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Essays in Asset Pricing

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Defense Thèse de doctorat : Univ. Genève, 2018 - GSEM 58 - 2018/06/25
Abstract In my dissertation I develop three important essays in asset pricing. In Chapter 1, I document a dramatic increase in crash risk premia in individual stocks after the 2008/2009 financial crisis, indicating that investors are willing to pay high insurance to hedge against crashes in individual stocks. I theoretically explain this puzzling feature in an economy where investors face short-sale constraints. In Chapter 2 my coauthors and I develop a new efficient numerical methodology to price American options, the Fast Recursive Projection methodology. In Chapter 3 we use this new pricing technique to show that we can rationalize up to 25% of the apparent suboptimal non-exercise of American call options estimated by Pool, Stoll, and Whaley (2008), by allowing a more sophisticated stochastic process for the underlying stock and by taking into account the discrete dividend payments correctly.
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URN: urn:nbn:ch:unige-1060523
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PEDERZOLI, Paola. Essays in Asset Pricing. Université de Genève. Thèse, 2018. doi: 10.13097/archive-ouverte/unige:106052 https://archive-ouverte.unige.ch/unige:106052

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Deposited on : 2018-07-03

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