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发表于 2025-3-21 16:40:30
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发表于 2025-3-21 22:53:02
Stochastic Dominance Option Pricing I: The Frictionless Case,lternative equilibrium models based on a representative investor in the rare events case. Last, the SD frictionless bounds methodology is shown to produce useful results when applied to financial instruments issued by the insurance industry and indexed on catastrophe events.
昏迷状态
发表于 2025-3-22 03:46:42
Stochastic Dominance Option Pricing: Empirical Applications,tures options and the validation of the SD relation by out-of-sample tests. Last, they also include a method for deriving zero-net-cost European option portfolios that increase the expected return of an index while reducing its risk and indicate the existence of such portfolios in most cross-sections of S&P 500 options.
改正
发表于 2025-3-22 05:07:59
ion market.Identifies risk-adjusted superior returns to ordiThis 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 underlyi
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发表于 2025-3-22 12:17:37
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diathermy
发表于 2025-3-22 16:48:34
Proportional Transaction Costs: An Introduction,ation problem between a risky and a riskless asset given proportional transaction costs on the risky asset and derives the no transaction zone when the dynamics of the risky asset tend to diffusion or jump diffusion. These are inputs for the application of the SD approach to option pricing under transaction costs.
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发表于 2025-3-22 17:11:19
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西瓜
发表于 2025-3-22 22:33:38
Conclusions,te observed empirical facts. Last, it notes that stochastic dominance is a more general approach to option pricing that is based on fewer assumptions and can resolve several of these empirical contradictions.
Gullible
发表于 2025-3-23 04:42:32
Stochastic Dominance: Introduction,pects by a particular set of investors. This chapter reviews the early definitions and applications, which started in 1962 with a contribution in the economics literature by Quirk and Saposnik and expanded into mathematics, finance and possibly other fields as well. It focuses on the stochastic domi
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发表于 2025-3-23 06:54:32
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