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Dissertations / Theses on the topic 'Black–Scholes Option Pricing Model (OPM)'

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Published: 28 May 2022

Last updated: 31 July 2025

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1

Яременко, Наталія Сергіївна, Наталья Сергеевна Яременко, Nataliia Serhiivna Yaremenko та С. О. Хайлук. "Сучасні моделі оцінки вартості банку і можливість їх застосування в Україні". Thesis, ВД «ІНЖЕК», 2010. http://essuir.sumdu.edu.ua/handle/123456789/59575.

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Saleh, Ali, and Ahmad Al-Kadri. "Option pricing under Black-Scholes model using stochastic Runge-Kutta method." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-53783.

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The purpose of this paper is solving the European option pricing problem under the Black–Scholes model. Our approach is to use the so-called stochastic Runge–Kutta (SRK) numericalscheme to find the corresponding expectation of the functional to the stochastic differentialequation under the Black–Scholes model. Several numerical solutions were made to study howquickly the result converges to the theoretical value. Then, we study the order of convergenceof the SRK method with the help of MATLAB.

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Hu, Junling. "Barrier Option Pricing under SABR Model Using Monte Carlo Methods." Digital WPI, 2013. https://digitalcommons.wpi.edu/etd-theses/655.

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The project investigates the prices of barrier options from the constant underlying volatility in the Black-Scholes model to stochastic volatility model in SABR framework. The constant volatility assumption in derivative pricing is not able to capture the dynamics of volatility. In order to resolve the shortcomings of the Black-Scholes model, it becomes necessary to find a model that reproduces the smile effect of the volatility. To model the volatility more accurately, we look into the recently developed SABR model which is widely used by practitioners in the financial industry. Pricing a bar

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4

Yang, Yuankai. "Pricing American and European options under the binomial tree model and its Black-Scholes limit model." Thesis, Linnéuniversitetet, Institutionen för matematik (MA), 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-68264.

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We consider the N step binomial tree model of stocks. Call options and put options of European and American type are computed explicitly. With appropriate scaling in time and jumps, convergence of the stock prices and the option prices are obtained as N-> infinite. The obtained convergence is the Black-Scholes model and, for the particular case of European call option, the Black-Scholes formula is obtained. Furthermore, the Black-Scholes partial differential equation is obtained as a limit from the N step binomial tree model. Pricing of American put option under the Black-Scholes model is

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Sjödin, Elin. "Option Pricing in Discrete Time and Connections between the Binomial Model and Black-Scholes Model." Thesis, Uppsala universitet, Analys och sannolikhetsteori, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-253765.

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6

Rich, Don R. "Incorporating default risk into the Black-Scholes model using stochastic barrier option pricing theory." Diss., This resource online, 1993. http://scholar.lib.vt.edu/theses/available/etd-06062008-171359/.

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Angeli, Andrea, and Cornelius Bonz. "Changes in the creditability of the Black-Scholes option pricing model due to financial turbulences." Thesis, Umeå University, Umeå School of Business, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-34873.

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<p>This study examines whether the performance of the Black-Scholes model to price stock index options is influenced by the general conditions of the financial markets. For this purpose we calculated the theoretical values of 5814 options (3366 put option price observations and 2448 call option price observations) under the Black-Scholes assumptions. We compared these theoretical values with the real market prices in order to put the degree of deviations in two different time windows built around the bankruptcy of Lehman Brothers (September 15th 2008) to the test. We find clear evidences to st

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8

Saleemi, Asima Parveen. "Finite Difference Methods for the Black-Scholes Equation." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-48660.

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Financial engineering problems are of great importance in the academic community and BlackScholes equation is a revolutionary concept in the modern financial theory. Financial instruments such as stocks and derivatives can be evaluated using this model. Option evaluation, is extremely important to trade in the stocks. The numerical solutions of the Black-Scholes equation are used to simulate these options. In this thesis, the explicit and the implicit Euler methods are used for the approximation of Black-scholes partial differential equation and a second order finite difference scheme is used

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Paulin, Carl, and Maja Lindström. "Option pricing models: A comparison between models with constant and stochastic volatilities as well as discontinuity jumps." Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-172226.

