Conventional wisdom decrees that in order for insurers to provide cover, they require capital. One of the many methods of calculating capital requirements of short-term insurers is the insolvency put option framework. This technique was originally introduced by Merton (1977). The general argument is that bankruptcy occurs when shareholders exercise a valuable put option. Indeed, the corporation was introduced to protect shareholders from, mainly contractual, liabilities of persons who trade with the corporation. The corporation thus introduced the idea of limited liability of shareholders or as is often called the corporate veil. However, if a company defaults on its debt then equity holders have decided to allow an embedded call option to expire unexercised. As a result shareholders will behave as if they in fact hold a call option, which creates a different incentive than that suggested by the insolvency put idea. This study examines the role of capital and the influence of the insolvency put option within a short-term insurer. Specifically, it is argued that capital is not the cornerstone of a short-term insurer. Moreover, using Brownian motion and Itō calculus as well as continuous time financial models a more complete mathematical description of an insurance company is articulated by explicitly taking the embedded equity call option into account.

This paper aims to use Monte Carlo methods to price American call options on equities using the variance reduction technique of control variates and to price American put options using the binomial model. We use this information to form option positions. This project was done a part of the masters capstone course Math 573: Computational Methods of Financial Mathematics.

Obsahem této práce je popis problematiky opcí. Stěžejním cílem této práce je získat reálný odhad hodnoty opce. K ocenění opcí bude použit základní Black-Scholesův model, který bude rozvinut o vliv dividend. Oceňování je založené na mnohokrát opakované předpovědi budoucí hodnoty podkladové akcie. Tato metoda se pokouší napodobit skutečnou situaci pomocí numerické simulace Monte Carlo.

A cross-border listing occurs when an individual company establishes a secondary listing on a stock exchange abroad. In this paper, we analyze and compare the arbitrage proportions (through violation of put-call parity) of publicly traded cross-listed Canadian stocks, and those of industry and performance matched US domestically-listed shares. The cross-listed Canadian stocks are listed on both of the Toronto Stock Exchange (TSX) and either the New York Stock Exchange (NYSE) or the American Stock Exchange (AMEX).<p> Arbitrage opportunities exist when put-call parity is violated. Our empirical results show that in most circumstances, both domestic put-call parity and cross-border put-call parity hold well in the two countries. However, in Canadian market, a high proportion of arbitrage op-portunities could be detected in closing prices on the particular date of March 14, 2007.<p> On March 14th 2007, many of the observations in the Canadian market contained arbi-trage opportunities. Both domestic and cross-border put-call parity was violated. However, we fail to find the same phenomenon in the US market. In the US market, opportunities for arbitrage occur rarely and sporadically. We also find that the option trading volume in the Canadian market is lower than that in the US market, and during dramatic market price drops, the option trading volume remains at a low level.

A cross-border listing occurs when an individual company establishes a secondary listing on a stock exchange abroad. In this paper, we analyze and compare the arbitrage proportions (through violation of put-call parity) of publicly traded cross-listed Canadian stocks, and those of industry and performance matched US domestically-listed shares. The cross-listed Canadian stocks are listed on both of the Toronto Stock Exchange (TSX) and either the New York Stock Exchange (NYSE) or the American Stock Exchange (AMEX).<p> Arbitrage opportunities exist when put-call parity is violated. Our empirical results show that in most circumstances, both domestic put-call parity and cross-border put-call parity hold well in the two countries. However, in Canadian market, a high proportion of arbitrage op-portunities could be detected in closing prices on the particular date of March 14, 2007.<p> On March 14th 2007, many of the observations in the Canadian market contained arbi-trage opportunities. Both domestic and cross-border put-call parity was violated. However, we fail to find the same phenomenon in the US market. In the US market, opportunities for arbitrage occur rarely and sporadically. We also find that the option trading volume in the Canadian market is lower than that in the US market, and during dramatic market price drops, the option trading volume remains at a low level.

In the shot put throw, the primary power is generated in the form of ground reaction forces as a result of action of the lower extremities (Coh, Stuhec, & Supej, 2008). The purpose of this study was to determine how the ground reaction force and ground contact time during the delivery phase of rotational shot put relates to the predicted distance of the throw. This will allow us to determine the optimal approach of force application for maximum throwing distance (Linthorne, 2001). Eight male subjects were used in this study (age 23 ± 4 y; body mass 123 ± 14 kg; height 190 ± 4 cm; all right handed). Subjects threw three attempts in a custom-built shot put ring where two force plates were located where both feet were expected to land in the delivery. The throws were also filmed using two high-speed cameras at 120 frames/s. These videos gave us the speed, angle and height of release for predicting distance thrown. Results: Peak right leg force during delivery was correlated with throwing distance (R2 = 0.450, p = 0.001). Also, left leg ground time was significant with predicted throwing distance (R² = 0.516, p < 0.001). Because increased strength leads to greater throwing distances (Zaras et al., 2013) and peak right leg force was significant, it would be useful to perform proper strength training exercises that can increase a thrower's ability to increase the peak ground forces during a throw. If the thrower can produce greater peak force into the ground with the right leg during the delivery phase, this should cause the thrower to come off their left leg sooner, resulting in greater speed of release and thus distance thrown.

<p>In this work we consider a problem of the</p><p>computation of the components of the hedging portfolio structure. In</p><p>literature often one can find valuations and estimations of the</p><p>fair price of American options. But the formulas for hedging portfolio</p><p>are interesting as well and are known for very particular cases</p><p>only. In our work we study different cases of American Put and Russian</p><p>options on finite and infinite horizon.</p>

<p>In this thesis a new method for the option pricing will be introduced with the help of the Mellin transforms. Firstly, the Mellin transform techniques for options on a single underlying stock is presented.After that basket options will be considered. Finally, an improvement of existing numerical results applied to Mellin transforms for 1-basket and 2-basket American Put Option will be discussed concisely. Our approach does not require either variable transformations or solving diffusion equations.</p> / thesis

In this thesis a new method for the option pricing will be introduced with the help of the Mellin transforms. Firstly, the Mellin transform techniques for options on a single underlying stock is presented.After that basket options will be considered. Finally, an improvement of existing numerical results applied to Mellin transforms for 1-basket and 2-basket American Put Option will be discussed concisely. Our approach does not require either variable transformations or solving diffusion equations. / thesis

In this work we consider a problem of the computation of the components of the hedging portfolio structure. In literature often one can find valuations and estimations of the fair price of American options. But the formulas for hedging portfolio are interesting as well and are known for very particular cases only. In our work we study different cases of American Put and Russian options on finite and infinite horizon.