Search results for "Option"

Pricing of Asian exchange rate options under stochastic interest rates as a sum of options

2002

The aim of the paper is to develop pricing formulas for long term European type Asian options written on the exchange rate in a two currency economy. The exchange rate as well as the foreign and domestic zero coupon bond prices are assumed to follow geometric Brownian motions. The emphasis is devoted to the discretely sampled Asian option. It is shown how the value of this option can be approximated as the sum of Black-Scholes options. The formula is obtained under the extension of results developed by Rogers and Shi (1995) and Jamshidian (1991). In addition bounds for the pricing error are determined. Comparing with Monte Carlo simulation the pricing is found to be very precise.

European Option Pricing and Hedging with Both Fixed and Proportional Transaction Costs

2003

Abstract In this paper we provide a systematic treatment of the utility based option pricing and hedging approach in markets with both fixed and proportional transaction costs: we extend the framework developed by Davis et al. (SIAM J. Control Optim., 31 (1993) 470) and formulate the option pricing and hedging problem. We propose and implement a numerical procedure for computing option prices and corresponding optimal hedging strategies. We present a careful analysis of the optimal hedging strategy and elaborate on important differences between the exact hedging strategy and the asymptotic hedging strategy of Whalley and Wilmott (RISK 7 (1994) 82). We provide a simulation analysis in order …

American Option Pricing and Exercising with Transaction Costs

2005

In this paper we examine the problem of finding the reservation option prices and corresponding exercise policies of American options in a market with proportional transaction costs using the utility based approach proposed by Davis and Zariphopoulou (1995). We present a model where the option holder has a constant absolute risk aversion. We discuss the numerical algorithm and propose a new characterization of the option holder's value function. We suggest original discretization schemes for computing reservation prices and exercise policies of American options. The discretization schemes are implemented for the cases of American put and call options. We present the study of the optimal tra…

La substitution des actions de performance aux stock-options dans la rémunération des dirigeants des sociétés du SBF 120 : analyse du choix des critè…

2019

National audience

Brand image transfer from team to sponsor: how effective is it to sponsor a football team with little success

2019

We propose to explore the influence of success in sports on the effect of image transfer in sponsorship. We analysed three football teams based on their historical ranking. The image transfer does not occur with the less successful team. We conclude that sports sponsors need to reconsider their strategic options to align them with their company goals and to promote a return on investment. An ideal strategy to enhance the brand image would be to sponsor more successful sports teams because it has been shown that those teams that have more victories get greater exposure and therefore the ROI for sponsors increase.

What drives the adoption and consumption of green hotel products and services? A systematic literature review of past achievement and future promises

2021

The current study utilises the time-tested systematic literature review (SLR) method to identify and analyse 76 studies addressing the consumer adoption of green hotels. The results of the research profile analysis show that the literature on consumers' adoption and consumption of green hotel products and services is expanding and gaining more recognition from researchers working in Asian contexts, particularly China, Taiwan and India. Moreover, the qualitative thematic analysis yields four key themes, (a) consumer behaviour variables addressed, (b) antecedents and mediators of green hotel adoption, (c) moderators of the relationship and (d) methodological considerations, for which limitati…

Exploring Innovation Adoption Behavior for Sustainable Development: The Case of Hungarian Food Sector

2020

Innovation plays a key role in the success and sustainable development of businesses. The innovation process derives from the combination of personal skills and company resources that influence food company managers in their choices on innovation (the decision-making process). This study is an attempt to try to understand which psychological constructs affect innovation decision-making in the Hungarian food sector, using the empirical data from a 2017 survey conducted in Hungary among the largest food processing companies. Planned behavior theory (TPB) was applied to the study of factors affecting innovation decision-making. Structural Equation Modeling (SEM) was used for data analysis. The…

Not so different altogether: Putting Lean and sociotechnical design into practice in a process industry

2021

Purpose: The shop-floor organization under lean production (LP) has been hotly debated for about three decades. As this organization concept leaves considerable room for interpretation, the content of lean-inspired changes can vary widely. This paper pleads for a contingency view of how LP is implemented and how the outcomes of lean-inspired changes rely on users’ interpretations of the concept in particular production contexts.Design/methodology/approach: A case study was conducted in two large Norwegian chemical plants. Data from the observations and interviews were supplemented by interviews with top managers in 2017 and 2018. The first author also followed a management audit in one plan…

Pricing Schemes for Emerging Telecommunication Market

2012

La recente riforma della disciplina italiana del subappalto nella prospettiva del bid rigging

2023

L’articolo analizza in chiave critica la disciplina nazionale del subappalto nell’ambito delle gare pubbliche, così come recentemente riformata a seguito di diversi interventi normativi in ottemperanza alla procedura d’infrazione avviata dalla Commissione UE. Stando alla tesi dell’A., l’attuale quadro normativo – caratterizzato dalla quasi totale eliminazione delle limitazioni previgenti (probabilmente anche spingendosi oltre ciò che la Commissione UE ha richiesto) – difetta nel trovare un equo bilanciamento tra il principio della massima partecipazione alla gara, da un lato, e l’esigenza di prevenire e svelare potenziali condotte collusive, dall’altro. La suddetta conclusione, peraltro, ap…