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Stochastic dominance option pricing : an alternative approach to option market research

Author: Stylianos Perrakis
Publisher: Basingstoke : Palgrave Macmillan, 2019.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:

This book illustrates the application of the economic concept of stochastic dominance to option markets and presents an alternative option pricing paradigm to the prevailing no arbitrage simultaneous  Read more...

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Genre/Form: Electronic books
Additional Physical Format: Print version:
Perrakis, Stylianos, 1938-
Stochastic dominance option pricing.
Basingstoke : Palgrave Macmillan, 2019
(OCoLC)1099886047
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Stylianos Perrakis
ISBN: 9783030115906 3030115909
OCLC Number: 1100071524
Description: 1 online resource : illustrations
Contents: Intro; Dedication; Foreword; Preface; References; Contents; List of Figures; List of Tables; Chapter 1: Stochastic Dominance: Introduction; 1.1 Definition; 1.2 Risk and Second-Degree Stochastic Dominance; 1.3 Empirical Applications and Portfolio Selection Under SSD or TSD; 1.4 Empirical Tests of Stochastic Dominance; 1.5 Summary and Conclusions; References; Chapter 2: Stochastic Dominance Option Pricing I: The Frictionless Case; 2.1 SD Option Pricing by Pairwise Comparisons; 2.2 SD Option Pricing: The Linear Programming Approach; 2.3 The Frictionless SD Bounds in Continuous Time for Diffusion Index OptionsEquity Options; 2.4 The Frictionless SD Bounds in Continuous Time for Jump Diffusion I: Index Options; Upper and Lower Bound for Jump Diffusion; Numerical Results; Stochastic Dominance and Equilibrium Option Prices; 2.5 The Frictionless SD Bounds in Continuous Time for Jump Diffusion II: Equity Options; 2.6 An Important Application of Jump Diffusion: Catastrophe (CAT) Derivatives; The Valuation Model for Convex Payoffs Without a CAT Futures Market; Claims with Non-Convex Payoffs but with a CAT Futures Market; Catastrophe (CAT) Bonds and Reinsurance Contracts 2.7 Summary and ConclusionsReferences; Chapter 3: Proportional Transaction Costs: An Introduction; 3.1 No Arbitrage Under Transaction Costs; Replicating Portfolios; Super Replication and the Failure of No Arbitrage; 3.2 Portfolio Selection Under Proportional Transaction Costs; Asset Allocation in Discrete Time; The No Trade Region in Continuous Time for an Infinite Investment Horizon; What Happens When the Horizon Is Finite?; 3.3 Simultaneous Equilibrium in the Underlying and Option Markets; 3.4 Summary and Conclusions; References Chapter 4: Stochastic Dominance Option Pricing II: Option Bounds Under Transaction Costs4.1 European Index Option Bounds Under Transaction Costs; The Upper Bound of a European Call Option and the Lower Bound of a European Put Option; The Lower Bound of a European Call Option; 4.2 American Index Option Bounds Under Transaction Costs; The Upper Bound of an American Index Call Option; The Lower Bound of an American Index Put Option; Bounds on the Prices of American Index Futures Options as in Theorems 5 and 6; The Lower Bound of an American Call Index and Index Futures Option 4.3 Summary and Conclusions4.4 Mathematical Appendix; Proof of Lemma 1; Proof of Theorem 3; Proof of Theorem 4; Proof of Lemma 2; Proof of Theorem 5; Proof of Theorem 6; References; Chapter 5: Stochastic Dominance Option Pricing: Empirical Applications; 5.1 Empirical Applications I: Pricing the Option Cross-Section Under Transaction Costs; 5.2 Empirical Applications II: Individually Mispriced Options Under Transaction Costs; In-Sample Tests on Individual Options' Mispricing; Out-of-Sample Tests of Individual Options' Mispricing
Responsibility: Stylianos Perrakis.

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