Essays on option pricing under alternative one-dimensional diffusions

Essays on Option Pricing under Alternative One-Dimensional Diffusions Given its analytical attractiveness, the process most commonly used in the financial and real options literature is the geometric Brownian motion. However, this assumption embodies some unrealistic implications for the dynamical behavior of the underlying asset price. To overcome this issue, alternative stochastic processes have been considered in the valuation of financial and real options. This thesis examines financial and real options using alternative one-dimensional diffusions, namely the constant elasticity of variance (CEV) and mean-reverting CEV diffusions. This thesis has two main purposes. First, it derives closed-form solutions for computing Greeks of European-style options under both the CEV and CIR (Cox, Ingersoll and Ross) models. Second, it analyzes the optimal entry and exit policy of a firm in the presence of output price uncertainty and costly reversibility of investment under a generalized class of one-dimensional diffusions and shows how the hysteretic band is affected; **** Resumo: Ensaios sobre a Avaliação de Opções sob Difusões Unidimensionais Alternativas Na avaliação de opções financeiras e reais, o processo mais utilizado na literatura ´e o movimento Browniano geométrico. Contudo, esta suposição ao incorpora algumas implicações irrealistas para o comportamento dinâmico do preço do activo subjacente. Para ultrapassar estas limitações, têm sido considerados processos estocásticos alternativos para a avaliação de opções financeiras e reais. Esta tese analisa opções, financeiras e reais, utilizando difusões unidimensionais alternativas, nomeadamente as difusões elasticidade constante da vari ˆancia (CEV - constant elasticity of variance) e CEV com reversão `a média. Esta tese tem dois objectivos principais. Primeiro, derivar soluções analíticas para calcular as letras gregas de opções de tipo Europeu para os modelos CEV e CIR (Cox, Ingersoll e Ross). Segundo, analisar a política óptima de entrada e de saída de uma empresa na presença de incerteza no prec¸o do output e de reversibilidade dos custos de investimento, para uma classe generalizada de difusões unidimensionais, e mostrar a influência sobre a banda de histerese económica

As determinantes da implantação do inventário permanente em Portugal: um estudo empírico

O Decreto-lei n.º 79/2003, de 23 de Abril, aperfeiçoa o Decreto-lei n.º 44/99, de 12 de Fevereiro, ambos foram emitidos pelo Ministério das Finanças de Portugal, e determinam, por razões de gestão, a obrigatoriedade da adopção do inventário permanente a um vasto conjunto de empresas portuguesas, dos sectores comercial, serviços ou industrial. Pressupõem, ex-ante, que a aplicação do supracitado inventário permite a determinação directa do custo das vendas, o aperfeiçoamento do sistema de controlo interno e a melhoria da qualidade da informação financeira, facilitando, igualmente, o processo conducente à auditoria das contas e, contribui, também, para minimizar a evasão fiscal, tornando mais fidedigno o sistema contributivo e, consequentemente, mais credível o processo de determinação do lucro real. Criou, inclusivamente, no Estatuto dos Benefícios Fiscais (art.º 51º), uma medida pedagógica incentivadora da adopção voluntária do inventário permanente, consubstanciada numa majoração de 1,3 do valor da dotação para depreciação de existências, calculado nos termos do Código do Imposto sobre o Rendimento das Pessoas Colectivas (IRC). Com este largo espectro de vantagens e, à partida, sem inconvenientes, interrogamo-nos por que razão a maioria das empresas portuguesas ainda não adoptou semelhante tipo de inventário, apesar de, por lei, ser obrigatório. Neste contexto, é objectivo deste trabalho analisar, não o efeito positivo da adopção do inventário permanente na melhoria das demonstrações financeiras, mas sim, tentar modelizar o comportamento dos gestores e outros agentes incluídos no processo de produção e divulgação da informação financeira, bem como de outros factores determinantes na adopção de semelhante medida de controlo interno. Recorremos, por isso, à concepção de um inquérito que distribuímos por cerca de 200 empresas, sujeitas a Revisão Legal das Contas, de que resultou a elaboração de um modelo de regressão logística capaz de explicar o comportamento dos intervenientes no processo de produção e prestação de contas

