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Essays in Asset Pricing: Extensions and Applications of the Recovery Theorem
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| 자료유형 | 학위논문 |
|---|---|
| 서명/저자사항 | Essays in Asset Pricing: Extensions and Applications of the Recovery Theorem. |
| 개인저자 | Sanford, Anthony. |
| 단체저자명 | University of Washington. Economics. |
| 발행사항 | [S.l.]: University of Washington., 2018. |
| 발행사항 | Ann Arbor: ProQuest Dissertations & Theses, 2018. |
| 형태사항 | 123 p. |
| 기본자료 저록 | Dissertation Abstracts International 79-12A(E). Dissertation Abstract International |
| ISBN | 9780438174238 |
| 학위논문주기 | Thesis (Ph.D.)--University of Washington, 2018. |
| 일반주기 |
Source: Dissertation Abstracts International, Volume: 79-12(E), Section: A.
Advisers: Mu-Jeung Yang |
| 요약 | This thesis has three separate goals: to provide a methodological framework for extracting risk-neutral densities from options prices, to extend the Recovery Theorem (RT) theoretically, and to apply the RT to firm decision making practices. |
| 요약 | The first chapter introduces a new model for estimating the risk-neutral density. Current estimation techniques use a single mathematical model to interpolate option prices on two dimensions: strike price and time-to-maturity (TTM). I demonstrat |
| 요약 | In the second chapter, I redefine the prices derived in Ross's Recovery Theorem using a multivariate Markov chain rather than a univariate one. I employ a mixture transition distribution where the proposed states depend on the level of the S&P 5 |
| 요약 | Finally, in the third chapter, I answer the question: what effect does uncertainty about the aggregate economy have on investment, holding news shocks constant? Recent empirical studies have struggled to answer this question, as times of high ec |
| 일반주제명 | Economics. Finance. |
| 언어 | 영어 |
| 바로가기 | 
: 이 자료의 원문은 한국교육학술정보원에서 제공합니다. |