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The purpose of this thesis is to compare option pricing models. We have investigated the constant volatility models Black-Scholes-Merton (BSM) and Merton’s Jump Diffusion (MJD) as well as the stochastic volatility models Heston and Bates. The data used were option prices from Microsoft, Advanced Micro Devices Inc, Walt Disney Company, and the S&P 500 index. The data was then divided into training and testing sets, where the training data was used for parameter calibration for each model, and the testing data was used for testing the model prices against prices observed on the market. Calib

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Berta, Abaynesh. "Option Pricing using the Fast Fourier Transform Method." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-51058.

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The fast Fourier transform (FFT), even though it has been widely applicable in Physics and Engineering, it has become attractive in Finance as well for it’s enhancement of computational speed. Carr and Madan succeeded in implementing the FFT for pricing of an option. This project, inspired by Carr and Madan’s paper, attempts to elaborate and connect the various mathematical and theoretical concepts that are helpful in understanding of the derivation. Further, we derive the characteristic function of the risk neutral probability for the logarithmic terminal stock price. The Black-Scholes-Merton

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Krämer, Romy, and Matthias Richter. "A Generalized Bivariate Ornstein-Uhlenbeck Model for Financial Assets." Universitätsbibliothek Chemnitz, 2008. http://nbn-resolving.de/urn:nbn:de:bsz:ch1-200800572.

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In this paper, we study mathematical properties of a generalized bivariate Ornstein-Uhlenbeck model for financial assets. Originally introduced by Lo and Wang, this model possesses a stochastic drift term which influences the statistical properties of the asset in the real (observable) world. Furthermore, we generali- ze the model with respect to a time-dependent (but still non-random) volatility function. Although it is well-known, that drift terms - under weak regularity conditions - do not affect the behaviour of the asset in the risk-neutral world and consequently the Black-Scholes option

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Sundvall, Tomas, and David Trång. "Examination of Impact from Different Boundary Conditions on the 2D Black-Scholes Model : Evaluating Pricing of European Call Options." Thesis, Uppsala universitet, Avdelningen för beräkningsvetenskap, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-230866.

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This paper examines different combinations of close-field and far-field boundary conditions for solving the 2D Black-Scholes model using finite difference methods in space. The combinations were also tested for different parameter settings. The research showed that in the area close to the strike price, the error was not particularly affected by the boundary conditions but rather by the characteristics of the problem itself. The main differences in error for the combinations of conditions are located close to the boundaries. However, if the computational domain for some reason has to be reduce

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Bartoň, Ľuboš. "Oceňovanie opcií so stochastickou volatilitou." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-77823.

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This diploma thesis deals with problem of option pricing with stochastic volatility. At first, the Black-Scholes model is derived and then its biases are discussed. We explain shortly the concept of volatility. Further, we introduce three pricing models with stochastic volatility- Hull-White model, Heston model and Stein-Stein model. At the end, these models are reviewed.

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Krebs, Daniel. "Pricing a basket option when volatility is capped using affinejump-diffusion models." Thesis, KTH, Matematisk statistik, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-123395.

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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

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Kheirollah, Amir. "Monte Carlo Simulation of Heston Model in MATLAB GUI." Thesis, Mälardalen University, Mälardalen University, Department of Mathematics and Physics, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-4253.

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<p>In the Black-Scholes model, the volatility considered being deterministic and it causes some</p><p>inefficiencies and trends in pricing options. It has been proposed by many authors that the</p><p>volatility should be modelled by a stochastic process. Heston Model is one solution to this</p><p>problem. To simulate the Heston Model we should be able to overcome the correlation</p><p>between asset price and the stochastic volatility. This paper considers a solution to this issue.</p><p>A review of the Heston Model presented in this paper and after modelling some investigations</p><p>are done

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Canafoglia, Fabio. "An Introduction to Credit Risk and Asset Pricing." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2016. http://amslaurea.unibo.it/12321/.

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Into the Thesis, the author will try to give the basis of risk management and asset pricing. Both of them are fundamental elements to understand how the financial models work; this topic is judged important in the perspective of successive studies in financial math: having clear the starting point makes things easier. From the title it is clear that modern and more complex models will be only touched upon. We decide to divide the dissertation in two different parts because, in our opinion, it is more evident that two different ways to approach at credit risk exist: on one side we try to quant

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Londani, Mukhethwa. "Numerical Methods for Mathematical Models on Warrant Pricing." University of the Western Cape, 2010. http://hdl.handle.net/11394/8210.

