Thesis (Ph. D.)--University of Iowa, 2007. / Supervisor: Palle Jorgensen. Includes bibliographical references (leaves 59-60).

En France, la Loi n° 2006-739 du 28 juin 2006 prévoit le stockage réversible profond pour les déchets de haute et moyenne activité à vie longue (HAVL et MAVL). La réversibilité est justifiée principalement par la nécessité de préserver une certaine capacité d'adaptation sur le long terme (au moins cent ans) dans un contexte marqué par de multiples incertitudes. La thèse proposée étudie comment l'approche par les options réelles peut être effectivement appliquée au cas d'un projet de stockage réversible des déchets radioactifs,en l'occurrence celui porté par l'Agence Nationale pour la gestion des Déchets Radioactifs (ANDRA). Différents aspects de la prise de décision relative à ce projet de stockage sont traités à travers trois modèles d'options réelles. Chaque modèle développé met en regard un type d'option réelle : l'option d'échange, l'option d'extension et l'option d'apprentissage. Le premier modèle se concentre sur l'incertitude concernant la valeur d'un colis de déchets radioactifs et son influence sur les options d'échange entre différents niveaux de récupérabilité. Les résultats montrent qu'en raison de multiples options interdépendantes, la réalisation d'une option réelle antérieure (par exemple, fermer les galeries d'accès) peut modifier la valeur des options ultérieures en ce qui concerne la récupération des colis. Puisque les options pour passer à un niveau de récupérabilité plus ou moins aisée sont interdépendantes, elles doivent être évaluées simultanément. Dans le second modèle,l'accent est déplacé sur la construction et l'exploitation progressive du centre de stockage géologique. Le résultat du deuxième modèle montre qu'il peut y avoir une valeur associée au développement progressif de la capacité de stockage en raison de l'incertitude sur la demande de stockage. C'est précisément la valeur de l'option d'extension qui doit être calculée afin de déterminer s'il est économiquement avantageux d'augmenter la capacité de stockage. Le troisième modèle, plus conceptuel, constitue un essai d'ouverture vers de nouvelles voies de recherche sur la valeur de l'option d'apprentissage en présence d'information endogène. La valeur de l'option est analysée en intégrant deux sources d'apprentissages (par la pratique et par l'investissement en R&D). / In France, the Act n° 2006-739 of 28 June 2006 establishes the reversible geological disposal for intermediate and high-level waste (ILWand HLW). The reversibility is mainly justified by the need to preserve some ability to adapt over the long term (at least one hundred years) in a context of multiple uncertainties. The proposed thesis examines how the real options approach can be effectively applied to the French project of reversible geological disposal for the radioactive waste, developed by the National Agency for Radioactive Waste (ANDRA). Different aspects of decision making process are addressed through three real options models. Each model emphasizes a certain type of real option : the switching option, the extension option and the learning option. The first model focuses on the uncertainty about the value of a radioactive waste package and its influence on the switching options between different stages of retrievability. The results show that the reversible project of geological disposal involves a series of compound options (options on options) which may create follow-up opportunities and interactions. For example, realizing an earlier real option (such as closing the galleries of access) can change the value of future options for the retrieval of waste packages. Given these interactions between options, their value must be simultaneously determined. In the second model, the focus is moved to the construction of the geological repository. The result of the second model shows that there may be a value associated with the progressive development of the operating capacity due to the uncertainty on the demand for radioactive waste disposal. This is precisely the value of the extension option which must be calculated to determine whether it is economically advantageous to increase the capacity. The third model, more conceptual, is an attempt to open new avenues of research on the value of the learning option in the presence of endogenous information. The option value is analyzed by integrating two sources of learning (Learning by doing and R & D).

