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by Ka-kit Chan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1993. / Includes bibliographical references (leaves 71-73). / Chapter I. --- Introduction to Stochastic Calculus --- p.1 / Stochastic Processes --- p.2 / Stochastic Integration --- p.6 / Quadratic Variation Processes and Mutual Variation Process --- p.11 / The Ito Formula --- p.13 / Girsanov's Theorem --- p.16 / Stochastic Differential Equations --- p.18 / Chapter II. --- Pricing American Equity Options --- p.21 / A Representation Formula for European Put Option --- p.22 / The Free Boundary Formulation of American Put Option --- p.24 / A Representation Formula for American Put Option --- p.27 / An Alternative Representation Formula for American Put Option --- p.35 / The Optimal Exercise Boundary --- p.37 / Numerical Valuations of the Representation Formulae --- p.39 / Chapter III. --- The Effects of Margin Requirements on Option Prices --- p.42 / Pricing European Options --- p.44 / Pricing American Options --- p.46 / Chapter IV. --- General Pricing Theory --- p.49 / Transformations of Price Processes --- p.50 / No Arbitrage Condition and Completeness of Market --- p.52 / More on Market Completeness --- p.58 / Term Structure of Interest Rate and Interest Rate Options --- p.61 / Pricing Equity Options --- p.67 / Bibliography --- p.71

by Fu Yiu-Hang. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1999. / Includes bibliographical references (leaves 66-67). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.ii / LIST OF TABLES --- p.vi / LIST OF EXHIBITS --- p.vii / PREFACE --- p.viii / ACKNOWLEDGMENTS --- p.x / Chapter / Chapter I. --- INTRODUCTION --- p.1 / What is an Option? --- p.1 / Options Market --- p.2 / Uses of Options --- p.2 / Value of Options --- p.3 / Index Options --- p.4 / Hang Seng Index Options --- p.4 / Chapter II. --- BASIC PROPERTIES OF OPTIONS --- p.5 / Assumptions --- p.5 / Notation --- p.5 / Option Prices at Expiration --- p.6 / Call Option Prices at Expiration --- p.6 / Put Option Prices at Expiration --- p.6 / Upper Bounds for Option Prices --- p.6 / Upper Bounds for Call Option Prices --- p.6 / Upper Bounds for Put Option Prices --- p.6 / Lower Bounds for European Option Prices --- p.7 / Lower Bounds for European Call Option Prices --- p.7 / Lower Bounds for European Put Option Prices --- p.8 / Put-Call Parity --- p.8 / Chapter III. --- FACTORS AFFECTING OPTION PRICES --- p.10 / Price of Underlying Instrument --- p.10 / Exercise Price of the Option --- p.10 / Volatility of the Price of Underlying Instrument --- p.11 / Time to Expiration --- p.11 / Risk-free Rate --- p.11 / Dividends --- p.12 / Chapter IV. --- OPTION PRICING MODEL --- p.13 / Assumptions --- p.13 / The Price of Underlying Instrument Follows a Lognormal Distribution --- p.13 / The Variance of the Rate of Return of Underlying Instrument is a Constant --- p.17 / The Risk-free Rate is a Constant --- p.19 / No Dividends are Paid --- p.20 / There are No Transaction Costs and Taxes --- p.20 / The Black-Scholes Option Pricing Model --- p.21 / Notation --- p.21 / The Formulas --- p.21 / The Variables --- p.22 / Properties of the Black-Scholes Formulas --- p.22 / Implied Volatility --- p.23 / Bias of the Black-Scholes Option Pricing Model --- p.26 / Other Option Pricing Models。……………… --- p.27 / Chapter V. --- SENSITIVITIES OF OPTION PRICE TO ITS FACTORS --- p.29 / Delta --- p.29 / Vega --- p.30 / Theta --- p.31 / Rho --- p.32 / Gamma --- p.33 / Managing the Change in the Value of Option --- p.34 / Sensitivities of Portfolio Value to the Factors --- p.34 / Chapter VI. --- TRADING STRATEGIES OF OPTIONS --- p.35 / Methodology --- p.35 / Limitations --- p.36 / Basic Strategies --- p.37 / Long Call --- p.37 / Short Call --- p.39 / Long Put --- p.40 / Short Put --- p.42 / Spread Strategies --- p.43 / Money Spread --- p.43 / Ratio Spread --- p.46 / Box Spread --- p.46 / Butterfly Spread --- p.46 / Condor --- p.49 / Calendar Spread --- p.49 / Diagonal Spread --- p.52 / Combination Strategies --- p.52 / Straddle --- p.52 / Strap --- p.54 / Strip --- p.54 / Strangle --- p.54 / Selecting Trading Strategies Intelligently --- p.56 / Chapter VII. --- CONCLUSIONS --- p.57 / APPENDICES --- p.60 / BIBLIOGRAPHY --- p.66

