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Preference-free option prices when the stock returns can go up, go down, or stay the same

Perrakis, Stylianos - In: Advances in futures and options research : a research annual 3 (1988), pp. 209-235

Persistent link: https://www.econbiz.de/10001081729

Option bounds in discrete time and the pricing of corporate debt

Perrakis, Stylianos - In: Advances in futures and options research : a research annual 2 (1987), pp. 179-207

Persistent link: https://www.econbiz.de/10001081779

Stochastic dominance bounds on derivative prices in a multiperiod economy with proportional transaction costs

Kōnstantinidēs, Giōrgos; Perrakis, Stylianos - 2002

Persistent link: https://www.econbiz.de/10001661181

Stochastic dominance bounds on derivatives price in a multiperiod economy with proportional transaction costs

Kōnstantinidēs, Giōrgos; Perrakis, Stylianos - In: Journal of economic dynamics & control 26 (2002) 7/8, pp. 1323-1352

Persistent link: https://www.econbiz.de/10001656093

Financial oligopolies and parallel exclusion in the credit default swap markets

Kryzanowski, Lawrence; Perrakis, Stylianos; Zhong, Rui - In: Journal of financial markets 56 (2021), pp. 1-28

Persistent link: https://www.econbiz.de/10013282502

Are options on index futures profitable for risk averse investors? : empirical evidence

Kōnstantinidēs, Giōrgos; Czerwonko, Michal; … - 2010

Persistent link: https://www.econbiz.de/10008656711

Are options on index futures profitable for risk-averse investors? : empirical evidence

Kōnstantinidēs, Giōrgos; Czerwonko, Michal; … - In: The journal of finance : the journal of the American … 66 (2011) 4, pp. 1407-1437

Persistent link: https://www.econbiz.de/10009267661

Valuing catastrophe derivatives under limited diversification : a stochastic dominance approach

Perrakis, Stylianos; Boloorforoosh, Ali - In: Journal of banking & finance 37 (2013) 8, pp. 3157-3168

Persistent link: https://www.econbiz.de/10009778483

From stochastic dominance to Black-Scholes : an alternative option pricing paradigm

Oancea, Michael; Perrakis, Stylianos - In: Risk and decision analysis 5 (2014) 2/3, pp. 99-112

Persistent link: https://www.econbiz.de/10011285063

Are options on index futures profitable for risk averse investors? : empirical evidence

Jackwerth, Jens Carsten; Kōnstantinidēs, Giōrgos; … - 2008

American call and put options on the S&P 500 index futures that violate the stochastic dominance bounds of Constantinides and Perrakis (2007) over 1983-2006 are identified as potentially profitable investment opportunities. Call bid prices more frequently violate their upper bound than put bid...

Persistent link: https://www.econbiz.de/10003876987