M.Comm. / Chapter 2 discussed the basic principles underlying of the two major option pricing formulae. It clearly showed that two totally different approaches were followed in each case, and yet both arrived at approximately the same value for the price of an option. Both these approaches made certain assumptions in their derivation of the formulae in order to simplify the final expressions, and to produce a more workable solution. They both however made substantial use of statistical probability in order to determine the likelihood of a certain event occurring. Chapter 3 gave a detailed derivation of both the Black and Scholes and the Binomial tree pricing formulae, as well as the associated criticism and advantages of the respective approaches. Value at risk, or VaR, was used in determining the statistical probability of a certain portfolio consisting of a specified option losing more than a certain percentage of its value over a given period of time. The resulting number obtained can be used to judge the riskiness of a portfolio in the given market conditions. All of these formulae are used on a daily basis by financial professionals in the daily operations of a magnitude of different institutions in order to value financial portfolios, the risk associated with these portfolios and the probability of certain events occurring within the portfolios in order to make better decisions and increase the profitability of these institutions, without actually knowing the underlying principles. - As- such these --formulae merely become a number crunching business, and interpretation of these numbers, without realising the pitfalls associated with the approaches in establishing these formulae. The random walk theory for unrestricted movement assumes that at t=0, the rates are at the origin. This can be interpreted as 0%, and instinctively any person would agree that 0% is not possible in any fixed income environment, due to the time value attached to money. Choosing the ruling rate as the origin would be more practical in determining the origin, but care must be taken in assigning probabilities to the up and down movements. At the onset of the problems amongst the emerging markets during 1998, the probability of rates increasing once it reached 17,00% was much higher than that of the rates decreasing. However, barely a month later when the rates had reached its peak at more than 21,00% and were declining again, the probability of the rates increasing once it reached 17,00% again was much lower than that of it decreasing further. This would have a significant effect on the probability generating function, and hence also an effect on the mean and variance thus derived. The probability curve of the rates during these times were also not represented by a standard normal curve, and as such the heteroscedacity of the curve had a major influence on the pricing of options. During extreme periods both the random walk theory and the Wiener process would be totally skewed, and unreliable answers would be derived from this approach. By 'adjusting the expression for a non-standard distribution, these problems can be eliminated and an accurate approach once again obtained using this process. Problems that could occur when using this approach to solve inaccuracies would amongst others include the following: The incorrect distribution function is being applied for the specific set of conditions prevailing in the market. This is due to the fact that under these abnormal conditions the distribution function can change over a very short period of time. Incorrect skews being applied to the distribution function due to fast changing market conditions. When to revert back to the normal distribution function. It then becomes a question not of an improper analytical approach, but incorrect timing approach. Since markets mostly perform according to the standardised normal distribution function the Wiener approach hold true for most applications.

University of Macau / Faculty of Science and Technology / Department of Mathematics

Main objective of this diploma thesis is to point out to the advantages related to the applications of Exotic options and show that we have to be aware of complexities which arise in hedging such products. There exists a quantity of different Exotic options products so the first chapter is dedicated to its basic classification, although not all instruments were included, as some are very specific. According to the application of options, we took out the most used Exotic options. The number one in the Exotic options world, are the Barrier options, followed by Digital options

No description available.

The purpose of this research was to assess the current (manual) and future (automated) presentation options for fabric and color in the design process. Current and future presentation options were assessed for viability and identification of relationships between reported sufficiency levels and recommended use responses. This exploration was used to identify new and future technologies for presentation of fabric and color that could potentially aid in increasing product manufacturing competitiveness through time and cost reduction. The study also recorded if the current practices for apparel design were congruent with current available technology and estimated future technology capabilities. A judgment sample of 20 apparel and interior industry personnel, in three geographical locations (i.e., West Coast, Southeast, Northeast), were mailed a self-administered survey. The survey design employed a structured multi-part questionnaire and four fabric and color presentation options (i.e., fabric swatch, printed swatch card, 2D simulation, 3D simulation). The survey was pilot tested for content validity and instrument reliability. Descriptive statistics (i.e., frequencies, percentages, contingency tables) were used to analyze the data. The response rate was 65% for 13 usable responses. Exploration and analysis of current (manual) and future (automated) presentation options provided information about the sufficiency of the information provided and for consistencies and inconsistencies in the designer's perception of these options. The fabric swatch format was identified as the current viable manual presentation option. The 2D simulation and 3D simulation presentation option was identified for the automated category. Only the 3D simulation option was found to be viable for use in the design process. The fabric swatch and 3D simulation successfully conveyed all fabric characteristics effectively. The fabric swatch also conveyed all format attributes effectively and the 3D simulation effectively conveyed familiar, satisfactory results, saves time, and increased productivity. / Ph. D.

This study develops a method for estimating confidence intervals surrounding futures based forecasts of natural gas prices. The method utilizes the Barone-Adesi and Whaley model for option valuation to "back-out" the market's assessment of the annualized standard deviation of natural gas futures prices. The various implied standard deviations are then weighted and combined to form a single weighted implied standard deviation following the procedures outlined by Chiras and Manaster. This option implied weighted standard deviation is then tested against the more traditional "historical" measure of the standard deviation. The paper then develops the procedure to transform the weighted standard deviation and futures price into a price range at the option expiration date. The accuracy of this forecast is then tested against 15 and 30 day average forecasts. / Master of Arts

