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1
FERREIRA, BERNARDO DE MENDONCA G. "VALUATION OF AN OPTION OVER A FUTURE CONTRACT." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2006. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=9323@1.
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COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR<br>O objeto desta dissertação é desenvolver um modelo baseado
em técnicas
de simulação e árvore binomial para valorar uma opção de
compra européia sobre
um contrato futuro. Os modelos diferem na abordagem da
estimação de
parâmetros e principalmente na estrutura de geração das
taxas futuras. O modelo
Black, Derman & Toy utiliza árvore binomiais para
construir possibilidades
futuras de exercício da opção. Este modelo é classificado
de não arbitragem
porque utiliza a estrutura a termo da taxa de juros como
informação inicial para
precificar derivativos de taxa de juros como títulos. O
modelo de Vasicek é
classificado como modelo de equilíbrio porque assume que o
processo estocástico
da taxa de juros possui um fator comum de incerteza
simulada pelo método de
Monte Carlo. A ferramenta será fundamentada na teoria de
derivativos e
processos estocásticos para simular o comportamento do
ativo objeto. O trabalho
a ser desenvolvido enfoca um modelo de um fator, no qual
toda a estrutura a
termo da taxa de juros é explicada pela evolução da taxa
de juros spot.<br>The object of this work is to develop a model based on
techniques of
simulation and binomial tree to valuate a call option over
a future contract. The
tool will be based on the theory of derivatives and
stochastic processes to simulate
the behavior of the active object. The model Black, Derman
& Toy uses binomial
tree to construct future possibilities of exercise of the
option. This model is
classified of not arbitration because it uses the yeld
curve as initial information to
valuate derivatives of interests. The model of Vasicek is
classified as balance
model because it assumes that the random process of the
tax of interests has one
factor of uncertainty simulated for the Monte method
Carlo. The work developed
is a model of one factor which all the structure the term
of the tax of interests is
explained by the evolution of the tax of interests spot.
2
Clark, Natalie. "Option Volume, Market Sentiment, and Future Performance and Volatility." Ohio University Honors Tutorial College / OhioLINK, 2018. http://rave.ohiolink.edu/etdc/view?acc_num=ouhonors1524761369518974.
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Murray, Heather L. "The asymmetrical alternative, is asymmetrical federalism a viable option for the future?" Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1998. http://www.collectionscanada.ca/obj/s4/f2/dsk2/tape15/PQDD_0006/MQ36841.pdf.
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Faria, Jorge Manuel Sarroeria Santos Alves de. "Equity research Galp Energia SGPS SA : Mozambique - Galp’s greener future is a real option." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20819.
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Mestrado em Finanças<br>Este projeto é um Equity Research da Galp Energia S.G.P.S., S.A. (GALP.LS), com um foco particular nas atividades e projetos da GALP em Moçambique. Foi elaborado no âmbito do Mestrado em Finanças do ISEG e segue as diretrizes do CFA
Institute. Apenas informação de cariz público até à data de 12 de novembro foi considerada.
A GALP é uma empresa portuguesa que atua na indústria do petróleo e gás natural. A empresa
está presente em alguns dos projetos Upstream mais lucrativos do mundo e é líder de mercado em Portugal no segmento de Downstream. Para a avaliação da empresa, decidimos aplicar a metodologia FCFF (soma das partes). O resultado é uma recomendação de COMPRA com um preço-alvo de €12,06 por ação,
implicando um potencial de subida de + 26% relativamente ao preço de fecho de 9 de março de 2020.
Adicionalmente ao projeto original, foi feita uma análise complementar aos dois projetos de gás natural da GALP em Moçambique - Coral South FLNG e Rovuma LNG.
Embora estes projetos tenham sido considerados na nossa avaliação inicial, esta análise fornece uma visão mais aprofundada de cada um deles, bem como, sugere algumas adaptações à nossa avaliação inicial devido a mudanças no mercado e nas condições económicas.
Finalmente, um novo método de avaliação para o projeto Rovuma LNG é sugerido - avaliar o projeto usando uma abordagem de Opções Reais.<br>This project is an Equity Research of Galp Energia S.G.P.S., S.A. (GALP.LS), with a particular focus on GALP's activities and projects in Mozambique. The Equity Research was conducted following ISEG's Master in Finance framework and follows the CFA Institute guidelines. Only public information until November 12th, was considered.
GALP is a Portuguese company that operates in the Oil & Gas industry. The company is present in some of the most profitable Upstream projects in the world and is market leader in Portugal in the Downstream segment.
For the valuation of the company, we decided to apply a SoP Free Cash Flow to the Firm approach. We reached a BUY recommendation with a price target of €12.06/sh, implying a +26% upside potential from the March 9th, 2020 closing price.
Following the original research, a complementary analysis of GALP's two natural gas projects in Mozambique - Coral South FLNG and Rovuma LNG- was carried out.
Although these projects were considered in our initial valuation, this complementary analysis provides a a more in depth look to each of them, as well as, suggesting some
adaptations to our initial valuation due to changes in market and economic conditions.
Finally, a new valuation method for the Rovuma LNG project is suggested - valuing the project using a Real Options approach.<br>info:eu-repo/semantics/publishedVersion
5
Vikberg, Sara, and Julia Björkman. "How Well Does Implied Volatility Predict Future Stock Index Returns and Volatility? : A Study of Option-Implied Volatility Derived from OMXS30 Index Options." Thesis, Stockholms universitet, Företagsekonomiska institutionen, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-187552.
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The purpose of this thesis is to study if and how well implied volatility can predict realised volatility and returns on the OMXS30 index one month in the future. The findings are put in relation to how historical volatility can predict realised volatility and how changes in implied volatility can predict returns. The study covers the time period from 10th of May 2012 to 9th of February 2020 and the implied volatility used in the study is derived from an unweighted average of OMXS30 call and put option implied volatility. Six different OLS-regressions are performed to study the prediction capability of implied volatility. This study finds support of implied volatility to be a statistically significant estimate for future realised returns in a univariate regression. However, our results show that historical volatility performs slightly better predictions of realised volatility than implied volatility. These are contradictory results to the majority of the papers studied in this thesis. These papers share the common notion that implied volatility is superior to historical volatility in predicting realised volatility. Further our results show that implied volatility nor change in implied volatility are significant estimates to future realised returns and perform poorly as predictors. This result is supported by the larger part of previous research, which found implied volatility to be a weak predictor of returns.
6
Lauer, Markus [Verfasser]. "DBFZ Report Nr. 37: Economic assessment of biogas plants as a fl exibility option in future electricity systems / Markus Lauer." Leipzig : Deutsches Biomasseforschungszentrum gemeinnützige GmbH, 2020. http://d-nb.info/1219519863/34.