Lau, Ka Yung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2007. / Includes bibliographical references (leaves 78-79). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Background --- p.5 / Chapter 2.1 --- Jump Diffusion Models --- p.6 / Chapter 2.2 --- Double Exponential Jump Diffusion Model --- p.8 / Chapter 3 --- Option Pricing with DEJD --- p.10 / Chapter 3.1 --- Laplace Transform --- p.10 / Chapter 3.2 --- European Option Pricing --- p.13 / Chapter 3.3 --- Barrier Option Pricing --- p.14 / Chapter 3.4 --- Lookback Options --- p.16 / Chapter 3.5 --- Turbo Warrant --- p.17 / Chapter 3.6 --- Numerical Examples --- p.26 / Chapter 4 --- Quanto Options under DEJD --- p.30 / Chapter 4.1 --- Domestic Risk-neutral Dynamics --- p.31 / Chapter 4.2 --- The Exponential Copula --- p.33 / Chapter 4.3 --- The moment generating function --- p.36 / Chapter 4.4 --- European Quanto Options --- p.38 / Chapter 4.4.1 --- Floating Exchange Rate Foreign Equity Call --- p.38 / Chapter 4.4.2 --- Fixed Exchange Rate Foreign Equity Call --- p.40 / Chapter 4.4.3 --- Domestic Foreign Equity Call --- p.42 / Chapter 4.4.4 --- Joint Quanto Call --- p.43 / Chapter 4.5 --- Numerical Examples --- p.45 / Chapter 5 --- Path-Dependent Quanto Options --- p.48 / Chapter 5.1 --- The Domestic Equivalent Asset --- p.48 / Chapter 5.1.1 --- Mathematical Results on the First Passage Time of the Mixture Exponential Jump Diffusion Model --- p.50 / Chapter 5.2 --- Quanto Lookback Option --- p.54 / Chapter 5.3 --- Quanto Barrier Option --- p.57 / Chapter 5.4 --- Numerical results --- p.61 / Chapter 6 --- Conclusion --- p.64 / Chapter A --- Numerical Laplace Inversion for Turbo Warrants --- p.66 / Chapter B --- The Relation Among Barrier Options --- p.69 / Chapter C --- Proof of Lemma 51 --- p.71 / Chapter D --- Proof of Theorem 5.4 and 5.5 --- p.74 / Bibliography --- p.78

In recent years, practitioners and academics have become increasingly concerned that traditional discounted cash flow valuation models, such as the net present value model, are not capable of adequately capturing the value of managerial flexibilities to delay, grow, scale down, or abandon projects. The effect of ignorance of such managerial flexibilities can be potentially substantial, with the possibility of producing biased decisions. Real options analysis provides the insights that business investment projects can be conceptually compared to financial options and is therefore able to seize the value of managerial flexibilities. <br /> The purpose of this thesis is to develop a theoretical model based on option pricing theory to evaluate the managerial flexibilities arising in a variety of mergers and acquisitions, which vary in payment forms. The thesis shows how transactions can be structured as a real exchange options, given the share price of each participating firm is subject to a specified degree of uncertainty. The takeover decisions of bidder or target, i.e., the takeover threshold to bid or to accept the bid, is obtained through the analysis. In addition, the thesis provides valuable theoretical insights into the following aspects: <br /> <ul> <li>The impact of the form of payment on the decision making process for each participant and corresponding merger terms</li> <li>The payment form that minimizes the threshold to trigger a transaction</li> <li>The allocating rule of mergers and acquisitions synergy when payment form threshold is employed </li> </ul> <br /> In the latter part of thesis, an empirical study is conducted on mergers and acquisitions completed by US public bidders between January 1985 and April 2004 excluding all financial institutions deals. Strong support is found from the data that some of the target firm characteristics such as expected growth rate and volatility are significant in explaining the payment form choices.

