Sökning: "Option contracts"

Visar resultat 1 - 5 av 20 avhandlingar innehållade orden Option contracts.

1. 1. Finance and Supply Chain Management : Coordination of a Dyadic Supply Chain through Application of Option Contracts

   Författare :Katarina Eriksson; Christopher von Koch; Ola Nilsson; Håkan Locking; Verena Hagspiel; Linnéuniversitetet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Quantitative case study; Option contracts; Modelling; Supply chain flexibility; Bilateral coordination; Finance and Supply Chain Management;

   Sammanfattning : The purpose of this dissertation is to study the relationship between dyadic supply chain flexibility and dyadic supply chain profitability.In today’s global environment, competition is no longer limited to companies but has evolved to supply chains. LÄS MER

3. 2. Semi-Markov Models for Insurance and Option Rewards

   Författare :Fredrik Stenberg; Dmitrii Silvestrov; Kimmo Eriksson; Nikolaos Limnios; Mälardalens högskola; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; semi-Markov process; discrete time; insurance; actuarial; higher order reward; disability; variance; skewness; kurtosis; reward process; stochastic volatility; controlling semi-Markov process; Monte Carlo algorithm; convergence; optimal stopping; skeleton approximation; regime switching; semi-Markov modulated; European option; American option; Lévy process.; MATHEMATICS; MATEMATIK; Matematik tillämpad matematik;

   Sammanfattning : This thesis presents studies of semi-Markov models for insurance and option rewards. The thesis consists of the introduction and six papers. The introduction presents the results of the thesis in an informal way.In paper A, a general semi-Markov reward model is presented. LÄS MER

4. 3. Option Pricing and Bayesian Learning

   Författare :Ola Jönsson; Nationalekonomiska institutionen; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; ekonomisk politik; ekonomiska system; ekonomisk teori; ekonometri; Bayesian learning; Volatility smile; Economics; Polya urn model; economic theory; econometrics; economic systems; Nationalekonomi; economic policy; Finansiering; Financial science;

   Sammanfattning : This thesis consists of three chapters devoted to both empirical and theoretical aspects of option pricing. The first chapter investigates the market for European options on the Swedish OMX index using daily data for the period 1993-2000. LÄS MER

5. 4. Valuation and hedging of long-term asset-linked contracts

   Författare :Henrik Andersson; Handelshögskolan i Stockholm; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

   Sammanfattning : The five essays in this dissertation are all concerned with how commodity price uncertainty affects the valuation of real and financial assets.  Focusing on the stochastic process approximating the price process of the commodity, a time-inhomogeneous mean reverting process is suggested and used in the valuation of a pulp mill. LÄS MER

7. 5. Three Essays on Electricity Spot and Financial Derivative Prices at the Nordic Power Exchange

   Författare :Daniel Deng; Göteborgs universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nord Pool; market efficiency; cointegration; rational expectation competitive storage model; BDS test; Hsiehâ??s third order moment test; nonlinear causality; EGARCH; convenience yield; call option;

   Sammanfattning : Essay I examines the market efficiency issues at the Nord Pool power exchange in the September 1995 - July 2002 period. A unique characteristic of this electricity exchange is the high hydropower proportion in the traded electricity; water in the hydro reservoir acting as hydropower inventory therefore plays an important role in the pricing of electricity. LÄS MER