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Dissertations / Theses on the topic 'Real options (Finance) Stochastic processes'

Author: Grafiati

Published: 4 June 2021

Last updated: 16 February 2022

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1

Wang, Wen-Kai. "Application of stochastic differential games and real option theory in environmental economics /." St Andrews, 2010. http://hdl.handle.net/10023/893.

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2

Wang, Wen-Kai. "Application of stochastic differential games and real option theory in environmental economics." Thesis, University of St Andrews, 2009. http://hdl.handle.net/10023/893.

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This thesis presents several problems based on papers written jointly by the author and Dr. Christian-Oliver Ewald. Firstly, the author extends the model presented by Fershtman and Nitzan (1991), which studies a deterministic differential public good game. Two types of volatility are considered. In the first case the volatility of the diffusion term is dependent on the current level of public good, while in the second case the volatility is dependent on the current rate of public good provision by the agents. The result in the latter case is qualitatively different from the first one. These re

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3

Cardoso, Samuel de Oliveira. "Análise de investimento de capital na indústria brasileira de papel e celulose por meio da teoria das opções reais: o caso da Fibria Celulose S.A." reponame:Repositório Institucional do BNDES, 2014. https://web.bndes.gov.br/bib/jspui/handle/1408/7027.

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O presente trabalho tem como objetivo final a verificação da aplicabilidade da Teoria das Opções Reais (TOR) em investimentos de papel e celulose, considerando o Movimento de Reversão à Média (MRM) nos fatores de risco, dado um modelo de gerenciamento de curto prazo, no âmbito de um estudo de caso da Fibria Celulose S.A. para o setor de papel e celulose no Brasil. Nesta dissertação, testa-se a aderência da série histórica de preços da celulose de fibra curta da Fibria, no período entre 2003 e 2013, a um modelo estocástico de reversão à média, sendo este modelo validado para o presente estudo.

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4

Le, Truc. "Stochastic volatility models." Monash University, School of Mathematical Sciences, 2005. http://arrow.monash.edu.au/hdl/1959.1/5181.

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5

Barbu, Monica Constanta. "Stochastic modelling applications in continuous time finance /." [St. Lucia, Qld.], 2004. http://www.library.uq.edu.au/pdfserve.php?image=thesisabs/absthe18290.pdf.

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6

Schmitz, Abe Klaus E. "Pricing exotic options using improved strong convergence." Thesis, University of Oxford, 2008. http://ora.ox.ac.uk/objects/uuid:5a9fb837-238f-46a7-976a-fe3bae0e7b09.

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Today, better numerical approximations are required for multi-dimensional SDEs to improve on the poor performance of the standard Monte Carlo integration. With this aim in mind, the material in the thesis is divided into two main categories, stochastic calculus and mathematical finance. In the former, we introduce a new scheme or discrete time approximation based on an idea of Paul Malliavin where, for some conditions, a better strong convergence order is obtained than the standard Milstein scheme without the expensive simulation of the Lévy Area. We demonstrate when the conditions of the 2−Di

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7

Calcraft, Peter James. "Two-pore channels and NAADP-dependent calcium signalling." Thesis, St Andrews, 2010. http://hdl.handle.net/10023/888.

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8

Binkowski, Karol Patryk. "Pricing of European options using empirical characteristic functions." Phd thesis, Australia : Macquarie University, 2008. http://hdl.handle.net/1959.14/28623.

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Thesis (PhD)--Macquarie University, Division of Economic and Financial Studies, Dept. of Statistics, 2008.<br>Bibliography: p. 73-77.<br>Introduction -- Lévy processes used in option pricing -- Option pricing for Lévy processes -- Option pricing based on empirical characteristic functions -- Performance of the five models on historical data -- Conclusions -- References -- Appendix A. Proofs -- Appendix B. Supplements -- Appendix C. Matlab programs.<br>Pricing problems of financial derivatives are among the most important ones in Quantitative Finance. Since 1973 when a Nobel prize winning mod

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9

Jung, Dosub. "The model risk of option pricing models when volatility is stochastic : a Monte Carlo simulation approach /." free to MU campus, to others for purchase, 2000. http://wwwlib.umi.com/cr/mo/fullcit?p9974644.

