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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

Option pricing : real and risk-neutral distributions

Kōnstantinidēs, Giōrgos; Jackwerth, Jens Carsten; … - In: Financial engineering, (pp. 565-591). 2008

Persistent link: https://www.econbiz.de/10003567751

Option pricing : real and risk-neutral distributions

Kōnstantinidēs, Giōrgos (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003221993

From innovation to obfuscation : continuous time finance fifty years later

Perrakis, Stylianos - In: Financial markets and portfolio management 36 (2022) 3, pp. 369-401

Persistent link: https://www.econbiz.de/10013431700

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

Valuing Catastrophe Derivatives Under Limited Diversification : A Stochastic Dominance Approach

Perrakis, Stylianos; Boloor, Ali - 2014

Persistent link: https://www.econbiz.de/10014181000