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OLIVEIRA, ANDRE GIUDICE DE. "ANALYZING BMFEFBOVESPA REFERENCE OPTION PREMIUM: DOLLAR OPTIONS AND IBOVESPA FUTURES OPTIONS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2012. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=20448@1.
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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO<br>COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR<br>PROGRAMA DE SUPORTE À PÓS-GRADUAÇÃO DE INSTS. DE ENSINO<br>O objetivo deste trabalho é realizar uma comparação entre os prêmios de referência da BMEFBovespa e os modelos de Garman Kohlhagen, Corrado-Su Modificado, Difusão com Saltos de Merton, Black e o modelo de Black adaptado para assimetria e curtose para o apreçamento de opções de dólar e sobre futuro de Ibovespa. Para isso, foram definidos cenários de análise e comparados os resultados com os prêmios de referência calculados pela BMEFBovespa no período janeiro de 2006 a setembro de 2011. Os resultados obtidos mostram que, em grande parte dos casos, os prêmios de referência calculados pela Bolsa são superestimados, além de revelar que os valores calculados pelos três modelos para as opções de compra e de venda de dólar e de futuro de Ibovespa encontram-se muito próximos.<br>This paper proposes a comparison between option reference premiums supplied by BMEF Bovespa and those obtained by the following models: Garman Kohlhagen, modified Corrado-Su, Merton s jump diffusion model, Black and an alternative version of the model, adapted for asymmetry and kurtosis. The underlying assets are futures contracts for Reais/Dolars exchange rate and Ibovespa futures contracts. Base scenarios were created and the results were compared between the models for the January 2006 – September 2011 period. The results show that the majority of the premiums calculated by BMEF Bovespa are overestimated when compared to the proposed models. Furthermore, the results obtained by this models are very similar to one another.
8
Seifert, Thomas. "Multi-dimensional Markov functional models in option pricing." [S.l.] : [s.n.], 2004. http://deposit.ddb.de/cgi-bin/dokserv?idn=971359628.
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Ou, Jitao. "A study of forecasting performance of alternative option pricing models on option return and market volatility." HKBU Institutional Repository, 2018. https://repository.hkbu.edu.hk/etd_oa/546.
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In this thesis, we investigate the forecasting problem for option return and future volatility in financial market. The first part of this thesis is to study the option return skewness effect and the negative correlation between asset return and volatility. We propose a measure of ex-ante measure of option return skewness which accommodates the negative return-volatility relationship in asset returns. We investigate how time-to-expiration and moneyness affect the skewness and return of an option. Furthermore, we show that our proposed measure has extra benefits in forecasting option returns. In the second part, we test the information contents of implied volatility derived from stochastic volatility option pricing model and also examine the potential benefit of including the model's implied volatility of volatility in forecasting future volatility and volatility risk premium. Our study finds that the inclusion of volatility of volatility factor has significantly reduced the downward bias of the slope coefficients. Most importantly, the ex-ante volatility of volatility has significant predictive power on the ex-post volatility premium. In the third part, we study the incremental benefit of adding skewness in predicting future realized volatility. The study finds that consistent with the empirical findings in the first part, realized volatility is negatively related to their skewness measure which provides a downward adjustment of the implied volatility forecast.
10
Cheung, Yuk-lung Alan. "The Hang Seng Index options market in Hong Kong /." [Hong Kong] : University of Hong Kong, 1994. http://sunzi.lib.hku.hk/hkuto/record.jsp?B13787093.
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Lamberg, Camilla, and Anders Brundin. "Evaluating the future development options for Ozlab." Thesis, Karlstads universitet, Fakulteten för ekonomi, kommunikation och IT, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:kau:diva-7956.
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The Ozlab user-test facility at Karlstad University needs to be reprogrammed. This paper will be used as a decision support document for the redesigning. Ozlab is currently depending on a discontinued software, the learning curve is too steep for new users and there are a number of flaws in the system that force the user to take detours to complete some simple tasks. Ozlab uses the Wizard-of-Oz technique. The Wizard-of-Oz technique is a method used for conducting user tests on prototypes with no functionality; instead a “wizard” controlling the test person’s computer from the next room provides the interaction. There are no general Wizard-supporting tools in the world except for Ozlab. When developing the solution for Ozlab it is important to keep this unique concept, but make the Ozlab system fit for the future and long term sustainable. For this paper, interviews with different kinds of users were conducted to map what is most important for them in a future Ozlab. Moreover, reliance on other programs and file formats than the present ones is also discussed. These other programs and file formats are evaluated on how well they support the optimal workflow for creating and testing a prototype in Ozlab. Recommendations are made with the conclusion that an XML-based solution is the most appropriate option, because the biggest concerns are to make Ozlab as independent from software and file formats as possible, and to make sure that maintenance is easy. Other solutions discussed are based on the Adobe Photoshop software and the HTML5 format.
12
Lincoln, Barry. "Preferred environmental futures : visualising options /." Title page, table of contents and abstract only, 1998. http://web4.library.adelaide.edu.au/theses/09ENS/09ensl736.pdf.
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Yakout, Ahmed Hassan. "Transient frequency control options for future power systems." Thesis, University of Strathclyde, 2010. http://oleg.lib.strath.ac.uk:80/R/?func=dbin-jump-full&object_id=13223.
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FERREIRA, JOAO FABIO FRANCO. "PRICING DI FUTURE OPTIONS USING THE HJM MODEL." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2011. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=19275@1.
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O objetivo deste trabalho é comparar, pela primeira vez, o apreçamento de
opções de futuro de DI de um dia através do modelo HJM de um fator e
volatilidade constante, no formato do caso particular Ho-Lee, com os prêmios de
referência divulgados pela BMeFBovespa, que atualmente utiliza o modelo de
Black. De outubro de 2009 a abril de 2011 foram avaliadas as quatro principais
séries de opções do tipo 2 (cujo futuro objeto possui vencimento seis meses após o
vencimento da opção), coletando os prêmios de referência, com base semanal,
para todos os exercícios divulgados pela BMeFBovespa por um período de nove
meses anteriores ao vencimento de cada opção. Ainda que tenham sido
verificados poucos resultados estatisticamente significativos, foi possível inferir
que não só a BM&FBovespa super-apreça as opções, mas que também existe
uma relação negativa entre o apreçamento dos modelos frente à proximidade do
dinheiro.<br>The goal of this paper is to compare for the first time the DI future option
pricing throught the HJM model with one factor and constant volatility, in the
special case format of Ho-Lee, with the option reference premium released by
BMandFBovespa, which uses the Black model nowadays. From October 2009 until
April 2011 was studied the four main type 2 option series (which the underlying
future expires six months after the option expiration date) were analysed,
collecting option reference premium data, in weekly basis, for all strikes released
by BMandFBovespa in a nine month period prior to the option expiration date.
