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Stochastic Dominance Option Pricing

Author

Listed:
  • Stylianos Perrakis

    (Concordia University)

Abstract

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Suggested Citation

  • Stylianos Perrakis, 2019. "Stochastic Dominance Option Pricing," Springer Books, Springer, number 978-3-030-11590-6, September.
    • Handle: RePEc:spr:sprbok:978-3-030-11590-6
    DOI: 10.1007/978-3-030-11590-6
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    Citations

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    Cited by:

    1. George M. Constantinides & Michal Czerwonko & Stylianos Perrakis, 2020. "Mispriced index option portfolios," Financial Management, Financial Management Association International, vol. 49(2), pages 297-330, June.
    2. Brendan K. Beare, 2023. "Optimal measure preserving derivatives revisited," Mathematical Finance, Wiley Blackwell, vol. 33(2), pages 370-388, April.
    3. Brendan K. Beare & Juwon Seo, 2022. "Stochastic arbitrage with market index options," Papers 2207.00949, arXiv.org, revised Jul 2022.
    4. Topaloglou, Nikolas & Tsionas, Mike G., 2020. "Stochastic dominance tests," Journal of Economic Dynamics and Control, Elsevier, vol. 112(C).
    5. Hamed Ghanbari & Michael Oancea & Stylianos Perrakis, 2021. "Shedding light on a dark matter: Jump diffusion and option‐implied investor preferences," European Financial Management, European Financial Management Association, vol. 27(2), pages 244-286, March.
    6. Stylianos Perrakis, 2022. "From innovation to obfuscation: continuous time finance fifty years later," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(3), pages 369-401, September.
    7. Fang, Yi & Post, Thierry, 2022. "Optimal portfolio choice for higher-order risk averters," Journal of Banking & Finance, Elsevier, vol. 137(C).

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