ESSAYS IN FINANCIAL THEORY (OPTION PRICING, DEPOSIT INSURANCE)
The dissertation consists of two essays. The first essay studies option pricing in discrete time. It presents an alternative definition of a Risk Neutral Valuation Relationship (RNVR). Conditions are then stated on the joint probability distributions of an asset's final period price and final period total wealth, and investors' utility functions under which RNVRs can be derived for alternative probability distributions. A result from the literature in statistics is then used to characterize the class of probability distributions for which RNVRs can be derived. The second essay examines the feasibility of variable rate deposit insurance schemes for insuring deposits of a bank. The results show that there may be instances when the deposit insuring agency may not be able to receive an actuarially fair rate of return at any level of insurance premium if the bank is allowed to optimally choose its deposit-capital position or the riskiness of its loan portfolio.
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|Authors:||VANKUDRE, PRASHANT PADMAKAR|
|Type of publication:||Other|
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