中的樹狀模型為基礎,輔以封閉解來維持應有的彈性,並提高計算的速度,我們將此方法稱之為分解結合法。
由於樹狀模型用來評價重設型選擇權必須考慮消除重設界限所導致的非線性誤差,在本文中,主要是以Boyle and Lau(1994)的二元樹模型及Ritchken(1995)的三元樹模型作為主要的架構,搭配分解結合法來針對重設型選擇權進行研究。就本文分析的結果顯示,利用分解結合法不但能夠提高計算的速度,同時對於某些條件下的選擇權,還能夠減少其評價的波動度,效果相當的顯著。
本文主要針對單點單價式與整段時間單價式的重設型選擇權,推導適用分解結合法的方法。以此兩種基本的重設型選擇權為基礎,我們將相同的概念推廣至其他更複雜的重設型選擇權上。此外在選取結合的方式上,我們也可以充分利用已經推導出的重設型選擇權封閉解,應用在更複雜的重設條件上,無形中,增加了封閉解的應用彈性,也減少了樹狀模型的評價時間,所以具有一舉兩得的效果。此外,本文也針對分解結合法的評價速度,作一完整的比較。並在最後,本文也針對分解結合法下避險比率的計算以及重設型選擇權避險所特有的現象:Delta Jump、Negative Delta,這兩種情形發生的原因及可能的影響與因應之道進行分析。
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Applications of ROA to Value a Dotcom Start-up and a Professional Basketball playerKarungi, Doreen, Huang, Wenqing January 2012 (has links)
This paper attempts to evaluate a dotcom start-up company and a professional young basketball player using Real Option Analysis in the investors’ points of view. That is, we are standing in the financers’ shoes and valuing both cases if they are worth investing in. We believe that real option analysis is the most appropriate valuation method from our current knowledge compared to other traditional valuation methods notably like the Net Present Value (NPV), therefore we try to prove that using both qualitative and quantitative descriptions. The authors concentrate more on applying quantitative methods than giving detailed definitions of real options. Binomial Pricing Model and Monte Carlo simulation with the help of MS Excel and MATLAB were used in the evaluation. The paper consists of two case studies, each tackled differently but both summarized up all together. The paper concludes with a table exhibiting when real options are valuable and a belief that game theory is essential in ROA. / Matlab Codes and Simulation&Binary Tree Model(Excel)
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考量信用風險下之海外可轉債評價 / Pricing Euro-Convertible Bonds with Credit Risk吳岱恩, Wu, Tai En Unknown Date (has links)
鑒於近年全球海外可轉換公司債發行檔數大增,然而以此商品為研究主題的文獻並不多,於是決定以此為研究目標。
影響海外可轉換公司債的價格因素包括股票價格、匯率、國內利率、國外利率和發行公司的違約機率,因此可買回、可賣回海外可轉換公司債是一個複雜的商品,而評價也較為困難。本文採用三維度二項樹和最小平方蒙地卡羅法建立評價海外可轉債的數值模型。為了更貼近真實世界,本文考量各變數間相關性和動態信用風險;另外,為了使評價更為精準,於股價過程中加入跳躍過程。
本文將模型運用至兩檔台灣公司所發行的海外可轉債,發現理論價格傾向於高估,但是理論價格與市價極為接近,尤其當以最小平方蒙地卡羅法評價時。另外本文也針對發行條件和模型中各個變數作敏感度分析,其中重要的是發現股票波動度、股票與匯率間相關係數在海外可轉債評價中扮演重要的角色。 / The number of Euro-convertible bonds issued has highly increased in the early 2010s. However, the related literature is barely found. This paper studies the pricing models of this investment product. Euro-convertible bonds are complex instruments affected by the credit risk of the issuers, the dynamic process of stock prices, the term structure of the interest rate and the movement of the exchange rate in the same time. Accordingly, building the ECB pricing model is a hard work.
This paper presents a model considering the dynamic credit risk and jump in stock price process to make valuation more precise. Another advantage of models in this paper is use of stochastic interest rates for both local and foreign so as to make the model more staying with the real world. The other advantage is taking the correlation between each random variables into account. For pricing the Euro-convertible bonds, the numerical methodologies used in this paper are three-dimension binomial tree and least squares Monte Carlo approach.