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10

Chavanasporn, Walailuck. "Application of stochastic differential equations and real option theory in investment decision problems." Thesis, University of St Andrews, 2010. http://hdl.handle.net/10023/1691.

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This thesis contains a discussion of four problems arising from the application of stochastic differential equations and real option theory to investment decision problems in a continuous-time framework. It is based on four papers written jointly with the author’s supervisor. In the first problem, we study an evolutionary stock market model in a continuous-time framework where uncertainty in dividends is produced by a single Wiener process. The model is an adaptation to a continuous-time framework of a discrete evolutionary stock market model developed by Evstigneev, Hens and Schenk-Hoppé (20

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11

Gleeson, Cameron Banking &amp Finance Australian School of Business UNSW. "Pricing and hedging S&P 500 index options : a comparison of affine jump diffusion models." Awarded by:University of New South Wales. School of Banking and Finance, 2005. http://handle.unsw.edu.au/1959.4/22379.

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This thesis examines the empirical performance of four Affine Jump Diffusion models in pricing and hedging S&P 500 Index options: the Black Scholes (BS) model, Heston???s Stochastic Volatility (SV) model, a Stochastic Volatility Price Jump (SVJ) model and a Stochastic Volatility Price-Volatility Jump (SVJJ) model. The SVJJ model structure allows for simultaneous jumps in price and volatility processes, with correlated jump size distributions. To the best of our knowledge this is the first empirical study to test the hedging performance of the SVJJ model. As part of our research we derive the S

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12

Merino, Fernández Raúl. "Option Price Decomposition for Local and Stochastic Volatility Jump Diffusion Models." Doctoral thesis, Universitat de Barcelona, 2021. http://hdl.handle.net/10803/671682.

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In this thesis, an option price decomposition for local and stochastic volatility jump diffusion models is studied. On the one hand, we generalise and extend the Alòs decomposition to be used in a wide variety of models such as a general stochastic volatility model, a stochastic volatility jump dffusion model with finite activity or a rough volatility model. Furthermore, we note that in the case of local volatility models, speci_cally, spot-dependent models, a new decomposition formula must be used to obtain good numerical results. In particular, we study the CEV model. On the other hand, we

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13

Letifi, Nourdine. "Politique optimale d'investissement et d'emploi d'une firme : Une approche par les options réelles." Phd thesis, Université de Cergy Pontoise, 2013. http://tel.archives-ouvertes.fr/tel-00947713.

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Le premier chapitre est une présentation des principaux concepts et résultatsconcernant la finance d'entreprise à la lumière de certains développementsrécents de l'économie du travail.Le deuxième chapitre vise à établir les propriétés d'optimalité concernantl'investissement et l'embauche d'une entreprise dans le cadre de lamaximisation d'une utilité linéaire.Le troisième chapitre traite de la problématique (éventuelle) du désinvestissementet du licenciement. Nous étudions en particulier les problèmesde la prise de décision optimale du dirigeant faisant face soit à une croissancedu marché, soit

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14

Cheng, Mingliang. "Corporate valuation and optimal operation under liquidity constraints." Thesis, University of Manchester, 2016. https://www.research.manchester.ac.uk/portal/en/theses/corporate-valuation-and-optimal-operation-under-liquidity-constraints(9dbf048a-87e0-434d-aac5-b5bd6b6963c8).html.

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We investigate the impact of cash reserves upon the optimal behaviour of a modelled firm that has uncertain future revenues. To achieve this, we build up a corporate financing model of a firm from a Real Options foundation, with the option to close as a core business decision maintained throughout. We model the firm by employing an optimal stochastic control mathematical approach, which is based upon a partial differential equations perspective. In so doing, we are able to assess the incremental impacts upon the optimal operation of the cash constrained firm, by sequentially including: an opti

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15

Burgos, Sylvestre Jean-Baptiste Louis. "The computation of Greeks with multilevel Monte Carlo." Thesis, University of Oxford, 2014. http://ora.ox.ac.uk/objects/uuid:6453a93b-9daf-4bfe-8c77-9cd6802f77dd.

