Essays on asset pricing

  • Kamil Korhan Nazliben Kamil Korhan Nazliben

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 paper, 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. All chapters are joint works with Juan Carlos Rodriguez.

Netspar, Network for Studies on Pensions, Aging and Retirement, is a thinktank and knowledge network. Netspar is dedicated to promoting a wider understanding of the economic and social implications of pensions, aging and retirement in the Netherlands and Europe.


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