Even though it was verified few results statistically significant, it was possible to
infer that not only the BM&FBovespa overprices the options but also there is a
negative relation with moneyness between the pricing of the models.
15
Rowlings, Andrew J. "Sustainable energy options for the future airport metropolis." Thesis, Queensland University of Technology, 2016. https://eprints.qut.edu.au/93363/1/Andrew_Rowlings_Thesis.pdf.
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Growth in aviation has resulted in large airports that can be described as Airport Metropolises. This thesis reviews a variety of sustainable energy options that are suitable for such airports, and presents a decision support framework that can be used to guide decision makers towards the adoption of sound sustainable energy projects and practices. The thesis demonstrates use of the decision support framework via a number of case studies and outlines a methodology which could be incorporated within a Decision Support System.
16
Er, Hakan. "Cross market arbitrage and option pricing with long memory in volatility : theory and evidence from LIFFE FTSE-100 index futures and options." Thesis, University of Essex, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.391536.
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Lin, Bing-Huei. "Embedded options and hedging with bund futures." Thesis, University of Manchester, 1993. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.619272.
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In this study we adopt a methodology based on the model in Heath. Jarrow and Morton (1992) for pricing and analyzing the Bund Futures Contract and its embedded options assuming a stochastic term structure of interest rates. The HJM model which utilizes the information implied in observable discount (zero coupon) bond prices can obtain an arbitrage-free valuation for interest rate contingent claims in a risk-neutral world. The only required inputs for this model are the term structure of interest rates and its volatility function. Unfortunately. the pure discount bond price is not always directly observable from the market. It needs to be estimated from observable coupon bond prices by an appropriate technique. In this study. we use the B-Spline approximation adopted by Steeley (1991) to estimate the term structure of interest rates. Due to the complexity of the bond futures contract which involves several deliverable coupon bonds each of which is a portfolio of a number of pure discount bonds. a closed -form valuation formula is very difficult to obtain. We construct a binomial apprOximate model to evaluate the bond futures contract and its embedded options. in particular. the conventional quality option and the new-issue quality option. The binomial model is very flexible and it can also be applied to evaluate a wide range of various interest rate derivative securities. With the assumption of a constant volatility for each forward interest rate over time. the binomial model is path-independent saving lots of time in calculation. With our methodology, we can also value options on bond futures contracts. We try to utilize the information implied in call options on bund futures for estimating the term structure volatility. Although it is inconclusive, this methodology can be applied for studying the pricing of other bond futures contracts and their embedded options. Since hedging is the primary purpose of a futures contract. we also discuss strategies to hedge cash bond positions with bond futures contracts. In the content of our methodology, we can construct a dynamic hedging strategy for hedging bond price changes due to interest rate risks. We also explore the role of the delivery option in hedging effectiveness. and conclude that there is no evidence that the delivery option harms the hedging effectiveness of bond futures contracts.
18
Ye, Hui, and Anastasia Ellanskaya. "Arbitrage-free market models for interest rate options and future options: the multi-strike case." Thesis, Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE), 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-6220.
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This work mainly studies modeling and existence issues for martingale models of option markets with one stock and a collection of European call options for one fixed maturity and infinetely many strikes. In particular, we study Dupire's and Schweizer-Wissel's models, especially the latter one. These two types of models have two completely different pricing approachs, one of which is martingale approach (in Dupire's model), and other one is a market approach (in Schweizer-Wissel's model). After arguing that Dupire's model suffers from the several lacks comparing to Schweizer-Wissel's model, we extend the latter one to get the variations for the case of options on interest rate indexes and futures options. Our models are based on the newly introduced definitions of local implied volatilities and a price level proposed by Schweizer and Wissel. We get explicit expressions of option prices as functions of the local implied volatilities and the price levels in our variations of models. Afterwards, the absence of the dynamic arbitrage in the market for such models can be described in terms of the drift restrictions on the models' coefficients. Finally we demonstrate the application of such models by a simple example of an investment portfolio to show how Schweizer-Wissel's model works generally.
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Choi, Ka-fai, and 蔡家輝. "Specifications of delivery options in interest rate futures." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2001. http://hub.hku.hk/bib/B31954704.
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Cahill, Steven. "Efficient Market Forecasts Utilizing NYMEX Futures and Options." Thesis, Virginia Tech, 1998. http://hdl.handle.net/10919/36816.
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This study develops a method for estimating confidence intervals surrounding futures based forecasts of natural gas prices. The method utilizes the Barone-Adesi and Whaley model for option valuation to "back-out" the market's assessment of the annualized standard deviation of natural gas futures prices. The various implied standard deviations are then weighted and combined to form a single weighted implied standard deviation following the procedures outlined by Chiras and Manaster. This option implied weighted standard deviation is then tested against the more traditional "historical" measure of the standard deviation. The paper then develops the procedure to transform the weighted standard deviation and futures price into a price range at the option expiration date. The accuracy of this forecast is then tested against 15 and 30 day average forecasts.<br>Master of Arts
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Choi, Ka-fai. "Specifications of delivery options in interest rate futures." Hong Kong : University of Hong Kong, 2001. http://sunzi.lib.hku.hk:8888/cgi-bin/hkuto%5Ftoc%5Fpdf?B23425064.
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Beer, Katarina Louise. "School-based interventions for ADHD : current options and future possibilities." Thesis, University of Southampton, 2011. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.548312.
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GROSSO, LUCIANO MOLTER DE PINHO. "PRICING ON OPTIONS ON ONE-DAY INTERBANK DEPOSIT FUTURE CONTRACT." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2006. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=8954@1.
