Sökning: "asset pricing modeling"

Visar resultat 6 - 9 av 9 uppsatser innehållade orden asset pricing modeling.

  1. 6. Pricing of European Options with Subjective Probability : Ambiguity aversion in the options market during the European sovereign debt crisis

    Master-uppsats, Umeå universitet/Nationalekonomi

    Författare :Simon Edvinsson; [2016]
    Nyckelord :;

    Sammanfattning : This essay develops an option pricing formula where the market participantsare assumed to not follow a uniform approach with respect to uncertainty thatarises under extreme market events. By using a continuous Choquet randomwalk for modeling asset dynamics, as well as including marginal utility, an optionprice kernel is obtained- this is opposed to the unique price that arises inthe standard MMBS framework. LÄS MER

  3. 7. Long-run expected consumption and volatility risk, and the cross-section of asset returns

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Johan Wiksell; Mikael Eidvall; [2013]
    Nyckelord :asset pricing; expected consumption; cross-section of returns; Long-Run Risk; Consumer Sentiment Index;

    Sammanfattning : This paper builds on the Long-Run Risks Framework in the quest of explaining the true nature of risk that drives asset prices. Instead of modeling expected consumption as in past research, we use the forward-looking Michigan Consumer Sentiment Index to proxy innovations in the agent's beliefs about expected consumption growth. LÄS MER

  4. 8. Default Risk in Equity Returns

    Master-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Aracelly Del Carmen Holst; Olena Martynenko; [2010]
    Nyckelord :FACTOR RISK PREMIUM; FACTOR MIMICKING PORTFOLIO; ASSET PRICING; DEFAULT RISK; Management of enterprises; Företagsledning; management; Business and Economics;

    Sammanfattning : Purpose: The current thesis assignment aims to quantitatively verify systematic character of default risk and the statistical quality of the competing three- and four-factor asset pricing models. Method: The experimental design applied to this study is premised on the three-factor model of Fama and French enhanced by default risk factor. LÄS MER

  5. 9. On Stock Index Volatility With Respect to Capitalization

    Magister-uppsats, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

    Författare :Marina Pachentseva; Anna Bronskaya; [2007]
    Nyckelord :GARCH models; Volatility; Heston Model; Index;

    Sammanfattning : Condfidence in the future is a signicant factor for business development. However frequently, accurate and specific purposes are spread over the market environment influence.Thus,it is necessary to make an appropriate consideration of instability, which is peculiar to the dynamic development. LÄS MER