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>Magister Scientiae - MSc<br>Warrant pricing has become very crucial in the present market scenario. See, for example, M. Hanke and K. Potzelberger, Consistent pricing of warrants and traded options, Review Financial Economics 11(1) (2002) 63-77 where the authors indicate that warrants issuance affects the stock price process of the issuing company. This change in the stock price process leads to subsequent changes in the prices of options written on the issuing company's stocks. Another notable work is W.G. Zhang, W.L. Xiao and C.X. He, Equity warrant pricing model under Fractional Brownian m

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Gříšek, Lukáš. "Cena volatility finančních proměnných." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-113803.

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This diploma thesis describes problem of change-points in volatility of the time-series and their impact on price of nancial assets. Those change-points are estimated by using statistical methods and tests. Change-point estimation was tested on simulated datas and real world driven datas. Simulation helped to discover signi cant characteristics of change-point test, those data were simulated with using stochastic calculus. Google share prices and prices of call options were chosen to analyse impact of volatility change on those prices. Also implied volatility and its impact to call option pric

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Moravec, Radek. "Oceňování opcí a variance gama proces." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-18707.

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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.

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RUSSO, Vincenzo. "Pricing and managing life insurance risks." Doctoral thesis, Università degli studi di Bergamo, 2012. http://hdl.handle.net/10446/26710.

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The aim of this thesis is to investigate about the quantitative models used for pricing and managing life insurance risks. It was done analyzing the existing literature about methods and models used in the insurance field in order to developing (1) new stochastic models for longevity and mortality risks and (2) new pricing functions for life insurance policies and options embedded in such contracts. The motivations for this research are to be searched essentially in: (1) a new risk-based solvency framework for the insurance industry, the so-called Solvency II project, that will becomes effect

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Arotiba, Gbenga Joseph. "Pricing American Style Employee Stock Options having GARCH Effects." Thesis, University of the Western Cape, 2010. http://etd.uwc.ac.za/index.php?module=etd&action=viewtitle&id=gen8Srv25Nme4_3057_1298615964.

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<p>We investigate some simulation-based approaches for the valuing of the employee stock options. The mathematical models that deal with valuation of such options include the work of Jennergren and Naeslund [L.P Jennergren and B. Naeslund, A comment on valuation of executive stock options and the FASB proposal, Accounting Review 68 (1993) 179-183]. They used the Black and Scholes [F. Black and M. Scholes, The pricing of options and corporate liabilities, Journal of Political Economy 81(1973) 637-659] and extended partial differential equation for an option that includes the early exercise. Som

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Menes, Matheus Dorival Leonardo Bombonato. "Versão discreta do modelo de elasticidade constante da variância." Universidade de São Paulo, 2012. http://www.teses.usp.br/teses/disponiveis/55/55134/tde-16042013-151325/.

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Neste trabalho propomos um modelo de mercado através de uma discretização aleatória do movimento browniano proposta por Leão & Ohashi (2010). Com este modelo, dada uma função payoff, vamos desenvolver uma estratégia de hedging e uma metodologia para precificação de opções<br>In this work we propose a market model using a discretization scheme of the random Brownian motion proposed by Leão & Ohashi (2010). With this model, for any given payoff function, we develop a hedging strategy and a methodology to option pricing

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Романко, Олексій Ростиславович. "Фрактальні моделі економічних процесів". Master's thesis, Київ, 2018. https://ela.kpi.ua/handle/123456789/23562.

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Магістерська дисертація: 94 с., 10 рис., 31 табл., 3 додатки, 21 джерело. В роботі розглядається процеси побудови математичних моделей для прогнозування ціни опціонів на економічні індекси. У роботі обговорюються три типи моделей – фрактальна модель Блека - Шоулза, класична модель Блека - Шоулза, модель Stochastic Alpha, Betha, Rho. Актуальність даної дисертації полягає у висвітленні нового підходу до моделювання опціонного ціноутворення, який ще недостатньо досліджений на практиці. Об’єктом дослідження є фрактальні моделі економічних процесів – моделювання фінансових процесів,що описуютьс

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Прозур, Віталій Олександрович. "Максимізація прибутковості фінансового інструмента шляхом знаходження оптимального моменту зупинки". Master's thesis, КПІ ім. Ігоря Сікорського, 2020. https://ela.kpi.ua/handle/123456789/40437.