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COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR<br>Este trabalho tem como objetivo apresentar uma alternativa
para se analisar
e avaliar opções sobre DI Futuro. Para tanto, faremos uso
da teoria clássica sobre
derivativos, e em particular, do modelo sugerido por Black
[2] para a avaliação de
opções sobre futuros de commodities. O contrato em
questão, não possui solução
analítica devido ao comportamento não linear do seu pay-
off. A teoria define que
a equação diferencial que descreve o comportamento do
preço do ativo é função
do ativo objeto. Neste trabalho, algumas simplificações
foram assumidas, face a
não adoção de um modelo estocástico que determine o
comportamento futuro da
taxa livre de risco, neste caso definida como um parâmetro
determinístico do
modelo. É fato de que tal simplificação não invalida os
resultados, pelo contrário,
McConnell e Schwartz [17] mostram que a relação custo
benefício em se adotar
modelos mais sofisticados não compensa frente aos
resultados obtidos quando
praticidade e ganhos são comparados. De posse da equação
diferencial que
governa o comportamento do preço do derivativo, se faz
presente a necessidade de
se usar um procedimento numérico - Método de Diferenças
Finitas Explícito
(MDFE).<br>The main objective of this paper is to describe an
alternative model to value
Brazilian DI Future option. And so, we will make use of
the classical derivatives
theory, in particular, to the model introduced by Black
for options on commodities
future contracts. For such instrument, the analytical
solution is not possible to be
obtained due to the non-linear formulation of the pay-off
(Risk Neutral
Valuation). The theory defines the differential equation
that describes the asset
price behavior, in this case the financial operation
agreed, as function of the
underlying variables that govern its behavior. In the
present work some
simplifications had been carried through, regarding the
non-adoption of a
stochastic model to represent the future behavior of the
risk-free rate, being
defined as a deterministic parameter in the model. One
must bear in mind that
such simplification does not invalidate the results; on
the contrary, McConnell e
Schwartz [17] shows that the trade-off between the
practicability and the profit in
term of the results makes questionable the use of the more
sophisticated model.
Having the differential equation that governs the behavior
of the derivative
contract price, a numerical procedure is carried out -
Explicit Finite Differences
Method (EFDM).
24
Aliravci, Murat. "Margin Call Risk Management With Futures And Options." Master's thesis, METU, 2013. http://etd.lib.metu.edu.tr/upload/12615555/index.pdf.
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This study examines dynamic hedge policy of a company in a multi-period framework. The company begins to operate a project for a customer and it also has a subcontractor which completes an important part of the project by using an economic commodity. The customer will pay a fixed price to the company at the end of the project. Meanwhile, the company needs to pay the debt to the subcontractor and the amount of the debt depends on the spot price of the commodity at that time. The company is allowed to hedge for the commodity price fluctuations via future and option contracts. Since the company has a limited cash reserve as well as previously planned payments, it may face financial
distress when the net cash balance decreases below zero. Consequently, the company maximizes the expected value of itself by minimizing the expected financial distress cost.
25
Zoller, Boris. "The Valuation of Volatility Derivatives An Empirical Analysis /." St. Gallen, 2006. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01280700001/$FILE/01280700001.pdf.
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Cheung, Yuk-lung Alan, and 張玉龍. "The Hang Seng Index options market in Hong Kong." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1994. http://hub.hku.hk/bib/B31265996.
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Mehta, Shraddha. "Phosphorus management in the Baltic Sea historic evidence and future options." Thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for vann- og miljøteknikk, 2012. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-18688.
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Phosphorus being one of the essential elements for all forms of life is also a finite resource. The extensive use of Phosphorus in anthropogenic activities has lead to high nutrient load in surface waters causing eutrophication. The Baltic Sea being a semi enclosed water body and a good example of eutrophication has been chosen as model basis. To determine the magnitude of phosphorus use in Riparian States and the total loads to the sea is investigated using a systems analysis approach. In this thesis the phosphorous flows were examined using substance flow analysis of two types of systems: anthropogenic system and a sub basin system. The anthropogenic system presents the flows and stocks of phosphorus within processes with phosphorus utilization within each Riparian country and the total load of phosphorus to the Baltic Sea. The sub basin system models individual sub basins to determine the total input of phosphorus and the resident stocks of phosphorus in sea water and biomass. Based on the sub basin a hypothesis is formulated to determine the fate of phosphorus in the sea and the identify sinks of phosphorus. Hypothesis: The inflow of phosphorus into the Baltic Sea is not coupled with an increase in phosphorus stock but result in a high sedimentation rate. The sub basins represent phosphorus exporters to other neighboring basins. Within the anthropogenic system, agriculture and food market posses the largest flows and stocks of phosphorus. While the largest loads from the anthropogenic systems are from agricultural run off and waste water discharge. Poland is found to have major share in this contribution of phosphorus flows to the Baltic Sea. The sub basin Baltic Proper contains the largest stock of phosphorus among all the other sub basins. The test of the hypothesis hold true and sediments of the Baltic Sea have been recognized as major sinks of phosphorus.
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Mohamed, Adan Daud. "Pastoral development in northeastern Kenya, past efforts, present experiences, future options." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk2/ftp01/MQ40354.pdf.
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Atilgan, Burcin. "Assessing the sustainability of current and future electricity options for Turkey." Thesis, University of Manchester, 2016. https://www.research.manchester.ac.uk/portal/en/theses/assessing-the-sustainability-of-current-and-future-electricity-options-for-turkey(e6fb2e6f-bab4-47ac-a40a-0bef743ab867).html.
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This research has assessed the environmental, economic and social sustainability of electricity generation in Turkey to contribute towards a better understanding of the overall sustainability impacts of the electricity sector and of possible future scenarios. The assessment of environmental sustainability has been carried out using life cycle assessment; capital, annualised and levelised costs have been used for the economic sustainability and various social indicators along the life cycle of the technologies have been estimated for the social assessment. Multi-criteria decision analysis has been carried out to integrate the three dimensions of sustainability for current electricity generation and future scenarios as well as to help with decision-making. The sustainability assessment of current electricity generation considers all the options present in the Turkish electricity mix: coal (lignite, hard coal), gas, hydro (large and small scale reservoir, run-of-river), onshore wind and geothermal. Each technology has been assessed and compared using 20 sustainability indicators, addressing 11 environmental, three economic and six social aspects. The findings suggest that trade-offs are needed, as each technology is better for some sustainability indicators but worse for others. For example, coal has the highest environmental impacts, except for ozone depletion for which gas is the worst option; gas is the cheapest in terms of capital costs but it provides the lowest direct employment and has the highest levelised costs. Geothermal is the best option for six environmental impacts but has the highest capital cost. Large reservoir has the lowest depletion of elements and fossil resources as well as acidification. Moreover, large reservoir is the cheapest option in terms of levelised costs and the best option for worker injuries and fatalities but provides the lowest life cycle employment. The results for the current electricity sector show that electricity generation in Turkey is responsible for around 111 million tonnes of CO2 eq. emissions annually. Total capital costs of the current electricity sector of Turkey are estimated at US$69 billion, with hydropower, coal and gas plants contributing together to 96%. Total annualised costs are equal to US$26 billion per year, of which fuel costs contribute nearly 64%. The levelised costs for the Turkish electricity generation are estimated at 123 US$/MWh. The social assessment results indicate that the electricity sector in Turkey provided 57,000 jobs. A total of 3670 worker injuries and 15 fatalities are also estimated related to the electricity sector annually. A range of future electricity generation scenarios has been developed for the year 2050 considering different mixes, carbon emission targets and generation options, including fossil-fuel technologies with and without carbon capture and storage, nuclear and a range of renewable options. Overall, business-as-usual scenarios are the least sustainable options to meet the country’s electricity demand in the future. Despite the fact that these scenarios have the lowest costs, their poor environmental and social performances make them the worst options. Increasing the contribution from renewables and nuclear power translates to a better sustainability performance. The scenario with the highest penetration of these options (C-3) is found to be the most sustainable option in this work. Although the most renewable intensive scenario (C-4) scores as the second best option overall, it performs poorly for the economic categories. The trade-offs between the different sustainability indicators highlighted by the results of this research illustrate that assessments of a range of environmental, economic and social impacts from different electricity technologies and scenarios should be considered when planning sustainability strategies for the electricity sector.
