000890237 000__ 04440cam\a2200457Ii\4500
000890237 001__ 890237
000890237 005__ 20230306145917.0
000890237 006__ m\\\\\o\\d\\\\\\\\
000890237 007__ cr\cn\nnnunnun
000890237 008__ 190506s2019\\\\enka\\\\o\\\\\000\0\eng\d
000890237 020__ $$a9783030115906$$q(electronic book)
000890237 020__ $$a3030115909$$q(electronic book)
000890237 020__ $$z9783030115890
000890237 020__ $$z3030115895
000890237 035__ $$aSP(OCoLC)on1100071524
000890237 035__ $$aSP(OCoLC)1100071524
000890237 040__ $$aN$T$$beng$$erda$$epn$$cN$T$$dN$T$$dEBLCP$$dGW5XE$$dUKMGB$$dOCLCF
000890237 049__ $$aISEA
000890237 050_4 $$aHG6024.A3
000890237 08204 $$a332.64/53$$223
000890237 1001_ $$aPerrakis, Stylianos,$$d1938-$$eauthor.
000890237 24510 $$aStochastic dominance option pricing :$$ban alternative approach to option market research /$$cStylianos Perrakis.
000890237 264_1 $$aBasingstoke :$$bPalgrave Macmillan,$$c2019.
000890237 300__ $$a1 online resource :$$billustrations
000890237 336__ $$atext$$btxt$$2rdacontent
000890237 337__ $$acomputer$$bc$$2rdamedia
000890237 338__ $$aonline resource$$bcr$$2rdacarrier
000890237 5050_ $$aIntro; Dedication; Foreword; Preface; References; Contents; List of Figures; List of Tables; Chapter 1: Stochastic Dominance: Introduction; 1.1 Definition; 1.2 Risk and Second-Degree Stochastic Dominance; 1.3 Empirical Applications and Portfolio Selection Under SSD or TSD; 1.4 Empirical Tests of Stochastic Dominance; 1.5 Summary and Conclusions; References; Chapter 2: Stochastic Dominance Option Pricing I: The Frictionless Case; 2.1 SD Option Pricing by Pairwise Comparisons; 2.2 SD Option Pricing: The Linear Programming Approach; 2.3 The Frictionless SD Bounds in Continuous Time for Diffusion
000890237 5058_ $$aIndex 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
000890237 5058_ $$a2.7 Summary and ConclusionsReferences; Chapter 3: Proportional Transaction Costs: An Introduction; 3.1 No Arbitrage Under Transaction Costs; Replicating Portfolios; Super Replication and the Failure of No Arbitrage; 3.2 Portfolio Selection Under Proportional Transaction Costs; Asset Allocation in Discrete Time; The No Trade Region in Continuous Time for an Infinite Investment Horizon; What Happens When the Horizon Is Finite?; 3.3 Simultaneous Equilibrium in the Underlying and Option Markets; 3.4 Summary and Conclusions; References
000890237 5058_ $$aChapter 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
000890237 5058_ $$a4.3 Summary and Conclusions4.4 Mathematical Appendix; Proof of Lemma 1; Proof of Theorem 3; Proof of Theorem 4; Proof of Lemma 2; Proof of Theorem 5; Proof of Theorem 6; References; Chapter 5: Stochastic Dominance Option Pricing: Empirical Applications; 5.1 Empirical Applications I: Pricing the Option Cross-Section Under Transaction Costs; 5.2 Empirical Applications II: Individually Mispriced Options Under Transaction Costs; In-Sample Tests on Individual Options' Mispricing; Out-of-Sample Tests of Individual Options' Mispricing
000890237 506__ $$aAccess limited to authorized users.
000890237 588__ $$aDescription based on print version record.
000890237 650_0 $$aOptions (Finance)
000890237 650_0 $$aStochastic processes.
000890237 77608 $$iPrint version:$$aPerrakis, Stylianos, 1938-$$tStochastic dominance option pricing.$$dBasingstoke : Palgrave Macmillan, 2019$$z9783030115890$$w(OCoLC)1099886047
000890237 852__ $$bebk
000890237 85640 $$3SpringerLink$$uhttps://univsouthin.idm.oclc.org/login?url=http://link.springer.com/10.1007/978-3-030-11590-6$$zOnline Access$$91397441.1
000890237 909CO $$ooai:library.usi.edu:890237$$pGLOBAL_SET
000890237 980__ $$aEBOOK
000890237 980__ $$aBIB
000890237 982__ $$aEbook
000890237 983__ $$aOnline
000890237 994__ $$a92$$bISE