rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Stochastic Dominance Option Pricing
    sub title: An Alternative Approach to Option Market Research
  name:
    name part: Perrakis, Stylianos.
    role:
      role term: creator
    role:
      role term: author.
    role:
      role term: aut
    role:
      role term: http://id.loc.gov/vocabulary/relators/aut
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  origin info:
    place:
      place term: gw
    date issued: 2019
    edition: 1st ed. 2019.
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: electronic resource
    reformatting quality: access
    form: remote
    extent: XXIII, 277 p. 19 illus. online resource.
  abstract: 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 equilibrium in the frictionless underlying and option markets. This new methodology was developed primarily by the author, working independently or jointly with other co-authors, over the course of more than thirty years. Among others, it yields the fundamental Black-Scholes-Merton option value when markets are complete, presents a new approach to the pricing of rare event risk, and uncovers option mispricing that leads to tradeable strategies in the presence of transaction costs. In the latter case it shows how a utility-maximizing investor trading in the market and a riskless bond, subject to proportional transaction costs, can increase his/her expected utility by overlaying a zero-net-cost portfolio of options bought at their ask price and written at their bid price, irrespective of the specific form of the utility function. The book contains a unified presentation of these methods and results, making it a highly readable supplement for educators and sophisticated professionals working in the popular field of option pricing. It also features a foreword by George Constantinides, the Leo Melamed Professor of Finance at the Booth School of Business, University of Chicago, USA, who was a co-author in several parts of the book.
  table of contents: 1 Stochastic Dominance: Introduction -- 2 Stochastic Dominance Option Pricing I: The Frictionless Case -- 3 Proportional Transaction Costs: An Introduction -- 4 Stochastic Dominance Option Pricing II: Option Bounds Under Transaction Costs -- 5 Stochastic Dominance Option Pricing: Empirical Applications -- 6 Stochastic Dominance and Further Theoretical and Empirical Option Research -- 7 Conclusions.
  note: by Stylianos Perrakis.
  subject:
    topic: Capital investments
  subject:
    topic: Macroeconomics
  subject:
    topic: Investment Appraisal
  subject:
    topic: Macroeconomics/Monetary Economics//Financial Economics
  classification: HG4028.C4
  classification: 658.154
  related item:
    title info:
      title: Springer eBooks
  identifier: 9783030115906
  identifier: https://doi.org/10.1007/978-3-030-11590-6
  record info:
    record creation date: 190503
    record change date: 20191029235034.0
    record identifier: 978-3-030-11590-6