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Nhemachena, Charles. "Agriculture and future climate dynamics in Africa impacts and adaptation options /." Thesis, Pretoria : [s.n.], 2009. http://upetd.up.ac.za/thesis/available/etd-05302009-122839/.
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Huang, Li-cheng, and 黃立承. "The Information Contents of Option Prices:Forecasting Realized Volatility and Future Option Prices." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/01188876352470562859.
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碩士<br>國立中央大學<br>財務金融研究所<br>91<br>Abstract
The information contents of option prices represent in their implied volatility. Generally speaking, implied volatility of options has the phenomenon of volatility smile. As a result, in the literature of option pricing, there are several models built in order to capture the shape of volatility smile. In addition, researches think implied volatility should have more strong explanatory power over historical volatility. In this study, we use S&P 500 put options on futures and S&P 500 futures data to test the topic stated above. We also test the stability by using four different measures of the realized volatility. On the other hand, several parametric (Implied Volatility Function) and non-parametric (Implied Binomial Tree) models are established to forecast future option prices and measure forecasting errors.
Empirical results reveal that implied volatility contains information in forecasting realized volatility but the results are not stable under different realized volatility measurements. On the other hand, historical volatility also has explanatory power to realized volatility. But implied volatility has higher explanatory power than historical volatility. As for option prices forecasting, several academic models have no better forecasting accuracy than ad hoc procedure. This results show that the simpler the model, the better the forecasting performance.
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Ke, Wei-Ting, and 柯瑋婷. "The Information in Taiwan Index Option and Futures Volume for Future Taiwan Index." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/91642224220764425708.
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碩士<br>國立屏東科技大學<br>財務金融研究所<br>99<br>In this study, we investigate the information links between the volume of option and futures and the stock returns. The data consist of intraday records of trading volume activity for TAIFEX listed TAIEX options and futures from the beginning of January 2005 through the end of December 2010. We separate the active side from a trade, as well as make positive trade, negative trade and Net buying pressue as information variables to observe an important informational role for the volume. The empirical results of our study show that informed investors make a trade with option or futures as a tool of information trade, and the information-based volume is better to rise the predictability than the tradition one. In addition, informed option investors preferring more highly leverd contracts.
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Lin, Yu-Sheng, and 林育昇. "The Impacts of Institutional Future and Option Trading Volume on Stock and Future Rerurns." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/12987976457242230984.
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碩士<br>國立中央大學<br>財務金融研究所<br>97<br>Previous studies indicate that institutional investors perform better than individual investors. This study uses
the VAR model to investigate the relationship between institutional investors'' trading volume and market returns
of Taiwanese markets during the period from December 14, 2000 to December 14, 2005. The results reveal that foreign
investors have the largest impact on stock and future return. However, none of the institutional investors'' option trading volume can significantly affect stock and future returns. Besides, the results also reveal that stock market lead future market and spill out information. In the analysis of institutional investors'' behavior, foreign institutional investors and domestic institutional investors employ contrarian strategy in futures market.
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Lin, Chieh, and 林杰. "Construction of an Arbitrage System among Stock, Future, and Option Markets in TaiwanConstruction of an Arbitrage System among Stock, Future, and Option Markets in TaiwanConstruction of an Arbitrage System among Stock, Future, and Option Markets in T." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/99453752884288293328.
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碩士<br>中國文化大學<br>資訊管理研究所<br>96<br>Scholars in Taiwan have tried to use arbitrage pricing theory, discovered by Ross in 1976 on financial products among stock, future, and option markets. Arbitrage Op-portunities and profits have decreased as products of these three markets get matured. In practical, investors also need to consider other factors such as cost interests, fees, taxes, arbitrage methods, etc. as well.
In this study, we construct an experimental arbitrage system among stock, future, and option markets in Taiwan. Investors can set their own risk preferences and group preference in the system. Risk preferences include ratio of arbitrage start margin, ratio of arbitrage strike margin, numbers of simulate index adopted stock companies, and margin increased mode of arbitrage start margin. Group preference includes the selection of group and one of its types.
Data from 2006 to 2007 are used to simulate the real bid-ask pricing. Experiment results show that increasing ratio of arbitrage start margin will reduce arbitrage oppor-tunity and the average profit also increased. Increasing ratio of arbitrage strike margin might reduce the average profits due to the opportunity of early strike decreased, espe-cially on arbitrage methods with stock.
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Miao, Howard, and 繆俊華. "The Optimal Hedge Ratio of Foreigh Currency Future and Option." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/84148366172939959775.
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Chan, Meng-Te, and 詹孟德. "Can OTC Currency Option Volatility Smile Predict Currency Future Returns?" Thesis, 2013. http://ndltd.ncl.edu.tw/handle/31313238780282859520.
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碩士<br>國立臺灣大學<br>財務金融組<br>102<br>Lots of previous studies show the volatility smile in option markets has significant predictive power for future stock returns. In this paper we want to exam the predictability of measure of volatility smile for future currency returns. Different from previous studies, we use OTC option data instead of exchange market data.
By regressing future currency returns on the measures of volatility smile, we find the measures of volatility smile for exchange rates related to Yen have significant predictability to future currency returns. The predictability persists up to 20 weeks. However, the two Long-Short strategies cannot get extra returns compared with the Buy-and-Hold strategy.
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Lu, Ting-ying, and 呂霆螢. "The Effect of Employee Stock Option Compensations on Firms'' Future Earnings." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/90058715554660955517.
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碩士<br>朝陽科技大學<br>會計所<br>94<br>This study estimates the relation between the value of annual ESO grants and firms’ future earnings to examine whether the short-term excess profit is motivated or the human capital is raised by the ESO grants. Therefore, we view ESO grants as an asset and posit a production function that reflects the fundamental relation between the value of corporate assets and the payoff generated from these assets (Lev and Sougiannis, 1996).
In this study, we adopt the listed firms (TAIEX) that have ever granted ESO compensations during the period 2001-2005 and infer the payoff to ESO grants from operating earnings. The empirical results are summarized as follows.
