A stochastic dynamic programming approach for pricing options on stock-index futures

The aim of this thesis is to price options on equity index futures with an application to standard options on S&P 500 futures traded on the Chicago Mercantile Exchange. Our methodology is based on stochastic dynamic programming, which can accommodate European as well as American options. The model accommodates dividends from the underlying asset. It also captures the optimal exercise strategy and the fair value of the option. This approach is an alternative to available numerical pricing methods such as binomial trees, finite differences, and ad-hoc numerical approximation techniques. Our numerical and empirical investigations demonstrate convergence, robustness, and efficiency. We use this methodology to value exchange-listed options. The European option premiums thus obtained are compared to Black's closed-form formula. They are accurate to four digits. The American option premiums also have a similar level of accuracy compared to premiums obtained using finite differences and binomial trees with a large number of time steps. The proposed model accounts for deterministic, seasonally varying dividend yield. In pricing futures options, we discover that what matters is the sum of the dividend yields over the life of the futures contract and not their distribution.

Socially Constructed Environmental Issues and Sport: A Content Analysis of Ski Resort Environmental Communications

Due to the impact of sport on the natural environment (UN, 2010), it is important to examine the interplay between environmental issues and sport (Hums, 2010, Mallen & Chard, 2011; Nauright & Pope, 2009; Ziegler, 2007). This research content analyzed 82 ski resort environmental communications (SRECs). These communications were rated for their prominence, breadth, and depth using the delineation of environmental issues provided by the Sustainable Slopes Program (SSP) Charter. This data was compared to the resorts’ degree of environmentally responsible action as rated by the Ski Area Citizens’ Coalition (SACC). An adaptation of Hudson and Miller's (2005) model was then used to classify the ski resorts as inactive, reactive, exploitive, or proactive in their environmental activities. Recommendations have been made for standardization and transparency in environmental disclosures and an environmental management system to aid ski resorts in moving from ad hoc processes to a systematic and comprehensive framework for improving environmental performance.