The (Re)emergence of Cercarial Dermatitis, Its Dynamics, and Impact in Europe

Funding Information: This study was financially supported by Portuguese Foundation for Science and Technology for funds to GHTM\u2014UID/04413/2020 and LA-REAL\u2014LA/P/0117/2020 and Project PTDC-2022.01349. Publisher Copyright: © 2024 by the authors.Cercarial dermatitis (CD), or “Swimmer’s itch” as it is also known, is a waterborne illness caused by a blood fluke from the family Schistosomatidae. It occurs when cercariae of trematode species that do not have humans as their definitive host accidentally penetrate human skin (in an aquatic environment) and trigger allergic symptoms at the site of contact. It is an emerging zoonosis that occurs through water and is often overlooked during differential diagnosis. Some of the factors contributing to the emergence of diseases like CD are related to global warming, which brings about climate change, water eutrophication, the colonization of ponds by snails susceptible to the parasite, and sunlight exposure in the summer, associated with migratory bird routes. Therefore, with the increase in tourism, especially at fluvial beaches, it is relevant to analyze the current epidemiological scenario of CD in European countries and the potential regions at risk.publishersversionpublishe

Entry and Exit Decisions under Uncertainty for a Generalized Class of One-Dimensional Diffusions

Abstract We consider the optimal entry and exit policy of a firm in the presence of output price uncertainty and costly reversibility of investment under a generalized class of one-dimensional diffusions accommodating different drift and volatility specifications. This will allow us to analyze how output price uncertainty and costly reversibility affects the optimal entry and exit policy of a competitive price-taking firm, and how the hysteretic band is affected by the choice of the appropriate stochastic process

Pricing and hedging bond options and sinking-fund bonds under the CIR model

This article derives simple closed-form solutions for computing Greeks of zero-coupon and coupon-bearing bond options under the CIR interest rate model, which are shown to be accurate, easy to implement, and computationally highly e cient. These novel analytical solutions allow us to extend the literature in two other directions. First, the static hedging portfolio approach is used for pricing and hedging American-style plain-vanilla zero-coupon bond options under the CIR model. Second, we derive analytically the comparative static properties of sinking-fund bonds under the same interest rate modeling setup.Manuela Larguinho and Carlos A. Braumann belong to the research center CIMA (Centro de Investigação em Matemática e Aplicações, Instituto de Investigação e Formação Avançada, Universidade de Évora), supported by FCT (Fundação para a Ciência e a Tecnologia, Portugal), project UID/04674/2020. José Carlos Dias belongs to the Business Research Unit (BRU-IUL) and acknowledges the support provided by FCT [grant number UIDB/00315/2020]

As determinantes da implantação do inventário permanente em Portugal: um estudo empírico

