| 书目名称 | Stochastic Dominance Option Pricing | | 副标题 | An Alternative Appro | | 编辑 | Stylianos Perrakis | | 视频video | | | 概述 | Applies solutions where no other option pricing method "works".Demonstrates the creation of useful out-of-sample investment ideas in the option market.Identifies risk-adjusted superior returns to ordi | | 图书封面 |  | | 描述 | 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 thespecific 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 worki | | 出版日期 | Book 2019 | | 关键词 | option bounds; index options; transaction costs; derivatives market; futures | | 版次 | 1 | | doi | https://doi.org/10.1007/978-3-030-11590-6 | | isbn_ebook | 978-3-030-11590-6 | | copyright | The Editor(s) (if applicable) and The Author(s) 2019 |
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发表于 2025-3-21 16:40:30
