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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

Les contributions de la théorie financière à la solution de problèmes en organisation indusstrielle et en microéconomie appliquée

Perrakis, Stylianos - In: L' Actualité économique : revue trimest. 65 (1989) 4, pp. 518-546

Persistent link: https://www.econbiz.de/10001134765

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

Option pricing and replication with transaction costs and dividends

Perrakis, Stylianos; Lefoll, Jean - In: Journal of economic dynamics & control 24 (2000) 11/12, pp. 1527-1561

Persistent link: https://www.econbiz.de/10001508747

Vertical differentiation and entry threat in a natural duopoly

Constantatos, Christos; Perrakis, Stylianos - 1989

Persistent link: https://www.econbiz.de/10000778907

Monopoly and market coverage in a vertically differentiated market

Constantatos, Christos; Perrakis, Stylianos - 1989

Persistent link: https://www.econbiz.de/10000768020

Entry and minimum quality standards in a vertically differentiated industry

Constantatos, Christos; Perrakis, Stylianos - 1996

Persistent link: https://www.econbiz.de/10000996597

Asymmetric information in commodity futures markets : theory and empirical evidence

Perrakis, Stylianos; Khoury, Nabil T. - 1996

Persistent link: https://www.econbiz.de/10000991517

Vertical differentiation : entry and market coverage with multiproduct firms

Constantatos, Christos - In: International journal of industrial organization 16 (1997) 1, pp. 81-103

Persistent link: https://www.econbiz.de/10001237624

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