Abstract
Original language  English 

Qualification  Doctor of Philosophy 
Awarding Institution 

Supervisors/Advisors 

Place of Publication  Tilburg 
Publisher  
Publication status  Published  2015 
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Essays on asset pricing. / Nazliben, Kamil.
Tilburg : CentER, Center for Economic Research, 2015. 111 p.Research output: Thesis › Doctoral Thesis › Scientific
TY  THES
T1  Essays on asset pricing
AU  Nazliben, Kamil
PY  2015
Y1  2015
N2  The dissertation consists of three chapters that represent separate papers in the area of asset pricing. The ﬁrst chapter studies investors optimal asset allocation problem in which mean reversion in stock prices is captured by explicitly modeling transitory and permanent shocks. The second chapter focuses on option pricing with stochastic dividend yield. In this work, we present an option formula which does not depend on the dividend yield risk premium. In the ﬁnal chapter, we work on commodity derivative pricing under the existence of stochastic convenience yield. In this paper, we discuss a Gaussian complete market model of commodity prices in which the stochastic convenience yield is assumed to be an affine function of a weighted average of past commodity price changes.
AB  The dissertation consists of three chapters that represent separate papers in the area of asset pricing. The ﬁrst chapter studies investors optimal asset allocation problem in which mean reversion in stock prices is captured by explicitly modeling transitory and permanent shocks. The second chapter focuses on option pricing with stochastic dividend yield. In this work, we present an option formula which does not depend on the dividend yield risk premium. In the ﬁnal chapter, we work on commodity derivative pricing under the existence of stochastic convenience yield. In this paper, we discuss a Gaussian complete market model of commodity prices in which the stochastic convenience yield is assumed to be an affine function of a weighted average of past commodity price changes.
M3  Doctoral Thesis
T3  CentER Dissertation Series
PB  CentER, Center for Economic Research
CY  Tilburg
ER 