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In mathematical finance, the sensitivities of option prices to various market parameters, also known as the “Greeks”, reflect the exposure to different sources of risk. Computing these is essential to predict the impact of market moves on portfolios and to hedge them adequately. This is commonly done using Monte Carlo simulations. However, obtaining accurate estimates of the Greeks can be computationally costly. Multilevel Monte Carlo offers complexity improvements over standard Monte Carlo techniques. However the idea has never been used for the computation of Greeks. In this work we answer t

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16

Gong, Ruoting. "Small-time asymptotics and expansions of option prices under Levy-based models." Diss., Georgia Institute of Technology, 2012. http://hdl.handle.net/1853/44798.

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This thesis is concerned with the small-time asymptotics and expansions of call option prices, when the log-return processes of the underlying stock prices follow several Levy-based models. To be speciﬁc, we derive the time-to-maturity asymptotic behavior for both at-the-money (ATM), out-of-the-money (OTM) and in-the-money (ITM) call-option prices under several jump-diﬀusion models and stochastic volatility models with Levy jumps. In the OTM and ITM cases, we consider a general stochastic volatility model with independent Levy jumps, while in the ATM case, we consider the pure-jump CGMY model

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17

Ben, Jazia Abderrahim. "Flexible public private partnerships : a real-option-based optimization approach." Thesis, Aix-Marseille, 2017. http://www.theses.fr/2017AIXM0176/document.

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Les Partenariats Publics Privés (PPPs) peuvent être un outil efficace pour optimiser et moderniser la commande publique dans un contexte où les besoins en investissement public ne cessent d’accroître. Les fréquences importantes de renégociation et les difficultés à estimer correctement les revenus futurs demeurent un défi majeur lors de la structuration financière des PPPs. Ce travail propose d’incorporer des clauses financières flexibles afin de remédier à ce problème. L’approche développée se base sur les théories d’options réelles et d’optimisation multi-objectif. Dans un premier temps, une

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18

Amaral, Amaury de Souza. "Avaliação de empresas em condição de incerteza." Pontifícia Universidade Católica de São Paulo, 2008. https://tede2.pucsp.br/handle/handle/1692.

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Made available in DSpace on 2016-04-25T18:40:30Z (GMT). No. of bitstreams: 1 Amaury de Souza Amaral.pdf: 4071869 bytes, checksum: d9dc83b1b016fbb7b489442f44ce1071 (MD5) Previous issue date: 2008-05-26<br>In this work, one presents different enterprise valuation models and approaches, like the discounted free cash flow, the EVA model and all the way up to more recent option pricing theory of applied equity capital valuation. This last theory (options pricing theory) is believed to be the best theory that better qualifies the value of an enterprise. It is based on the premises that the enterpr

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19

Dakessian, Leon Chant. "Estratégia e opções reais: fatores determinantes do valor e variabilidade das opções de crescimento das firmas." reponame:Repositório Institucional do FGV, 2010. http://hdl.handle.net/10438/4908.

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Made available in DSpace on 2010-04-20T20:15:06Z (GMT). No. of bitstreams: 1 61080100005.pdf: 995968 bytes, checksum: 5965a1eae5614cf30474fda5b8ad7a13 (MD5) Previous issue date: 2010-02-26T00:00:00Z<br>Pesquisas que integram as teorias de estratégia e opções reais sugerem que firmas podem ser vistas sob a perspectiva de um portfólio de oportunidades a serem capturadas no futuro, de forma que recursos, capacitações e processos organizacionais devem ser combinados visando a sua otimização. Firmas diferem entre si quanto a esta capacidade de otimização e esta heterogeneidade, adicionada aos e

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20

Hahn, Warren Joseph Dyer James S. "A discrete-time approach for valuing real options with underlying mean-reverting stochastic processes." 2005. http://repositories.lib.utexas.edu/bitstream/handle/2152/1560/hahnw57343.pdf.

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21

Hahn, Warren Joseph. "A discrete-time approach for valuing real options with underlying mean-reverting stochastic processes." Thesis, 2005. http://hdl.handle.net/2152/1560.

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22

"A closed-form option pricing model on co-integrated assets with stochastic volatilities." 2010. http://library.cuhk.edu.hk/record=b5894475.