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Магістерська дисертація: 86 с., 23 табл., 18 рис., 40 джерел. Об’єкт дослідження – дохідність ринкових опціонів. Предметом дослідження є фінансові інструменти, та задачі пошуку моме- нту зупинки. Актуальність дисертації полягає в тому що на даний момент фінансовий ринок в Україні все ще розвивається. Опціони нині ще не стали широко викори- стовуватись, проте їм знаходять застосування у всьому світі та й з формуванням фінансового ринку вони стануть часто вживаними. Завданням є розгляд різних ринкових моделей та пошук моментів зупинки в які власник опціонів американського типу

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Wu, Shang-Tza, and 吳尚澤. "A Dynamic PSO ─ Black-Scholes Option Pricing Model." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/76766122738842239555.

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碩士<br>國立屏東商業技術學院<br>資訊管理系(所)<br>102<br>In the financial market, to analyze the trends of price change is capable to predominate the investment opportunities. Therefore, many scholars and researchers focused on the pricing theories of financial commodity, for example, the Black-Scholes option pricing model, but its arguments are predefined by some strongly assumptions. Because of those assumptions, it will be still difficult to evaluate the prices to real markets. Therefore, this research would give 4 different conditions and their impacts on option pricing to construct a hybrid-dynamic option

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Webb, Melanie Ann. "A Switching Black-Scholes Model and Option Pricing." Thesis, 2003. http://hdl.handle.net/2440/37916.

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Derivative pricing, and in particular the pricing of options, is an important area of current research in financial mathematics. Experts debate on the best method of pricing and the most appropriate model of a price process to use. In this thesis, a ``Switching Black-Scholes'' model of a price process is proposed. This model is based on the standard geometric Brownian motion (or Black-Scholes) model of a price process. However, the drift and volatility parameters are permitted to vary between a finite number of possible values at known times, according to the state of a hidden Markov chain.

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Webb, Melanie Ann. "A switching Black-Scholes model and option pricing." 2003. http://thesis.library.adelaide.edu.au/public/adt-SUA20040201.173938.

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Includes bibliographical references. Electronic publication; full text available in PDF format; abstract in HTML format. In this thesis a switching Black-Scholes model of a price process is proposed. This model is based on the standard geometric Brownian motion (or Black-Scholes) model of a price process. However, the drift and volatility parameters are permitted to vary between a finite number of possible values at known times according to the state of a hidden Markov chain. This type of model has been found to replicate the Black-Scholes implied volatility smiles observed in the market and p

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Chang, Shan-Lin, and 張善霖. "A Dynamic Genetic Algorithm–Black- Scholes Option Pricing Model." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/87817413516385872129.

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碩士<br>國立屏東商業技術學院<br>資訊管理系<br>97<br>In the financial market, to know the trend of price change is to predominate the investment opportunities. Therefore, pricing theory about the financial commodity that many financial experts, scholars and researchers focus, for example: the Black-Scholes option pricing model, but its arguments are defined some assumptions. Because of those assumptions, it will be still difficult to evaluate the prices to real markets. Therefore, this research will give different conditions and their impact on option pricing to construct a dynamic option pricing model (GA-BS O

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Huang, Ting-Ming, and 黃鼎銘. "study on option pricing model－ Black-Scholes partial differential equation." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/99639852671268251033.

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碩士<br>中原大學<br>數學研究所<br>90<br>Abstract In 1973, Fisher. Black and Myron. Scholes [3] solved the Options valued formula with the Heart Exchange Equations. Theoretical professionals in financial field were affected deeply by the formula. And many new researches have been based by it, like Bensoussan, A. Crouhy M. and Galai D.[2], Hull, J. C and white A [5]……. The paper remains to study the Plain Vanilla Options（or standardized Options）. First, I review Fisher. Black and Myron. Scholes [3] and explain Wyss [6]. Finally, I try to solve the differential equation by using Cauchy-Euler Theore

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Ye, Ziqun. "The Black-Scholes and Heston Models for Option Pricing." Thesis, 2013. http://hdl.handle.net/10012/7541.

