I uppsatsen undersöks hur det mer förmånliga jobbskatteavdraget för äldre personer över 65 år kan tänkas påverka incitament att arbeta. Denna del av jobbskatteavdraget infördes i syfte av att få fler äldre personer att förlänga sitt arbetsliv för att stärka finansieringen av välfärden, få fler som försörjer färre. För att mäta incitamenten att arbeta beräknas alternativvärdet för en fiktiv typfallsindivid. Resultatet visar på att det mer förmånliga jobbskatteavdraget för äldre personer över 65 år påverkar incitamenten att arbeta i en positiv bemärkelse. Dessutom under vissa förutsättningar antyder resultatet att det blir optimalt att arbeta fler år och därmed förskjuta pensioneringsbeslutet framåt i tiden.

An Asian option is an example of exotic options. Its payoff depends on the average of the underlying asset prices. The average may be over the entire time period between initiation and expiration or may be over some period of time that begins later than the initiation of the option and ends with the options expiration. The average may be from continuous sampling or may be from discrete sampling. The primary reason to base an option payoff on an average asset price is to make it more difficult for anyone to significantly affect the payoff by manipulation of the underlying asset price. The price of Asian options is not known in closed form, in general, if the arithmetic average is taken into effect. In this dissertation, we shall investigate the pricing theory for Asian options. After a brief introduction to the Black-Scholes theory, we derive the partial differential equations for the value process of an Asian option to satisfy. We do this in several approaches, including the usual extension to Asian options of the Black-Scholes, and the sophisticated martingale approach. Both fixed and floating strike are considered. In the case of the geometric average, we derive a closed form solution for the Asian option. Moreover, we investigate the Asian option price theory under stochastic volatility which is a recent trend in the study of path-dependent option theory. / Thesis (M.Sc.)-University of KwaZulu-Natal, Westville, 2007.

Tesis para optar al grado de Magíster en Economía / En este trabajo se analiza el efecto que tienen los incentivos financieros y de salud sobre las decisiones de retiro de las personas en un contexto con incertidumbre. Para esto se construye una versión modificada del “Option Value Model” que permite incluir los incentivos generados por un sistema de capitalización individual y por el estado de salud de los trabajadores. Los resultados avalan la relevancia de estos y dan cuenta de un alto ajuste del modelo a la realidad. Posteriormente, utilizamos las estimaciones para realizar simulaciones del efecto que tendrían cambios en parámetros socialmente sensibles sobre la decisión de retiro individual. En primer lugar, encontramos que un alza en la tasa de interés tiene un efecto ambiguo puesto que por una parte se acumula más en cada periodo, mientras que por otra, disminuyen las pensiones a las que se puede optar. En términos empíricos, si la variación es pequeña, la tasa de retiro aumentará; mientras que si es de mayor cuantía, disminuirá. Segundo, vemos que un aumento en la tasa de ahorro previsional inducirá el retiro, puesto que los trabajadores podrán optar a mejores pensiones en cada momento. Por último, estudiamos el impacto de cambios en el nivel de salud, donde observamos que un mejor nivel de salud incentiva a postergar el retiro, puesto que se percibe un menor desgaste al trabajar.

Il primo capitolo studia le decisioni di pensionamento dei lavoratori dipendenti nel settore-privato atraverso un approccio in forma quas-ridotta . seguendo il lavoro di stock e wise (1990), vengono modellate le decisioni individuali concentrandosi sugli incentivi insiti nel sistema pensionistico italiano catturate dalla ricchezza pensionistica e da altre misure di incentivo. il secondo capitolo consolida i risultati del primo e riconosce che attraverso un approccio detto esperimento naturale e l'utilizzo di variazioni esogene generate dalla riforma pensionistica del 1992 si può migliorare in termini di identificazione dell'effetto della ricchezza pensionistica sulla decisione di pensionamento. il capitolo contiene anche un insieme di simulazioni che predicono il comportamento dei lavoratori con diversi regimi pensionistici e rappresenta un test della validità predittiva del modello usato nel primo capitolo. il terzo capitolo è un'applicazione del modello option value in cui vengono stimati i parametri delle funzioni di utilità, e dove i lavoratori decidono quando andare in pensione confrontando il valore atteso di lavorare un anno aggiuntivo con il valore atteso di andare in pensione subito. / The first chapter studies the exit behaviour of private-sector employees through a simple "quasi-reduced form" approach. Starting from the seminal paper by Stock and Wise (1990), it models individual determinants of retirement choices focusing on the incentives embedded in the Italian Social Security system, captured by Social Security wealth and some incentive measures. The second chapter exploits the results of the first and it is devoted to their consolidation Using a different framework, namely that of a "natural experiment", much more can be gained in terms of identification of the relevant incentive effects by means of the exogenous variation introduced by the reform legislated in 1992. Further, the chapter contains a set of simulations in order to test the predictive validity of the results in the first chapter and to know how the exit behaviour of workers would have been under different pension regimes. The last chapter is an application of the option value model. It requires the estimation of the utility parameters of the model where workers compare the expected utility of working one more year and the expected utility of retiring immediately.

