| LDR | | 02372nam u200433 4500 |
| 001 | | 000000418092 |
| 005 | | 20190215162554 |
| 008 | | 181129s2018 |||||||||||||||||c||eng d |
| 020 | |
▼a 9780438174238 |
| 035 | |
▼a (MiAaPQ)AAI10824225 |
| 035 | |
▼a (MiAaPQ)washington:18509 |
| 040 | |
▼a MiAaPQ
▼c MiAaPQ
▼d 247004 |
| 082 | 0 |
▼a 330 |
| 100 | 1 |
▼a Sanford, Anthony. |
| 245 | 10 |
▼a Essays in Asset Pricing: Extensions and Applications of the Recovery Theorem. |
| 260 | |
▼a [S.l.]:
▼b University of Washington.,
▼c 2018. |
| 260 | 1 |
▼a Ann Arbor:
▼b ProQuest Dissertations & Theses,
▼c 2018. |
| 300 | |
▼a 123 p. |
| 500 | |
▼a Source: Dissertation Abstracts International, Volume: 79-12(E), Section: A. |
| 500 | |
▼a Advisers: Mu-Jeung Yang |
| 502 | 1 |
▼a Thesis (Ph.D.)--University of Washington, 2018. |
| 520 | |
▼a 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. |
| 520 | |
▼a 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 |
| 520 | |
▼a 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 |
| 520 | |
▼a 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 |
| 590 | |
▼a School code: 0250. |
| 650 | 4 |
▼a Economics. |
| 650 | 4 |
▼a Finance. |
| 690 | |
▼a 0501 |
| 690 | |
▼a 0508 |
| 710 | 20 |
▼a University of Washington.
▼b Economics. |
| 773 | 0 |
▼t Dissertation Abstracts International
▼g 79-12A(E). |
| 773 | |
▼t Dissertation Abstract International |
| 790 | |
▼a 0250 |
| 791 | |
▼a Ph.D. |
| 792 | |
▼a 2018 |
| 793 | |
▼a English |
| 856 | 40 |
▼u http://www.riss.kr/pdu/ddodLink.do?id=T14998642
▼n KERIS
▼z 이 자료의 원문은 한국교육학술정보원에서 제공합니다. |
| 980 | |
▼a 201812
▼f 2019 |
| 990 | |
▼a ***1012033 |