The regression results indicate the firms’ earnings can not be improved significantly from current year ESO grants and the last year ESO grants. However, the ESO granted both at the last 2 year and last 3 year significantly improve the firm’s earnings.
We farther use factor analysis to extract two ESO factors, namely the short-term motivator and the long-term advance. The regression results indicate again that there is a significantly positive association between the long-term advance factor and the firms’ earnings. However, there is no significantly positive association between the sort-term motivator factor and the firms’ earnings.
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"Participation in Employee Stock Option Exchange Programs and Future Stock Returns." Doctoral diss., 2013. http://hdl.handle.net/2286/R.I.20880.
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abstract: In this paper, I investigate whether participation in employee stock option exchange programs contains private information about future stock returns. High participation in employee stock option exchange programs is associated with negative future abnormal returns over the ensuing 12-month period. This association is moderated by the transparency of the firm's information environment: high institutional ownership and high financial statement informativeness weaken the negative relation between participation and abnormal returns. Controlling for transparency of the firms' information environment, the association between participation and future returns arises primarily from firms that allow the CEO to participate.<br>Dissertation/Thesis<br>Ph.D. Accountancy 2013
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YUAN, YU SHIH, and 于士媛. "Expirations of Index derivatives Effects－The Case of TAIEX Future and Option." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/25384377147633642450.
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碩士<br>銘傳大學<br>財務金融學系碩士班<br>91<br>References about expiration effect figured out that there would be larger trading volume, abnormal return volatility and price effect when the index future expired at the closing price. This study investigates the impact of TX, TE, TF, MTX and TXO on the stock market in Taiwan. The data period is from 1998/9~2002/12. This study gets the same results with influence of different financial products. The results show that there was no significant abnormal price effect, no abnormal return volatility, and no abnormal trading volume in Taiwan stock market.
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Antunes, Vera Cristina Vaz. "Quality and timing option value in US treasury bond futures markets." Master's thesis, 2010. http://hdl.handle.net/10071/3957.
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This dissertation describes a quasi-analytical solution to price bond futures with delivery
options in the context of stochastic interest rates, assuming that the dynamic of interest rates is
described under the Heath-Jarrow-Morton specification.The initial structure of interest rates is
specified by a consistent family with the proposed model. It also provides an analytical
solution for an estimator for the embedded quality and timing option for treasury bond
futures. Under these assumptions, a set of CBOT treasury bond futures are priced and an
estimate of quality and timing options are obtained. The results obtained are compared with
results offered by Nunes and Oliveira (2003) and it is concluded that the quality and timing
option for those contracts are not significant under the described specification. The initial
structure of interest rates and the volatility specification are found to have important pricing
implications and a large impact on delivery option estimates.<br>Esta dissertação tem como objectivo descrever uma solução quasi-analítica para avalição de
futuros sobre obrigações com diversas opções de entrega, no contexto de taxas de juro
estocásticas. Assume-se que a dinâmica da curva de taxa de juro é descrita segundo a
metodologia proposta por Heath-Jarrow-Morton e a curva inicial de taxa de juro é definida
através de uma especificação consistente com o modelo proposto. Esta tese fornece também
um estimador para o valor conjunto da quality option e timing option embutidas nos contratos
de futuros sobre obrigações. De acordo com estas premissas, são avaliados um conjunto de
futuros transacionados pela CBOT e é obtida uma estimativa para ambas as opções de entrega
em análise. Os resultados obtidos, através das soluções analíticas apresentadas, são
comparados com os resultados obtidos por Nunes e Oliveira (2003) e conclui-se que opções
de entrega não são significativas de acordo com a especificação descrita. Verifica-se ainda
que a estimação da dinâmica inicial da taxa de juro e a especificação da função volatilidade
têm um impacto significativo nas estimativas do preço dos futuros e no respectivo valor das
opções de entrega.
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Chou, Wei-Ping, and 周煒平. "The Optimal Hedge Strategies of Stock Index among Spot、Future and Option Markets." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/84935201154030113874.
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碩士<br>國立雲林科技大學<br>財務金融系碩士班<br>99<br>This research utilizes Futures Contract of Taiwan Stock and Taiwan Stock Options
Index as tools to seek for optimal risk aversion operation under Complete Risk
Minimization Strategy, Minimal Variance Strategy, Lower Partial Moment Strategy and
Delta Hedge frameworks. The Risk Minimization rates of various years are firstly
worked out, followed by Risk Minimization effectiveness and the return after Risk
Minimization. Finally, examination results from outside of the sample are used to
compare with the actual result.
Considering that risk-minimizing individual may be willing to accept certain level of
risk, and pursuing for maximum return after risk-minimization, this research discusses
that under various risk-minimization strategies, the largest decrease in risk and return
after risk-minimization operation. The result indicates that no matter whether it is within
or outside the examination result, Futures Contract of Taiwan Stock has the largest level
of decrease in risk; the return after risk-minimization is dependent on various strategies.
The research have also found that due to the characteristic of Options itself, the
fluctuation would be inherently higher than that of Taiwan Futures Contracts. Therefore,
risk-minimization rate would be lower than the Taiwan Futures Contract. Full
Risk-Minimization and Delta Naïve Risk-Minimization sets the minimization rate at
one. Under these two strategies, options fluctuation would becomes quite large, leading
to less apparent result of decrease in the level of risk.
Key words: Hedge Strategies, Hedge Performance
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Lauer, Markus. "Economic assessment of biogas plants as a flexibility option in future electricity systems." 2019. https://ul.qucosa.de/id/qucosa%3A38058.
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Mit dem zunehmenden Ausbau von fluktuierenden erneuerbaren Energien werden zusätzliche Technologien und/oder Bereitstellungskonzepte im Stromsystem benötigt, die den Ausgleich von Angebot und Nachfrage zu jeder Zeit gewährleisten. Neben Flexibilitätsoptionen wie Stromspeicher oder flexible konventionelle Kraftwerke, können Biogasanlagen eine Technologie zur Systemintegration von fluktuierenden erneuerbaren Energien darstellen. Der zukünftige kostenoptimale Einsatz von Biogasanlagen wurde bisher nicht ausreichend untersucht. Daher sollen die Forschungsfragen beantwortet werden, ob Biogasanlagen eine ökonomisch konkurrenzfähige Flexibilitätsoption darstellen und in welchem Umfang sowie mit welcher Betriebsweise diese zukünftig kostenoptimal eingesetzt werden sollten.
