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Stochastic Dominance Option Pricing
Af: Stylianos Perrakis Engelsk Hardback
SPAR
kr 286
Stochastic Dominance Option Pricing
Af: Stylianos Perrakis Engelsk Hardback
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.
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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.
Produktdetaljer
Sprog: Engelsk
Sider: 277
ISBN-13: 9783030115890
Indbinding: Hardback
Udgave:
ISBN-10: 3030115895
Udg. Dato: 16 maj 2019
Længde: 0mm
Bredde: 210mm
Højde: 148mm
Oplagsdato: 16 maj 2019
Forfatter(e): Stylianos Perrakis
Forfatter(e) Stylianos Perrakis


Kategori Investering og værdipapirer


Sprog Engelsk


Indbinding Hardback


Sider 277


Udgave


Længde 0mm


Bredde 210mm


Højde 148mm


Udg. Dato 16 maj 2019


Oplagsdato 16 maj 2019

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