常方差彈性(CEV) 模型能夠刻畫波動率微笑的優點使之成為期權定價中的實用工具，然而它在應用到美式衍生工具時面臨分析上及計算上的挑戰。現行的解析方法是對代表著期權價格函數和其最佳履約曲線的自由邊界問題進行拉普拉斯卡森變換(LCT) ，繼而獲得在此變換下的解析解，可是此解含有合流超線幾何函數，使得它的數值計算在某些參數下顯得不穩定及低效。本文運用漸近法徹底解決美式期權在常方差彈性模型下的定價問題，並用永久性和限時性的美式看跌期權作為例子闡述所提出的方法。 / The constant elasticity of variance (CEV) model is a practical approach to option pricing by fitting to the implied volatility skew. Its application to American-style derivatives, however, poses analytical and numerical challenges. By taking the Laplace Carson transform (LCT) to the free-boundary value problem characterizing the option value function and the early exercise boundary, the analytical result involves confluent hyper-geometric functions. Thus, the numerical computation could be unstable and inefficient for certain set of parameter values. We solve this problem by an asymptotic approach to the American option pricing problem under the CEV model. We demonstrate the use of the proposed approach using perpetual and finite-time American puts. / Detailed summary in vernacular field only. / Pun, Chi Seng. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2013. / Includes bibliographical references (leaves 39-40). / Abstracts also in Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Problem Formulation --- p.4 / Chapter 2.1 --- The CEV model --- p.4 / Chapter 2.2 --- The free-boundary value problem --- p.5 / Chapter 2.2.1 --- Perpetual American put --- p.5 / Chapter 2.2.2 --- Finite-time American put --- p.6 / Chapter 3 --- Asymptotic expansion of American put --- p.8 / Chapter 3.1 --- Perpetual American put --- p.8 / Chapter 3.2 --- Finite-time American put --- p.16 / Chapter 4 --- Numerical examples --- p.24 / Chapter 4.1 --- Perpetual American put --- p.24 / Chapter 4.2 --- Finite-time American put --- p.26 / Chapter 5 --- Conclusion --- p.29 / Chapter A --- Proof of Lemma 3.1 --- p.30 / Chapter B --- Property of ak --- p.32 / Chapter C --- Explicit formulas for u₂(S) --- p.34 / Chapter D --- Closed-form solutions --- p.37 / Bibliography --- p.40

Ng Chi-Tim. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 110-114). / Abstracts in English and Chinese. / Chapter Chapter 1 --- Introduction --- p.4 / Chapter Chapter 2 --- Mathematical Background --- p.7 / Chapter 2.1 --- Fractional Stochastic Integral --- p.8 / Chapter 2.2 --- Wick's Calculus --- p.9 / Chapter 2.3 --- Malliavin Calculus --- p.19 / Chapter 2.4 --- Fractional Ito's Lemma --- p.27 / Chapter Chapter 3 --- The Fractional Black Scholes Model --- p.34 / Chapter 3.1 --- Fractional Geometric Brownian Motion --- p.35 / Chapter 3.2 --- Arbitrage Opportunities --- p.38 / Chapter 3.3 --- Fractional Black Scholes Equation --- p.40 / Chapter Chapter 4 --- Generalization --- p.43 / Chapter 4.1 --- Stochastic Gradients of Fractional Diffusion Processes --- p.44 / Chapter 4.2 --- An Example : Fractional Black Scholes Mdel with Varying Trend and Volatility --- p.46 / Chapter 4.3 --- Generalization of Fractional Black Scholes PDE --- p.48 / Chapter 4.4 --- Option Pricing Problem for Fractional Black Scholes Model with Varying Trend and Volatility --- p.55 / Chapter Chapter 5 --- Alternative Fractional Models --- p.59 / Chapter 5.1 --- Fractional Constant Elasticity Volatility (CEV) Models --- p.60 / Chapter 5.2 --- Pricing an European Call Option --- p.61 / Chapter Chapter 6 --- Problems in Fractional Models --- p.66 / Chapter Chapter 7 --- Arbitrage Opportunities --- p.68 / Chapter 7.1 --- Two Equivalent Expressions for Geometric Brownian Motions --- p.69 / Chapter 7.2 --- Self-financing Strategies --- p.70 / Chapter Chapter 8 --- Conclusions --- p.72 / Chapter Appendix A --- Fractional Stochastic Integral for Deterministic Integrand --- p.75 / Chapter A.1 --- Mapping from Inner-Product Space to a Set of Random Variables --- p.76 / Chapter A.2 --- Fractional Calculus --- p.77 / Chapter A.3 --- Spaces for Deterministic Functions --- p.79 / Chapter Appendix B --- Three Approaches of Stochastic Integration --- p.82 / Chapter B.1 --- S-Transformation Approach --- p.84 / Chapter B.2 --- Relationship between Three Types of Stochastic Integral --- p.89 / Reference --- p.90