Store besparelser
Hurtig levering
Gemte
Log ind
0
Kurv
Bøger
Bestsellers
Kommer snart
Nyheder
Spil og hobby
Hjem
Kategorier
Bestsellers
Kommer snart
Nyheder
FAQ
Konto
Kontakt
Kurv
  1. Bog
  2. Anvendt matematik
  3. Stokastik
Stochastic Dominance Option Pricing
- An Alternative Approach to Option Market Research
Af: Stylianos Perrakis
Engelsk Hardback
Se mere i:
Stochastic Dominance Option Pricing
- An Alternative Approach to Option Market Research
Af: Stylianos Perrakis
Engelsk Hardback
Hardback
1.002 kr
Tilføj til kurv
Sikker betaling
6 - 8 hverdage
Om denne bog
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.
Vis mere
Product detaljer
Sprog:
Engelsk
Sider:
277
ISBN-13:
9783030115890
Indbinding:
Hardback
Udgave:
ISBN-10:
3030115895
Kategori:
Udg. Dato:
16 maj 2019
Længde:
0mm
Bredde:
148mm
Højde:
210mm
Forlag:
Springer Nature Switzerland AG
Oplagsdato:
16 maj 2019
Forfatter(e):
Kategori sammenhænge