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41	Accounting for employee share options : a critical analysis Sacho, Zwi Yosef 30 November 2003 (has links) The main goal of this dissertation was to obtain an understanding as to the true economic nature of employee share options and the problems surrounding the accounting thereof. The main conclusion of this study is that employee share options should be expensed in the income statement as and when the employee's services are performed. The reason is that employee share options are valuable financial instruments which the employer has used to compensate the employee for his services. It was also concluded that exercise date accounting and classification of outstanding employee share options as liabilities on the balance sheet is the most appropriate accounting treatment. Such accounting treatment trues up the accounting of employee share options with that of cash-settled share appreciation rights, which are economically equivalent transactions. The measurement of employee share options should be based on their fair value using an option-pricing model adapted for the specific features of employee share options. / Accounting / Thesis (M. Com. (Accounting Science)) Employee share options Option-pricing models Black-Scholes model Cox-Ross-Rubenstein binomial model Agency problem Moral hazard Equity-based compensation Vesting conditions Liabilities Financial instrument Employee stock options Accounting
42	Oceňování opcí a variance gama proces / Option Pricing and Variance Gamma Process Moravec, Radek January 2010 (has links) The submitted work deals with option pricing. Mathematical approach is immediately followed by an economic interpretation. The main problem is to model the underlying uncertainities driving the stock price. Using two well-known valuation models, binomial model and Black-Scholes model, we explain basic principles, especially risk neutral pricing. Due to the empirical biases new models have been developped, based on pure jump process. Variance gamma process and its special symmetric case are presented.
43	Pricing a basket option when volatility is capped using affinejump-diffusion models Krebs, Daniel January 2013 (has links) This thesis considers the price and characteristics of an exotic option called the Volatility-Cap-Target-Level(VCTL) option. The payoff function is a simple European option style but the underlying value is a dynamic portfolio which is comprised of two components: A risky asset and a non-risky asset. The non-risky asset is a bond and the risky asset can be a fund or an index related to any asset category such as equities, commodities, real estate, etc. The main purpose of using a dynamic portfolio is to keep the realized volatility of the portfolio under control and preferably below a certain maximum level, denoted as the Volatility-Cap-Target-Level (VCTL). This is attained by a variable allocation between the risky asset and the non-risky asset during the maturity of the VCTL-option. The allocation is reviewed and if necessary adjusted every 15th day. Adjustment depends entirely upon the realized historical volatility of the risky asset. Moreover, it is assumed that the risky asset is governed by a certain group of stochastic differential equations called affine jump-diffusion models. All models will be calibrated using out-of-the money European call options based on the Deutsche-Aktien-Index(DAX). The numerical implementation of the portfolio diffusions and the use of Monte Carlo methods will result in different VCTL-option prices. Thus, to price a nonstandard product and to comply with good risk management, it is advocated that the financial institution use several research models such as the SVSJ- and the Seppmodel in addition to the Black-Scholes model. Keywords: Exotic option, basket option, risk management, greeks, affine jumpdiffusions, the Black-Scholes model, the Heston model, Bates model with lognormal jumps, the Bates model with log-asymmetric double exponential jumps, the Stochastic-Volatility-Simultaneous-Jumps(SVSJ)-model, the Sepp-model. Exotic option basket option risk management greeks affine jumpdiffusions the Black-Scholes model the Heston model Bates model with lognormal jumps the Sepp-model Probability Theory and Statistics Sannolikhetsteori och statistik
44	Studies on two specific inverse problems from imaging and finance Rückert, Nadja 20 July 2012 (has links) (PDF) This thesis deals with regularization parameter selection methods in the context of Tikhonov-type regularization with Poisson distributed data, in particular the reconstruction of images, as well as with the identiﬁcation of the volatility surface from observed option prices. In Part I we examine the choice of the regularization parameter when reconstructing an image, which is disturbed by Poisson noise, with Tikhonov-type regularization. This type of regularization is a generalization of the classical Tikhonov regularization in the Banach space setting and often called variational regularization. After a general consideration of Tikhonov-type regularization for data corrupted by Poisson noise, we examine the methods for choosing the regularization parameter numerically on the basis of two test images and real PET data. In Part II we consider the estimation of the volatility function from observed call option prices with the explicit formula which has been derived by Dupire using the Black-Scholes partial diﬀerential equation. The option prices are only available as discrete noisy observations so that the main diﬃculty is the ill-posedness of the numerical diﬀerentiation. Finite diﬀerence schemes, as regularization by discretization of the inverse and ill-posed problem, do not overcome these diﬃculties when they are used to evaluate the partial derivatives. Therefore we construct an alternative algorithm based on the weak formulation of the dual Black-Scholes partial diﬀerential equation and evaluate the performance of the ﬁnite diﬀerence schemes and the new algorithm for synthetic and real option prices. Tikhonov-Regularisierung Kullback-Leibler Totale Variation Poissonverteilte Daten Bildverarbeitung Wahl des Regularisierungsparameters Diskrepanzprinzip L-Kurve Quasi-Optimalitätskriterium PET Black-Scholes-Modell Volatilität Dupire Call-Option Regularisierung durch Diskretisierung Parameter Identifikationsalgorithmus Tikhonov-Regularization Kullback-Leibler Total Variation Poisson distributed data discrepancy principle L-curve method quasi-optimality criterion PET Black-Scholes model volatility Dupire call option regularization by discretization imaging finance ddc:515 ddc:519 Tichonov-Regularisierung Black-Scholes-Modell Volatilität Regularisierungsverfahren Poisson-Verteilung Bildverarbeitung Call-Option Parameter <Mathematik>
45	Studies on two specific inverse problems from imaging and finance Rückert, Nadja 16 July 2012 (has links) This thesis deals with regularization parameter selection methods in the context of Tikhonov-type regularization with Poisson distributed data, in particular the reconstruction of images, as well as with the identiﬁcation of the volatility surface from observed option prices. In Part I we examine the choice of the regularization parameter when reconstructing an image, which is disturbed by Poisson noise, with Tikhonov-type regularization. This type of regularization is a generalization of the classical Tikhonov regularization in the Banach space setting and often called variational regularization. After a general consideration of Tikhonov-type regularization for data corrupted by Poisson noise, we examine the methods for choosing the regularization parameter numerically on the basis of two test images and real PET data. In Part II we consider the estimation of the volatility function from observed call option prices with the explicit formula which has been derived by Dupire using the Black-Scholes partial diﬀerential equation. The option prices are only available as discrete noisy observations so that the main diﬃculty is the ill-posedness of the numerical diﬀerentiation. Finite diﬀerence schemes, as regularization by discretization of the inverse and ill-posed problem, do not overcome these diﬃculties when they are used to evaluate the partial derivatives. Therefore we construct an alternative algorithm based on the weak formulation of the dual Black-Scholes partial diﬀerential equation and evaluate the performance of the ﬁnite diﬀerence schemes and the new algorithm for synthetic and real option prices. info:eu-repo/classification/ddc/515 ddc:515 info:eu-repo/classification/ddc/519 ddc:519

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