Dazu wurden drei verschiedene Ausbaupfade mit sich unterscheidenden Kapazitäten für Biogasanlagen und weitere erneuerbare Energien zur Zielerreichung der nationalen ZubauZiele in Deutschland für den Zeitraum 2016 – 2035 definiert. Mit Hilfe der daraus abgeleiteten Residuallastdaten wurde der Einsatz der Biogasanlagen zur Systemstabilität optimiert. Die entstehenden Werte wurden im Anschluss verwendet, um mit einem nichtlinearen Optimierungsmodell den Einsatz von Flexibilitätsoptionen kostenminimal zu ermitteln. Der reduzierte Bedarf an Flexibilitätsoptionen durch zusätzliche (flexible) Biogasanlagen sowie die verringerte Stromeinspeisung aus anderen erneuerbaren Energien stellen dabei den Nutzen der Biogasanlagen dar. Zusätzliche Kosten entstehen durch die Flexibilisierung von Bestands- als auch durch den Bau und Betrieb von Neuanlagen. Kosten und Nutzen, die mit zusätzlichen Investitionen in flexible Biogasanlagen einhergehen, wurden abschließend in einer Kosten-Nutzen-Analyse gegenübergestellt.
Ein erhöhter Anteil von Biogasanlagen im zukünftigen Stromsystem reduziert die Auslastung von vergleichsweise kostenintensiven Kraftwerken und verringert die Investitionen in Stromspeicher und konventionelle Kraftwerke. Dennoch wird durch die vergleichsweise hohen Kosten von (zusätzlichen) Biogasanlagen in keinem Szenario ein ökonomisch vorteilhaftes Ergebnis erzielt. Die Unwirtschaftlichkeit von Biogasanlagen könnte im Falle eines frühzeitigen Kohleausstiegs signifikant verringert werden. Grundsätzlich sollten Biogasanlagen möglichst flexibel eingesetzt werden, um fluktuierende erneuerbare Energien in das Stromsystem zu integrieren. Ein wirtschaftlicher Betrieb von Biogasanlagen im zukünftigen Stromsystem ist nur möglich, wenn deren Kosten gesenkt und/oder zusätzliche Nutzen in anderen Sektoren und Bereichen generiert werden. Bei einer geringen Zubau-Rate von Neuanlagen wären die geringsten Kostensenkungen notwendig.<br>To reduce the negative impact of climate change, the German government has decided to decrease greenhouse gas emissions in the energy sector through the extension of intermittent renewable energies, inter alia. The power supply from photovoltaic and wind power plants is characterized by intermittency that depends on local weather conditions. To ensure a sufficient power supply, further technologies and/or new concepts are required to balance demand and supply in the energy system with an increasing proportion of renewable energies. In addition storage technologies, the extension of power grids and conventional power plants, biogas plants can be one technological solution. However, the cost-efficient role of biogas plants has not been sufficiently assessed. The main objective of this thesis is to compare the economic feasibility of biogas plants with other flexibility options (namely storage technologies and conventional power plants) for the period of 2016 to 2035 in Germany´s electricity system. From an economic point of view, the cost-efficient future installed capacities and the modes of operation of biogas plants have to be analyzed.
To do so, three biogas extension paths and renewable energy portfolios are defined for the considered period. Hourly residual load data are used to optimize the flexible power generation from biogas plants in all scenarios. The resulting residual load data (including biogas) is used as an input in a non-linear optimization model that simultaneously minimizes the costs of the hourly dispatch and the annual investments in conventional power plants and storage technologies. On the one hand, additional biogas plants in the future electricity system reduce the demand for additional flexibility options and substitute the generation from further renewable energies. On the other hand, the flexibilization of existing biogas plants and the investments in new biogas installations lead to additional costs. Finally, the resulting costs and benefits are quantified in a cost-benefit analysis.
As a result, an increasing proportion of biogas plants reduces the demand for additional storage technologies and conventional power plants. Furthermore, the utilization of (existing) conventional power plants with high marginal costs in the considered period is decreased. However, in all scenarios, the costs of additional biogas plants exceed their benefits for the electricity system. This is why Germany´s electricity system is characterized by a sufficient installed capacity of existing flexibility options. An accelerated phasing-out of lignite- and coal-fired power plants to reach national greenhouse gas reduction target values improves the results of the cost-benefit analysis. The electricity generation from biogas plants should be as flexible as possible. The highest net present values are found in the extension path characterized by a low construction rate of new biogas plants. Nevertheless, compared to the phasing-out of biogas plants, additional biogas plants in Germany´s future electricity system require cost reductions and/or must be accompanied by further benefits in other sectors and areas to ensure economically feasible operation.
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Chen, Li Wei, and 陳力維. "The effect of index future and option listing on the risk characteristics of TAIEX." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/13038516621040242469.
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碩士<br>長庚大學<br>企業管理研究所<br>97<br>This study investigates if the risk of stock market in Taiwan would increase or decrease after introducing the index future or index option. So use TAIEX to represent stock market to analyze the standard deviation of TAIEX before and after introducing the index future or index option. The result suggests that the volatility is not change after the index future listing, but lower after the index option listing.
In the long term, the relation between risk and return in Taiwan stock market is positive, but the high risk has to correspond to high positive return and high negative return. Also find there is positive return effect in December, January, and February, but the positive abnormal return becomes lower in recent year. Lastly, there is obvious effect in the risk of Taiwan stock market on the index future and option expired.
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BELLI, ELEONORA. "Coupling impedance and single beam collective effects for the future circular collider (lepton option)." Doctoral thesis, 2019. http://hdl.handle.net/11573/1238107.
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In the framework of the Future Circular Collider study, the high luminosity electron-positron collider FCC-ee will cover a beam energy range from 45.6 GeV to 182.5 GeV, thus allowing very precise measurements of all known heavy particles. The research activity presented in this Ph.D. thesis analyzes some important limitations for the operation of this machine, i.e. electron cloud (EC) and collective effects, particularly critical on the Z resonance due to the low energy and the high beam current. EC build up simulations have been performed for the main components of the machine, revealing the necessity of a NEG coating in the entire ring to lower the Secondary Electron Yield (SEY) of the surface. The presence of this coating affects the resistive wall (RW) impedance seen by the beam, representing the major source of wakefields in the machine due to its large circumference. The work presented in this thesis proves analytically and numerically that for the FCC-ee beam parameters on the Z resonance the contribution of the RW impedance can be reduced by decreasing the thickness of this layer. However, reducing the thickness of NEG coatings can affect the performance of the material itself and therefore the maximum SEY and related EC mitigation. For this reason, this thesis also includes an extensive set of measurements performed at CERN to characterize experimentally Ti-Zr-V thin films with thicknesses below 250 nm in terms of activation performance and SEY. An impedance model was also developed, through the characterization and optimization of the impedance of some important machine components. This model was crucial for a better understanding of single bunch and multi bunch instabilities, thus allowing to identify adequate mitigation techniques for ensuring beam stability during operation. This work also summarizes the impedance studies in the interaction region (IR) of FCC-ee.