For purpose of assessing the performance of the model, two Euro-convertible bonds issued by Taiwan companies are chosen as samples and the difference between the theoretical price and market price during its issue period are provided. The results demonstrate that in spite of pretty slight overestimation, the least squares Monte Carlo simulation does a better job.
In addition, this paper performs several kinds of sensitivity analysis to have in-depth understanding about the models. The consequence shows that the volatility of a stock return and the correlation between stock and exchange rate play a central role in ECB valuations.
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Pricing American Style Employee Stock Options having GARCH EffectsGbenga Joseph Arotiba January 2010 (has links)
<p>We investigate some simulation-based approaches for the valuing of the employee stock options. The mathematical models that deal with valuation of such options include the work of Jennergren and Naeslund [L.P Jennergren and B. Naeslund, A comment on valuation of executive stock options and the FASB proposal, Accounting Review 68 (1993) 179-183]. They used the Black and Scholes [F. Black and M. Scholes, The pricing of options and corporate liabilities, Journal of Political Economy 81(1973) 637-659] and extended partial differential equation for an option that includes the early exercise. Some other major relevant works to this mini thesis are Hemmer et al. [T Hemmer, S. Matsunaga and T Shevlin, The influence of risk diversification on the early exercise of employee stock options by executive officers, Journal of Accounting and Economics 21(1) (1996) 45-68] and Baril et al. [C. Baril, L. Betancourt, J. Briggs, Valuing employee stock options under SFAS 123 R using the Black-Scholes-Merton and lattice model approaches, Journal of Accounting Education 25 (1-2) (2007) 88-101]. The underlying assets are studied under the GARCH (generalized autoregressive conditional heteroskedasticity) effects. Particular emphasis is made on the American style employee stock options.</p>
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Pricing American Style Employee Stock Options having GARCH EffectsGbenga Joseph Arotiba January 2010 (has links)
<p>We investigate some simulation-based approaches for the valuing of the employee stock options. The mathematical models that deal with valuation of such options include the work of Jennergren and Naeslund [L.P Jennergren and B. Naeslund, A comment on valuation of executive stock options and the FASB proposal, Accounting Review 68 (1993) 179-183]. They used the Black and Scholes [F. Black and M. Scholes, The pricing of options and corporate liabilities, Journal of Political Economy 81(1973) 637-659] and extended partial differential equation for an option that includes the early exercise. Some other major relevant works to this mini thesis are Hemmer et al. [T Hemmer, S. Matsunaga and T Shevlin, The influence of risk diversification on the early exercise of employee stock options by executive officers, Journal of Accounting and Economics 21(1) (1996) 45-68] and Baril et al. [C. Baril, L. Betancourt, J. Briggs, Valuing employee stock options under SFAS 123 R using the Black-Scholes-Merton and lattice model approaches, Journal of Accounting Education 25 (1-2) (2007) 88-101]. The underlying assets are studied under the GARCH (generalized autoregressive conditional heteroskedasticity) effects. Particular emphasis is made on the American style employee stock options.</p>
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Problèmes numériques en mathématiques financières et en stratégies de trading / Numerical problems in financial mathematics and trading strategiesBaptiste, Julien 21 June 2018 (has links)
Le but de cette thèse CIFRE est de construire un portefeuille de stratégies de trading algorithmique intraday. Au lieu de considérer les prix comme une fonction du temps et d'un aléa généralement modélisé par un mouvement brownien, notre approche consiste à identifier les principaux signaux auxquels sont sensibles les donneurs d'ordres dans leurs prises de décision puis alors de proposer un modèle de prix afin de construire des stratégies dynamiques d'allocation de portefeuille. Dans une seconde partie plus académique, nous présentons des travaux de pricing d'options européennes et asiatiques. / The aim of this CIFRE thesis is to build a portfolio of intraday algorithmic trading strategies. Instead of considering stock prices as a function of time and a brownian motion, our approach is to identify the main signals affecting market participants when they operate on the market so we can set up a prices model and then build dynamical strategies for portfolio allocation. In a second part, we introduce several works dealing with asian and european option pricing.
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