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Valuing Catastrophe Derivatives Under Limited Diversification : A Stochastic Dominance Approach

Perrakis, Stylianos - 2011

We present a new approach to the pricing of catastrophe event derivatives that does not assume a fully diversifiable event risk. Instead, we assume that the event occurrence and intensity affect the return of the market portfolio of an agent that trades in the event derivatives. Based on this...

Persistent link: https://www.econbiz.de/10013121374

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