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Stochastic volatility models on option pricing have received much study following the discovery of the non-at implied surface following the crash of the stock markets in 1987. The most widely used stochastic volatility model is introduced by Heston (1993) because of its ability to generate volatility satisfying the market observations, being non-negative and mean-reverting, and also providing a closed-form solution for the European options. However, little research has been done on Heston model used to price early-exercise options. This presumably is largely due to the absence of a closed-form

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Chen, Chien-Nan, and 陳建男. "Forecasting Volatility for Black-Scholes Option Pricing Model for TAIEX Options." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/60393400468399854698.

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碩士<br>國立成功大學<br>財務金融研究所<br>94<br>The purpose of this study is to estimate option prices by using alternative volatility models to find out which volatility model is the most suitable for evaluating the TXO. In this paper six models are used to estimate the volatility and the estimated value are incorporated into the Black-Scholes option pricing model to calculate the theoretical prices. Furthermore, the difference between the theoretical price and market price is calculated using the statistical error measures to find the optimum volatility model. The results show that (1) No matter call optio

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Kan-Dobrowsky, Natalia. "Generalized Multinomial CRR Option Pricing Model and its Black-Scholes type limit." Doctoral thesis, 2005. http://hdl.handle.net/11858/00-1735-0000-0006-B401-6.

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Wir bauen das verallgemeinerte diskrete Modell des zu Grunde liegenden Aktienpreisprozesses, der als eine bessere Annäherung an den Aktienpreisprozess dient als der klassische zufällige Spaziergang. Das verallgemeinerte Multinomial-Modell des Option-Preises in Bezug auf das neue Modell des Aktienpreisprozesses wird erhalten. Das entsprechende asymptotische Verfahren erlaubt, die verallgemeinerte Black-Scholes Formel zu erhalten, die die Formel als einen Begrenzungsfall des verallgemeinerten diskr

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Chiu, Chien-Chen, and 邱千珍. "A Comparison of Artificial Neural Networks, Variance Gamma Option Pricing Model and Black-Scholes Option Pricing Model in TAIEX Options." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/53691335110334006547.

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碩士<br>國立臺北大學<br>企業管理學系<br>92<br>Since 1973 Black and Scholes published the famous option pricing model, option pricing theory has become a research focus. One key factor that affects the pricing of an option is the choice of statistical distribution that governs the underlying assets return. The B-S model assumes that the change in the logarithm of the underlying asset price follows a normal distribution, which is not accurate enough in some markets. The variance gamma process is aimed at providing a model for log-return distribution that offers physical interpretation and incorporates both lo

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Cheng, Chung-Hsing, and 成中興. "The efficiency research of option market – Black-Scholes pricing model apply to the TXO." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/82196954401316870245.

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碩士<br>輔仁大學<br>應用統計學研究所<br>91<br>This paper discussed the efficiency of Taiwan Stock Index option（TXO） using in the initial stage of listing company. The case study was conducted from January to December in 2002.The opening & closing prices of Taiwan Stock Market Index correspond with option prices. In spot transaction, we used weighted index number to simulate the coming issue of Exchange Traded Funds.（ETF） First, this research is using the Black- Scholes model to find the theoretical price then compare this price with the market price from non-parametric test to examine the varianc

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Hsu, Chu-Yun, and 許楚昀. "A Comparison Study for Option Pricing Forecasting under Soft Computing and Black-Scholes Model." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/14329699265733103125.

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碩士<br>明新科技大學<br>管理研究所<br>102<br>This study is to estimate option price by using genetic programming (GP), support vector regression (SVR) and Black-Scholes option pricing model. In this paper, we used different option price related variables to construct the option pricing model. The research period is between April 1, 2010 and March 29, 2013. There are eight investment cases during the research period. Finally, the mean square error (MSE), and mean absolute error (MAPE) is used to measure their forecasting performances. The result shows that the GP option pricing models are better than SVR op

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Smyth, Annette. "The role of liquidity as an assumption in the Black and Scholes option pricing model." Thesis, 2014. http://hdl.handle.net/10210/9470.