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章昇達. "Taiwan Stock Index Option Market How To Influence The Adverse Information In Stock and Future market." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/74195067306818436117.
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碩士<br>國立交通大學<br>財務金融研究所<br>93<br>My research is that after option market is established , the change of dealer's proportion of trade on the stock market , future market of information . Research data is taking from Taiwan economy new newspaper , and the time block from 2001 to 2003 in the same period of November respectively . Utilize Easley , Kiefer , O’Hara (1996) , the research model of two markets , and I revise and expend to three market new model , find that the research refers to the establishment of the market of option , have really originally changed the proportion of information trade in the stock and future market . Result show information trading activity of traders accord with anticipated . Namely as for information traders , the derivative financial market is really more attractive than the stock market . On the other hand , liquidity traders is not what I expect stay at the stock market trading . Because the trading behavior that the number of trading volume is also increasing in the future and option market , making the depth of two market becoming well .
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Ling, Ai, and 艾玲. "Applying Price and Volume of Future and Option for Constructing Investment Strategies-Evidence from Taiwan Market." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/v52tw8.
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碩士<br>國立高雄應用科技大學<br>金融系金融資訊碩士班<br>103<br>This paper examines the effect of trading volume, open interest and VIX index to TXO trading market and uses influential periods to build the strategies in long, short and correction market trend. We can find out the relationship of future price, VIX index ,trading volume and volume of open interest by using cointegration test and ADF model. Then, we establish a time series model to find the equilibrium state of market and build a trading strategy by following the equilibrium. We also separately adopted trading volume and open interest as trend signs to created price and volume trend indicator and open interest ratio which is between call and put. Our testing data is TXO stock and future in 2014 and estimates the best return period with trading strategy by cointegration test. Our results show that market equilibrium will not keep on so long, our equilibrium trading strategy had the best return on holding stock for one to two periods. Besides, we found that price-volume trend strategy has well returns on short periods and open interest ratio strategy has stable return on longer periods than price-volume trend strategy.
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Fu, An Min, and 傅安民. "Index Future And Option Hedge Strategy Valuation,and Discuss these activities has caused Stock Price Volatility." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/53018644146981453589.
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Yu, Ming-chien, and 游明欽. "A Study of Future Index Probability Distribution Implicit in Index Option Using Back-propagation Neural Networks." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/11494212974788091611.
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碩士<br>佛光人文社會學院<br>資訊學系<br>94<br>Abstract
This research discuses the skill of combine neural networks and Black-Scholes-Merton options pricing model extract the future index probability distribution implicit in index option to exam the efficiency in Taiwan Stock Index Options market data.
The price of option usually influenced the whole investors expect that the future index probability distribution. When an investment bank issues some kind of exotic option, or hedges its risk exposure in listed options market, this information of expect probability distribution are important to all investor. In 1978, breeden and litzenberger provided the theoretical foundation for extracting the implied ending risk-neutral probability density function from observed market prices of European options. If there is a continuous and smooth function of European option price with respect to the strike price for a specific maturity, the implied ending risk-neutral probability density function can be obtained from the second partial derivative of the European option price function with respect to strike price.
This research uses Taiwan Stock Index Options market data and observes the same moment of bid-ask price, first uses a neural network to learn and mapping the implied volatility function, construct a framework that combine neural networks and Black-Scholes-Merton options pricing mode can continuously and smooth in strike price and maturity. Then can extracting the implied ending risk-neutral probability density function from the second partial derivative of the European option price function with respect to strike price and extracting the implied ending risk-neutral probability density surface.
To investigating the Taiwan Stock Index Options market data show that an option price is a time varying function of its observable affecting factors. by negative butterfly prices of TXO options demonstrate that observed market option prices , our model can cure data noisy. And extracting the implied ending risk-neutral probability density surface exam in-sample and out-of-sample are more accurate than Black-Scholes-Merton options pricing model.
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Ya-Hsin, Liu, and 劉雅欣. "Using the Compound Option on Dispatched Employment to Hedge the Risk of Uncertainty on Future Manpower Requirement." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/78086696757900929868.
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碩士<br>東海大學<br>企業管理學系碩士班<br>94<br>There are more competitions going on in the business field. In order to increase income and reduce cost, companies have to find the best way to create benefit in any uncertain conditions. Human resource is an important asset for business, and it also plays an important role in every business cost and operation. For catching up the rapid industrial changes and increase the elasticity of the business, Dispatched employment helps to create a better human resource plan. Dispatched employment helps finding special technique talented person during the busy time for companies, and also externalization responsibilities from administrative management when the business is slow. It could reduce the cost of permanent personnel, focus on developing the core ability, and increase competitive advantage.
Workers in manufacturing industry are over 25 percent of all the workers in Taiwan. Also, the usage of dispatched employment service for the manufacturing industry is the top three among all the industry. The dispatched employment service arranges positions for all the workers that includes basic worker to high technique specialists. The business fluctuate prosperity affects the labor demand of manufacturing industry. In order to reduce the uncertainness of labor demand, this essay explains the usage of compound option in the Dispatched employment field and the compound option on outsourcing contract.
Refers to the TEJ salary research and double checked the resource, the main research target in this essay focuses on the machinery and equipment manufacturing and repairing, computer, communications, and audio and video electronic products manufacturing, electronic parts and components manufacturing. Also, researchers calculate the premium by FinanacialCAD in order to observe the volatility, spot price,and the affect of compound option on outsourcing contract within the contract period The outcome shows that compound option on outsourcing contract is affected the most, the asset current price of compound option on outsourcing contract within contract period is the second, and the annual fluctuation is the last. The outcome of the sensitivity analysis that shows above helps the compound option on outsourcing contract, and it is the reference for purchasing premium. At the last, we identifie the riskless interest rate as current deposit interest rate and recalculate the riskless interest rate in every standard. In different length of contract period and the premium changing conditions, it provides a reference that helps companies make decisions of contract period in every interest rate standard.
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Wong, Shang-Bo, and 翁尚伯. "A Comparison on the Information Content of Option Prices and Trading Activity for Future Returns of the Underlying Asset." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/33951011761060842282.
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碩士<br>國立臺灣大學<br>財務金融學研究所<br>102<br>The trading activity skew in option market has significant cross-sectional negative predictive power for future equity returns. This predictability persists for at least six months, and correlated with whether stock options could be exercised. The results are also consistent with the notion that informed traders with negative news prefer to trade out-of-the-money put options to benefit from their information.