Ma Kai. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 58-60). / Abstracts in English and Chinese. / Chapter Chapter 1 --- Introduction --- p.1 / Chapter Chapter 2 --- Executive Options Repricing --- p.5 / Chapter 2.1 --- Plan Restrictions --- p.5 / Chapter 2.2 --- Corporate Governance Issues --- p.7 / Chapter 2.3 --- Securities Law Issues --- p.9 / Chapter 2.4 --- Accounting Issues --- p.10 / Chapter Chapter 3 --- Literature Review --- p.15 / Chapter 3.1 --- Options Repricing --- p.15 / Chapter 3.2 --- The Valuation of Executive Stock Options --- p.18 / Chapter 3.3 --- Extant Executive Stock Options Valuation Models --- p.19 / Chapter Chapter 4 --- Methodology --- p.23 / Chapter Chapter 5 --- Numerical Results --- p.26 / Chapter 5.1 --- Parameters Specification ´ؤ Base Case --- p.26 / Chapter 5.2 --- Value Line --- p.27 / Chapter 5.3 --- Incentive Effect --- p.28 / Chapter 5.4 --- Black-Scholes Neutral Repricing --- p.30 / Chapter Chapter 6 --- Parameters Sensitivity --- p.35 / Chapter 6.1 --- Compensation Package Composition --- p.35 / Chapter 6.2 --- Outside Wealth --- p.38 / Chapter 6.3 --- Beta --- p.41 / Chapter 6.4 --- Total Volatility of the Company Stock Price --- p.44 / Chapter 6.5 --- The Coefficient of the Constant Relative Risk Aversion of the Executive --- p.48 / Chapter Chapter 7 --- Conclusion --- p.51 / Appendix: Matlab Programs --- p.54 / References --- p.58 / Figures and Tables --- p.61

by Veronica Ho Pui Kwan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 99-103). / Prologue --- p.1 / Chapter Essay I: --- Examination of the GARCH Option Pricing Model in the case of Hang Seng Index Option / Chapter 1. --- Introduction --- p.4 / Chapter 2. --- Holes' in the Black-Scholes Model --- p.7 / Chapter 3. --- A Big 'Hole' -- Varying Volatility --- p.14 / Chapter 4. --- A Remedy : the GARCH Option Pricing Model --- p.31 / Chapter 5. --- Research Methodology and Data --- p.38 / Chapter 6. --- Empirical Results --- p.50 / Chapter 7. --- Conclusion --- p.67 / Chapter Essay II: --- Barrier Options / Chapter 1. --- Introduction on Barrier Option --- p.70 / Chapter 2. --- Pricing Models --- p.74 / Chapter 3. --- Hedging of Barrier Option --- p.81 / Chapter 4. --- Examination of a Down-and-Out Put Option --- p.88 / References --- p.99

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With the cost of Employee bonus in 2008, the performance of employee stock options with 39¡¦s bulletin is going to adopt fair market value to accept the expense. The purpose of sequenced policy is make the corporate finance transparently and able to connect with international business. However, with the performance of policy, it did gain the cost of encouragement especially high tech industry. Therefore, author is going to use simulated statements to observe the influence of the cost of encouragement in this project. By the case study, it is found that most of enterprises experience the limited impact in the short term and positive growth in the long term. Moreover, due to the performance of stock options, companies generally have three phenomenons that are increased cash flow, protected levy design and reduced EPS (Earnings per share). On the other hand, the censorable stock bonus policy, compared with previous one, is able to lower the situation of diluted stock and to reduce the concern of shareholders. The only huge issue which is ready to break through for firms nowadays is how to design a flexible system to encourage the employees who usually earn more than one million NT dollars by stock bonus policy.

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