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M.Com. (Finance and Investment Management)<br>The latest financial crisis that began in 2007 in the USA and spread to Europe, Africa and other continents has highlighted the importance of liquidity and its role in financial markets. One of the most commonly accepted mathematical models used in financial markets is the Black and Scholes option pricing model (BSM model). The assumptions in the BSM model have again been questioned during the current crisis and, in particular, the assumption of an unending risk-free supply of liquidity. This report reviews this assumption in the South African fina

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Pinto, Vitor Hugo Ferreira. "Empirical performance of three option pricing models." Master's thesis, 2018. http://hdl.handle.net/10071/17877.

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This thesis empirically analyses and compares the performance of three option pricing models regarding their efficiency replicating market prices. The models Black and Scholes (1973) and Merton (1973), Constant Elasticity of Variance (1975) and Heston (1993) were applied on MATLAB so financial option prices could be computed based on each one of these models. Therefore, European-style options issued on regulated market with indexes S&P 500, EURO STOXX 50 and Nikkei 225 as underlying were gathered into a sample. The main goal for this empirical study is based on concluding about the perfo

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Kan-Dobrowsky, Natalia [Verfasser]. "Generalized multinomial CRR option pricing model and its Black-Scholes type limit / vorgelegt von Natalia Kan." 2006. http://d-nb.info/979176859/34.

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Chen, Mu-Yen, and 陳牧言. "Using Black-Scholes Option Pricing Model to Knowledge Management Performance Evaluation: Implications for Theory and Practice." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/24603805166930723458.

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博士<br>國立交通大學<br>資訊管理研究所<br>94<br>The knowledge-based economy is coming, and knowledge management (KM) has rapidly disseminated in academic circles as well as in the business world. The problem with this type of focus is that it excludes and neglects the true potential benefits that can be derived from knowledge management. This dissertation develops a new metric, knowledge management performance index (KMPI), for evaluating the performance of a firm in its KM at a point in time. We therefore suggest the need for a KMPI can be used to determine the KM activities from the following perspectives:

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Huang, Hsin-Chung, and 黃信忠. "The Feasibility Research of Fair Value Accounting For Employee Stock Option —Taking Black-Scholes Model As An Pricing Model." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/97253012734163838852.

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碩士<br>國立臺灣大學<br>會計學研究所<br>87<br>With the rising of the high-tech industry in recent years, the employee stock option plan (ESO), especially the compensatory stock option with alternative terms has been widespreadly used in American enterprises as a means to recruit and retain the talent. In the process of developing into the financial center of the Asia and Pacific Ocean, the internalization of the finance will bring about the implementation of ESO plan. Since accounting and reporting the derivative financial instrument is much more complex than dealing with traditional commodities, establish

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Persico, Maurizio. "Garch models in option pricing: empirical performance in the Hong Kong stock exchange." Master's thesis, 2020. http://hdl.handle.net/10362/105696.

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This work project investigates on the performance of two models using stochastic volatility to price options using the Hang Seng index. The models analyzed here by are the generalized autoregressive conditional heteroskedasticity (GARCH) and the Glosten-Jagannathan-Runkle (GJR-GARCH) option pricing model. We calibrated the parameters of the models using the historical index’s log returns to price options with three different maturities. We discovered that the GJR-GARCH model ensures superior performance compared to the GARCH given its ability to capture the larger effect of negative market sho

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Laubscher, Eugene Rudolph. "Capital market theories and pricing models : evaluation and consolidation of the available body of knowledge." Diss., 2001. http://hdl.handle.net/10500/17174.

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The study investigates whether the main capital market theories and pricing models provide a reasonably accurate description of the working and efficiency of capital markets, of the pricing of shares and options and the effect the risk/return relationship has on investor behaviour. The capital market theories and pricing models included in the study are Portfolio Theory, the Efficient Market Hypothesis (EMH), the Capital Asset Pricing Model (CAPM), the Arbitrage Pricing Theory (APT), Options Theory and the BlackScholes (8-S) Option Pricing Model. The main conclusion of the study is that

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Sacho, Zwi Yosef. "Accounting for employee share options : a critical analysis." Thesis, 2003. http://hdl.handle.net/10500/1211.

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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

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