Sharif Digital Repository

The main question of this thesis is if and to what extent does the Social Security retirement benefits cause early retirement. This is important because the more individuals are willing to retire earlier, the larger are the Social Security liabilities to pay the retirement benefts, and also it means that more people are leaving the labor force, hence a lower labor force participation. The research was conducted on a sample of men extracted from the Social Security Or-ganization data sets, employing Option Value and Peak Value models to estiamte a binary choice model. The results indicate that Social Security (in the form of retirement benefits) have a significant effect on retirement ... 

The Real Option Theory (ROT) offers a modern methodology for the valuation of an investment project because it considers the value of managerial flexibility facing project uncertainties. The present work seeks to study the Expand and Swich options value for a polymer plant investment project. Perhaps the most critical step of ROT is the estimation of the project volatility. This work also makes an effort to estimate the project volatility in different cases considering different possibilities of modeling the uncertain variables. The main uncertain variables that can positively affect the project value are the price of the raw material, the price of the product and the demand growth of the... 

In the past decades, option pricing has become one of the major areas in modern financial theory and practice. The Black-Scholes-Merton method is a type of option pricing, which is an appropriate and very important model in financial markets due to the pricing process under the assumption of no arbitrage and the recognition of the appropriate discount rate.Inspite of its advantages, this model is not appropriate for pricing the options which need to be investigated before the maturity.To overcome this limitation, some discrete extension of Black Scholes model were introduced such as binomial and trinomial trees.In all of these models during the contract period, volatility is considered... 

Till today types of demand response program have been identified as one of the most effective and usefull programs in order to the energy efficient consumption and followed by, improving the network's reliability. Also some of these plans have reduced the risk of the retailers and as much as possible prevent the likely loss of these companies at the high energy tariffs times. The required for doing some of these types of plans is investing on various parts like infrastructure mutual relationships between retailers and customer and also smart meters which will require valuation. Till now so many various ways have been done for valuation on types of demand response program plans. This thesis... 

Nowadays, considering intense competition and the need for continuous improvement in organizations, research and development projects have attracted the attention of many organizations. Due to the intense competition and turbulence in the competitive market, there is a need for flexibility in the strategic decisions. In this thesis, we introduce a systematic framework for executive decision making within a strategic planning framework using the real options valuation method. This two-stage model first takes value of strategic projects in different periods considering the market effects of using the real options opportunity approach. Then the effect of this selection on all the options is... 

Real option is one of most promising and crucial concepts in corporate valuation and budgeting process. They are very similar to financial options except that their intrinstic values are calculated based on a company’s practical flexibilities rather than financial contracts. Most previous publications in this field are related to upstream sectors of oil, gas, or mining as well as high-tech industries. The application of this concept in chemical industries has been poorly investigated, and the majority of those limited number of papers have evaluated real options in down-stram sectors. Thus, the application of real options in midstream parts of chemical industry was not thoroughly... 

In this thesis, we apply robust optimization to analyze the uncertainty of model parameters of a portfolio optimization which contains stock options. We also develop two robust counterpart models for single period and multiperiod problems. By assuming that the probability distribution of parameters is not known, their uncertainty is considered to lie within known linear intervals. Due to the existence of nonlinear relations (piecewise linear) between uncertain data (stock and option price), we present an over-conservative robust model to make the solution feasible for all parameters. However in the second model by adopting a different approach we develop a robust counterpart model with... 

In this thesis, three popular option pricing models, Black and Scholes Model, Heston Model and Bates Model are compared to each other in economic crises situation. We carry out a comparison between different option pricing models based on S&P500 Index options during 2008. First these data are classified regarding to moneyness and maturity time in nine categories and then the performance of the models, exerting two indexes, In Sample performance and Out Of Sample performance are compared in every category. To reach the prices via In Sample performance index, structural parameters of each model are estimated with the data of each day. Then, daily prices are computed by models and compared with... 

In this study, we introduce a systematic approach for valuation of Technology development projects by applying a discrete model of real options valuation. This framework is then applied to a real technology development project. The estimate of volatility is the most important argument that it is difficult to calculate. Data from the project’s feasibility study is gathered and classified in an appropriate format to be ready for simulation. Then uncertainty parameters are identified. The data is separated and their impacts on annual cash flows are considered. Volatility of the whole project is estimated to be relatively high. This is an advantage for the proposed method. In this project,... 

In this thesis, by applying real option mechanism a model is proposed in order to make the best decision regarding the possible implementation of projects development of a hospital department. Due to the specific circumstances of the health systems, this model considers several uncertainties. Queuing theory is used to detect system uncertainties and define suitable projects. We evaluate the projects financially within the hospital budget. Then simulation technique also will be used to finally select the projects that have the greatest improvement on the system performance. In this study, two real-option models are developed to evaluate two projects to be implemented in the hospital. The... 

Iran has the third largest reservoirs of oil and the second largest reservoirs of gas and has the greatest hydrocarbon reservoirs worldwide. Considering the fact that production of oil is highly dependent on gas injection, Iran is facing a great challenge in determining proper strategy for consuming natural gas. Due to the lack of proper strategy form the point of view of economical as well as scientific evaluation in political and social aspects, it has resulted in weakening Iran’s place in international markets and also reduction of oil wells’ productions.In this study, after a review of relevant literature, characteristics of oil and gas projects effective on modeling them were... 

In this thesis, we will examine the issue of managing airlines' income and determining the appropriate policies for storing accommodation for different classes in the seats of a flight. Most airlines use a nesting structure to allocate seats, in which access between classes is possible, but only the higher class can access all the seats in the subclass. It is assumed that this structure and allocation process increase company revenue, but the problem is that the chances of staying in the seat will increase in the hope of higher demand and higher risk of corporate income reduction.With the goal of providing a way to determine the optimal classroom dynamically, this study, for the first... 

Reinforcement Learning (RL) is a branch of machine learning that tries to improve agent’s behaviour through interaction with environment and receiving reinforcement signal. As the size of environment increases, decision-making would be more difficult and learning time will increase. On of the main approaches for decreasing learning complexity is to define skills. Skill is a behavioural unit consists of primitive actions. Humans learn and use a lot of skills in their life. Walking, eating, passing the door to reach kitchen and going to airport for travelling are examples of such skills that humans utilize them for daily activities. Agent can learn skills once and then uses them in other... 

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... 

Modeling and simulating accurate patterns which are adapted to our real world is a hard and complicated task. The most important thing for these models is finding any explicite solution, or, finding any solution that is precise as much as possible. The knowledge of financial mathematics by gathering several sciences such as: probabilities, stochastic analysis, numerical analysis, and stochastic differential equations, attempt to determine such exact solutions, or, try to appoximate the explicit answers as precise as possible; in the world of financial trades and contracts. Moreover; one of the most important requirements to control the risk of these financial cotracts, and, then to optimize... 

Nowadays the evaluation startups has been difficult and this problem increases the likelihood of misunderstanding price of company's stock. Companies need precise evaluation in different steps of their development. during fund-raising, To make the investors’ share determine, the value of companies should be calculated because the investors’ share equals the ratio of new investment to the value of company after investment. Besides, during the merge or possession of a company, to determine the value of the deal or the share of the dealers, we need to evaluate value of the company. to evaluate the Intrinsic value of company, we need to know potential revenue streams, financial statements, the...