Essays on asset pricing

Research output: ThesisDoctoral ThesisScientific

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Abstract

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.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • de Roon, Frans, Promotor
  • Rodriguez, Juan Carlos, Co-promotor
Place of PublicationTilburg
Publisher
Publication statusPublished - 2015

Fingerprint

Asset pricing
Convenience yield
Dividend yield
Commodity prices
Permanent and transitory shocks
Market model
Investors
Complete markets
Price changes
Option pricing
Stock prices
Allocation problem
Optimal asset allocation
Risk premium
Derivative pricing
Commodities
Mean reversion
Modeling

Cite this

Nazliben, K. (2015). Essays on asset pricing. Tilburg: CentER, Center for Economic Research.
Nazliben, Kamil. / Essays on asset pricing. Tilburg : CentER, Center for Economic Research, 2015. 111 p.
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abstract = "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.",
author = "Kamil Nazliben",
year = "2015",
language = "English",
series = "CentER Dissertation Series",
publisher = "CentER, Center for Economic Research",
school = "Tilburg University",

}

Nazliben, K 2015, 'Essays on asset pricing', Doctor of Philosophy, Tilburg University, Tilburg.

Essays on asset pricing. / Nazliben, Kamil.

Tilburg : CentER, Center for Economic Research, 2015. 111 p.

Research output: ThesisDoctoral ThesisScientific

TY - THES

T1 - Essays on asset pricing

AU - Nazliben, Kamil

PY - 2015

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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 -

Nazliben K. Essays on asset pricing. Tilburg: CentER, Center for Economic Research, 2015. 111 p. (CentER Dissertation Series).