O Decreto-lei n.º 79/2003, de 23 de Abril, aperfeiçoa o Decreto-lei n.º 44/99, de 12 de Fevereiro, ambos foram emitidos pelo Ministério das Finanças de Portugal, e determinam, por razões de gestão, a obrigatoriedade da adopção do inventário permanente a um vasto conjunto de empresas portuguesas, dos sectores comercial, serviços ou industrial. Pressupõem, ex-ante, que a aplicação do supracitado inventário permite a determinação directa do custo das vendas, o aperfeiçoamento do sistema de controlo interno e a melhoria da qualidade da informação financeira, facilitando, igualmente, o processo conducente à auditoria das contas e, contribui, também, para minimizar a evasão fiscal, tornando mais fidedigno o sistema contributivo e, consequentemente, mais credível o processo de determinação do lucro real. Criou, inclusivamente, no Estatuto dos Benefícios Fiscais (art.º 51º), uma medida pedagógica incentivadora da adopção voluntária do inventário permanente, consubstanciada numa majoração de 1,3 do valor da dotação para depreciação de existências, calculado nos termos do Código do Imposto sobre o Rendimento das Pessoas Colectivas (IRC). Com este largo espectro de vantagens e, à partida, sem inconvenientes, interrogamo-nos por que razão a maioria das empresas portuguesas ainda não adoptou semelhante tipo de inventário, apesar de, por lei, ser obrigatório. Neste contexto, é objectivo deste trabalho analisar, não o efeito positivo da adopção do inventário permanente na melhoria das demonstrações financeiras, mas sim, tentar modelizar o comportamento dos gestores e outros agentes incluídos no processo de produção e divulgação da informação financeira, bem como de outros factores determinantes na adopção de semelhante medida de controlo interno. Recorremos, por isso, à concepção de um inquérito que distribuímos por cerca de 200 empresas, sujeitas a Revisão Legal das Contas, de que resultou a elaboração de um modelo de regressão logística capaz de explicar o comportamento dos intervenientes no processo de produção e prestação de contas.The Decree-law n.º 79/2003, of 23 of April, perfects the Decree-law n.º 44/99, of 12 of February, both had been emitted by the Ministry of the Finances of Portugal, and determine, for management reasons, the obligation of the adoption of the permanent inventory to a vast set of Portuguese companies, of the sectors commercial, services or industrial. They estimate, former-before, that the application of the above-mentioned inventory allows to the determination direct of the cost of sales, the perfectioning of the system of internal control and the improvement of the quality of the financial information, facilitating, equally, the conducive process to the auditorship of the accounts and, contributes, also, to minimize the fiscal evasion, becoming trustworther contribution system and, in consequence, the process of determination of the profit Real. It created, inclusively, in the Statute of the Tax benefits (art.º 51º), an pedagogical measure of the voluntary adoption of the permanent inventory, in an increase of 1,3 of the value of the endowment for depreciation of existences, calculated in the terms of the Code of the Tax on the Income (IRC). With this wide specter of advantages and, to the departure, without inconveniences, we interrogate ourselves why reason the majority of the Portuguese companies still did not adoption similar type of inventory, although, for law, obligator being. In this context, he is aim of this work to analyze, not it positive effect of the adoption of the permanent inventory in the improvement of the financial demonstrations, but yes, to try to modeless the enclosed behaviour of the managers and other agents in the production process and spreading of the financial information, as well as of other determinative factors in the adoption of measured fellow creature of internal control. We appeal, therefore, to the conception of an inquiry that we distribute for about 200 companies, citizens the Legal Revision of Accounts, of that the elaboration of a model of logistic regression capable resulted to explain the behaviour of intervening in the process of production and the rendering of accounts

Analysing the Influence of Green Marketing Communication in Consumers’ Green Purchase Behaviour

This study aims to explore whether consumers’ attention to companies’ green marketing communication influences their green purchase behaviour. It also analyses the importance of consumers’ characteristics, namely gender, education, and green attitudes, in their attention to companies’ green marketing communication. An online survey was carried out on the population residing in Portugal over 18 years of age, allowing us to collect 690 valid responses. Data analysis techniques including descriptive analyses, parametric and non-parametric tests, linear correlation, and regression analysis were used. The achieved results allow us to conclude that consumers are attentive to companies’ green marketing communication. A strong correlation between consumers’ attention to companies’ green marketing communication and green purchasing behaviour was identified. The results also confirm that individuals with higher educational levels and green attitudes and females are the most attentive to companies’ green marketing communication

On the computation of option prices and Greeks under the CEV model

Pricing options and evaluating Greeks under the constant elasticity of variance (CEV) model requires the computation of the non-central chi-square distribution function. In this article, we compare the performance, in terms of accuracy and computational time, of alternative methods for computing such probability distributions against an externally tested benchmark. In addition, we present closed-form solutions for computing Greek measures under the unrestricted CEV option pricing model, thus being able to accommodate direct leverage effects as well as inverse leverage effects that are frequently observed in options markets

Analysing the influence of companies' green communication in college students' green purchase behaviour: An application of the extended theory of planned behaviour model

In recent years, there has been a growing concern about the environmental impacts of consumers' behaviour. As this environmental awareness increases, consumers tend to focus more on green products and how purchasing these products represents an effective way to protect the environment. Through the application of the theory of planned behaviour (TPB), in this research, we studied the influence of some key variables on college students' green purchasing behaviour, namely perceived behavioural control, subjective norms, green attitudes, and green purchase intentions. The TPB model was extended to the analysis of the influence of the companies' green communication on students' green purchase behaviour. To achieve the proposed goal, from March to April of 2021, a survey was conducted among the students of a higher education institution (HEI) in Portugal, allowing us to gather 432 valid responses. The findings suggested that all the variables, except the subjective norms, had a positive influence on the students' green purchase intentions. Moreover, it was observed that students' intentions had a positive influence on their green purchase behaviour. This research provides important results not only for policymakers to promote more sustainable behaviours among consumers but also for companies to be more aware of the importance of green communication