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23

Marshall, Jean-Pierre. "Stochastic volatility modeling of the Ornstein Uhlenbeck type : pricing and calibration." Thesis, 2010. http://hdl.handle.net/10210/3033.

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24

"Esscher transform of option pricing on a mean-reverting asset with GARCH." 2011. http://library.cuhk.edu.hk/record=b5894800.

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Gao, Fei.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2011.<br>Includes bibliographical references (leaves 52-53).<br>Abstracts in English and Chinese.<br>Chapter 1 --- Introduction --- p.1<br>Chapter 1.1 --- Option Pricing with GARCH --- p.1<br>Chapter 1.2 --- Mean Reversion in GARCH --- p.3<br>Chapter 1.3 --- Thesis Setting --- p.4<br>Chapter 2 --- Literature Review --- p.5<br>Chapter 2.1 --- GARCH Model --- p.5<br>Chapter 2.2 --- Locally Risk-Neutral Valuation --- p.8<br>Chapter 2.3 --- Conditional Esscher Transform --- p.9<br>Chapter 3 --- The Model --- p.12<br>Chapter 3

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25

"Mean-reverting assets with mean-reverting volatility." 2008. http://library.cuhk.edu.hk/record=b5893757.

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Lo, Yu Wai.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2008.<br>Includes bibliographical references (leaves 66-70).<br>Abstracts in English and Chinese.<br>Chapter 1 --- Introduction --- p.1<br>Chapter 2 --- Literature Review --- p.8<br>Chapter 2.1 --- Mean-reverting Model --- p.8<br>Chapter 2.2 --- Volatility Smile --- p.11<br>Chapter 2.3 --- Stochastic Volatility Model --- p.13<br>Chapter 2.4 --- Multiscale Stochastic Volatility Model --- p.15<br>Chapter 3 --- The Heston Stochastic Volatility --- p.17<br>Chapter 3.1 --- The Model --- p.17<br>Chapter 3.1.1 --- The Character

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26

Schreiter, Maximilian. "Stochastic, option-based models and optimal decisions in corporate finance." 2019. https://slub.qucosa.de/id/qucosa%3A74492.

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This cumulative dissertation extends the literature strand on dynamic trade-off models in corporate finance. While Kane et al. (1984) and Fischer et al. (1989) have been probably first in developing dynamic trade-off models incorporating the effects of debt financing, it was Leland (1994) that really started the contingent claims revolution in corporate finance (Strebulaev and Whited, 2011, p. 25). Over the last 25 years, a whole strand of literature extended Leland's basic model to shed light on various financial decisions. To just provide some examples: Goldstein, Ju, and Leland (2001) based

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27

Huang, Xin. "Financial Market Volatility and Jumps." Diss., 2007. http://dukespace.lib.duke.edu/dspace/bitstream/10161/194/1/D_Huang_Xin_a_052007.pdf.

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28

Barr, Drew. "Stochastic Dynamic Optimization of Cut-off Grade in Open Pit Mines." Thesis, 2012. http://hdl.handle.net/1974/7180.

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Mining operations exploit mineral deposits, processing a portion of the extracted material to produce salable products. The concentration of valuable commodities within these deposits, or the grade, is heterogeneous. Not all material has sufficiently high grades to economically justify processing. Cut-off grade is the lowest grade at which material is considered ore and is processed to create a concentrated commodity product. The choice of cut-off grade at a mining project can be varied over time and dramatically impacts both the operation of the mine and the economics of the project. The majo

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29

El-Khatib, Mayar. "Highway Development Decision-Making Under Uncertainty: Analysis, Critique and Advancement." Thesis, 2010. http://hdl.handle.net/10012/5741.

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While decision-making under uncertainty is a major universal problem, its implications in the field of transportation systems are especially enormous; where the benefits of right decisions are tremendous, the consequences of wrong ones are potentially disastrous. In the realm of highway systems, decisions related to the highway configuration (number of lanes, right of way, etc.) need to incorporate both the traffic demand and land price uncertainties. In the literature, these uncertainties have generally been modeled using the Geometric Brownian Motion (GBM) process, which has been used extens

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