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.

Management decision-making in nursing

This study developed a new, valid and reliable evaluation instrument to measure the level, type and pattern of management decisions of fifteen nursing students. The management decision score achieved using this instrument was correlated with two psychological determinants of management decision making: creativity and problem-solving ability. The instrument was a written patient management problem in case format, answered by a free form written response. The student responses were classified for type of management decision according to the sub-categories of technical, inter-personal, environmental and unique. Using statistical analysis a significant difference was found in the type of management decisions most frequently selected by the study sample. The students predominantly selected technical type decisions. This preference for one type of management decision may be due to a number of psychological and environmental factors. These factors may program and mold the type of management decisions student nurses make early in their career. Low but positive correlations were found between the total management score and the two psychological tests. This finding supports the authors cited in the literature who state that although creativity augments the type of management decision making, it is not present or encouraged widely in the nursing profession. These factors are worth considering when the profession becomes concerned over ritualization and lack of individuality in patient care. The tool is easy to administer, lends itself to a variety of professional settings and shows promise with further refinement for computer application.

Interactions of onion (Allium cepa) and yellow wax bean (Phaseolus vulgaris) in monoculture and intercropping with weeds, Chenopodium album and Amaranthus hybridus

Intercropping systems are seen as advantageous as they can provide higher crop yield and diversity along with fewer issues related to pests and weeds than monocultures. However, plant interactions in intercropped crop species and between crops and weeds in these systems are still not well understood. The main objective of this study was to investigate interactions between onion (Allium cepa) and yellow wax bean (Phaseolus vulgaris) in monocultures and intercropping with and without the presence of a weed species, either Chenopodium album or Amaranthus hybridus. Another objective of this study was to compare morphological traits of C. album from two different populations (conventional vs. organic farms). Using a factorial randomized block design, both crop species were planted either in monoculture or intercropped with or without the presence of one of the two weeds. The results showed that intercropping onion with yellow wax bean increased the growth of onion but decreased the growth of yellow wax bean when compared to monocultures. The relative yield total (RYT) value was 1.3. Individual aboveground dry weight of both weed species under intercropping was reduced about 5 times when compared to the control. The poor growth of weeds in intercropping might suggest that crop diversification can help resist weed infestations. A common garden experiment indicated that C. album plants from the conventional farm had larger leaf area and were taller than those from the organic farm. This might be associated with specific evolutionary adaptation of weeds to different farming practices. These findings contribute to the fundamental knowledge of crop-crop interactions, crop-weed competition and adaptation of weeds to various conditions. They provide insights for the management of diversified cropping systems and integrated weed management as practices in sustainable agriculture.