Stochastic Dominance Option Pricing

Name: Stochastic Dominance Option Pricing
Brand: Springer Nature Switzerland AG
SKU: 9783030115890
Price: 2601 CZK
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An Alternative Approach to Option Market Research

Autor: Stylianos Perrakis

Jazyk:

Vazba: Pevná

Vydavatel: Springer Nature Switzerland AG

Dostupnost: Skladem u dodavatele

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This book illustrates the application of the economic concept of stochastic dominance to option mark...

Informace o knize

Autor

Stylianos Perrakis

Jazyk

Angličtina

Vazba

Kniha - Pevná

Vydáno

2019

Stránek

277

EAN

9783030115890

Enbook ID

21045409

Vydavatel

Springer Nature Switzerland AG

Hmotnost

524

Rozměry

148 x 210 x 21

Kompletní popis

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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Stochastic Dominance Option Pricing

An Alternative Approach to Option Market Research

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Kompletní popis

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