Corporations have the choice of expensing (using the fair value method), or non-expensing (using the intrinsic value method and provide pro forma disclosure in financial statement footnotes) of employee stock options. The current study examines how corporate governance factors affect such choices. Prior studies (Xie et al. 2003; Klein 2002; Peasnell et al. 2000) have indicated that certain corporate governance factors have an impact on corporate accounting behavior, including earnings management. Based on the assumption that expensing employee stock options is a good practice of accounting that improves earnings quality, it is hypothesized that these corporate governance factors would affect companies' option expensing decisions, in ways similar to how they affect companies' other earnings management choices.A series of hypotheses relating to specific corporate governance factors are developed. These corporate governance factors include: Board independence (percentage of independent directors on the board, CEO/board chairman split, and tenure of independent directors), board expertise (governance expertise and financial expertise), board diligence, board ownership, board size, CEO tenure, and internal blockholders (cumulative ownership percentage of internal blockholders, and whether the largest blockholder is the CEO). A sample of firms that elected to expense employee stock options up to early September 2003 is identified from the report of Bear, Stearns & Co., Inc. (2003), and a control sample of non-expensing firms is selected based on certain matching principles. The final sample consists of 235 expensing firms and 235 matched control firms, 470 firms in total.A logit regression is conducted. The dependent variable is companies' decisions on whether or not to expense employee stock options. The independent variables are corporate governance factors and control variables. Regression results indicate that the following corporate governance factors have statistically significant impact on option expensing decisions in the directions predicted: finance expertise, board diligence, and whether the CEO is the largest blockholder. Regression results indicate a statistically significant impact on option expensing decisions, which is in the opposite direction than predicted, for the cumulative ownership percentage of internal blockholders. The impacts of all other corporate governance factors are statistically insignificant.

Current economic evaluations do not explicitly acknowledge that there are multiple decision points throughout the lifecycle of new health technologies which, in the presence of uncertainty and irreversible consequences of those decisions, influence value. Real options analysis (ROA) has been proposed to overcome these limitations. However, applications to date all assumed that decisions influencing the arrival of information are made by the same actors making the decisions on adoption. The aim of this thesis is to explicitly incorporate into health technology assessment (HTA) the impact of uncertainty on decision making about new health technologies in the presence of irreversibilities. I present a series of analyses comparing “traditional” economic evaluation methods to applications of ROA using the case study of drug-eluting stents (DES). The conventional application of ROA allowed for flexibility in decisions incorporating all economic consequences of changing decisions. Over and above uncertainty surrounding the current estimate of value, three major components contributing to the economic value of the new technology were assumed to also change over time. This type of analysis can be used to determine the optimal initial decision allowing for changes in decisions and the optimal timing for review. However, it assumes that new information will always be revealed, regardless of the original decision on adoption. To reflect the combined impact of coverage, pricing and research decisions in HTA and therefore to make information arrival endogenous, a more complex approach is suggested: a Real Options Game (ROG) combining ROA with a game theoretical approach. In the ROG the HTA body and the manufacturer are assumed to play a sequential, incomplete information game, where the manufacturer has control over the arrival of information. The manufacturer decides whether to submit evidence, reduce price and conduct more research, while the HTA body decides on adoption. The DES analysis modelled a series of decision points between 2005 and 2010, with decisions not depending on hindsight, but allowing for predicted changes in value, incorporating a drift in information and responses by the other party. Payoffs were estimated for both players using a probabilistic Markov model. Optimal strategies incorporating the impact of earlier decisions on research were determined. HTA is a dynamic and interactive process, therefore results of the ROA analyses sometimes suggested a different course of action compared to traditional analyses. The best decision may depend on predictions of how other parties will react, as well as likely evolution of the evidence base and the costs of decision reversal.

Yes / We provide multi-factor real option models (and quasi-analytical solutions) for equipment capital budgeting under uncertainty, when there is either unexpected, or anticipated, or uncertain (volatile) technological progress. We calculate the threshold level of revenues and operating costs using the incumbent equipment that would justify replacement. Replacement is deferred for lower revenue thresholds. If progress is anticipated or highly uncertain, alert financial managers should wait longer before replacing equipment. Replacement deferral increases with decreases in the expected correlation between revenue and operating costs, and with increases in the revenue and/or operating cost volatility. Uncertain technological progress increases the real option value of waiting. The best approach for equipment suppliers is to reduce the expected revenue and/or cost volatility, and/or reduce the expected uncertainty of technological innovations, since then an incentive exists for the early replacement of old equipment when a technologically advanced version is launched.