Sharif Digital Repository

This paper investigates the interaction between the beneficiaries of an employee stock option plan within a Stackelberg game framework. The beneficiaries are shareholders and employees. In the proposed model, shareholders, as the leaders of the Stackelberg game, determine the optimal features of employee stock option grants. In response, employees, the followers of the proposed Stackelberg game, maximize their own profits by determining their own effort level by considering that every effort level of employees has an associated cost and expected income for employees. It is assumed that the stock price follow Geometric Brownian Motion process with a known drift rate and volatility. Also, it... 

Due¬ to the volatile nature of material prices, projecting highway construction costs are proven to be very difficult, leading to many challenges in cost estimation process. Bid preparations as well as project planning and control processes are also negatively affected by the concerns about the inaccuracy of cost projections. There is a growing body of evidence that suggests the use of inaccurate cost estimate can result in bid loss or profit loss for contractors and hidden price contingencies, delayed or cancelled projects, inconsistency in budgets and unsteady flow of projects for owner organizations. Analysis of historical data indicates that a relationship between construction materials... 

Are the returns of the mineral companies in Tehran Stock Exchange affected by the changes in the commodity price at the Iran Mercantile Exchange? By implementing a Multi-Factor Model we will calculate the firms’ value elasticity to the commodity price changes. We try to explain the estimated elasticities on the basis of the firm’s fundamental variables using a discounted cash flow valuation model. An unbalanced panel data estimation is employed for this purpose. Afterwards, we will suggest a novel model on the ground of the assumption that the commodity prices and firm values follow the Geometric Brownian Motion. The result of the model is that the elasticity can be explained by commodity... 

In this study the predictive power of “Simple Moving Average” simulation for three month horizon is investigated. The purpose of the study is expressed in two hypotheses. The first hypothesis is that there is a significant difference in the prediction of stock price volatility by “Simple Moving Average” simulation with the “Weighted Moving Average” model prediction and the second hypothesis states that using “Weighted Moving Average” model we can forecast volatility stock price for the out-of-sample period. The research data includes a series of total stock price indices from 2013 to 2018 extracted from Tehran Stock Exchange (TSE). For “Weighted Moving Average” model, three normal...