Stochastic Dominance Option Pricing
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Stochastic Dominance Option Pricing
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Author : Stylianos Perrakis
language : en
Publisher: Springer
Release Date : 2019-05-03
Stochastic Dominance Option Pricing written by Stylianos Perrakis and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-05-03 with Business & Economics categories.
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.
Stochastic Dominance In Portfolio Analysis And Asset Pricing
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Author : Andrey M. Lizyayev
language : en
Publisher: Rozenberg Publishers
Release Date : 2010
Stochastic Dominance In Portfolio Analysis And Asset Pricing written by Andrey M. Lizyayev and has been published by Rozenberg Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
A Stochastic Control Framework For Real Options In Strategic Evaluation
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Author : Alexander Vollert
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
A Stochastic Control Framework For Real Options In Strategic Evaluation written by Alexander Vollert and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.
The theoretical foundation for real options goes back to the mid 1980s and the development of a model that forms the basis for many current applications of real option theory. Over the last decade the theory has rapidly expanded and become enriched thanks to increasing research activity. Modern real option theory may be used for the valuation of entire companies as well as for particular investment projects in the presence of uncertainty. As such, the theory of real options can serve as a tool for more practically oriented decision making, providing management with strategies maximizing its capital market value. This book is devoted to examining a new framework for classifying real options from a management and a valuation perspective, giving the advantages and disadvantages of the real option approach. Impulse control theory and the theory of optimal stopping combined with methods of mathematical finance are used to construct arbitrarily complex real option models which can be solved numerically and which yield optimal capital market strategies and values. Various examples are given to demonstrate the potential of this framework. This work will benefit the financial community, companies, as well as academics in mathematical finance by providing an important extension of real option research from both a theoretical and practical point of view.
Stochastic Dominance
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Author : Haim Levy
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-08-25
Stochastic Dominance written by Haim Levy and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-08-25 with Business & Economics categories.
This book is devoted to investment decision-making under uncertainty. The book covers three basic approaches to this process: the stochastic dominance approach; the mean-variance approach; and the non-expected utility approach, focusing on prospect theory and its modified version, cumulative prospect theory. Each approach is discussed and compared. In addition, this volume examines cases in which stochastic dominance rules coincide with the mean-variance rule and considers how contradictions between these two approaches may occur.
Mispricing Of Setp 500 Index Options
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Author :
language : en
Publisher:
Release Date : 2008
Mispricing Of Setp 500 Index Options written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Improved Portfolio Choice Using Second Order Stochastic Dominance
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Author : James E. Hodder
language : en
Publisher:
Release Date : 2009
Improved Portfolio Choice Using Second Order Stochastic Dominance written by James E. Hodder and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Stochastic Dominance And Applications To Finance Risk And Economics
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Author : Songsak Sriboonchita
language : en
Publisher: CRC Press
Release Date : 2009-10-19
Stochastic Dominance And Applications To Finance Risk And Economics written by Songsak Sriboonchita and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-10-19 with Business & Economics categories.
Drawing from many sources in the literature, Stochastic Dominance and Applications to Finance, Risk and Economics illustrates how stochastic dominance (SD) can be used as a method for risk assessment in decision making. It provides basic background on SD for various areas of applications. Useful Concepts and Techniques for Economics ApplicationsThe
Options Explained2
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Author : Robert Tompkins
language : en
Publisher: Springer
Release Date : 2016-07-27
Options Explained2 written by Robert Tompkins and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-07-27 with Business & Economics categories.
Unlike most books on derivative products, Options Explained 2 is a practical guide, covering theoretical concepts only where they are essential to applying options on a wide variety of assets. Written with the emphasis on a practical, straightforward approach, Options Explained succeeds in demystifying what has traditionally been treated as a highly complex product. The second edition also includes over 100 pages of new material, with sections on exotic options, worldwide accounting practices and issues in volatility estimation.
Handbook Of Financial Econometrics Mathematics Statistics And Machine Learning In 4 Volumes
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Author : Cheng Few Lee
language : en
Publisher: World Scientific
Release Date : 2020-07-30
Handbook Of Financial Econometrics Mathematics Statistics And Machine Learning In 4 Volumes written by Cheng Few Lee and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-07-30 with Business & Economics categories.
This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.
Stochastic Orders And Applications
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Author : Karl Mosler
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Stochastic Orders And Applications written by Karl Mosler and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.
A bibliography on stochastic orderings. Was there a real need for it? In a time of reference databases as the MathSci or the Science Citation Index or the Social Science Citation Index the answer seems to be negative. The reason we think that this bibliog raphy might be of some use stems from the frustration that we, as workers in the field, have often experienced by finding similar results being discovered and proved over and over in different journals of different disciplines with different levels of mathematical so phistication and accuracy and most of the times without cross references. Of course it would be very unfair to blame an economist, say, for not knowing a result in mathematical physics, or vice versa, especially when the problems and the languages are so far apart that it is often difficult to recognize the analogies even after further scrutiny. We hope that collecting the references on this topic, regardless of the area of application, will be of some help, at least to pinpoint the problem. We use the term stochastic ordering in a broad sense to denote any ordering relation on a space of probability measures. Questions that can be related to the idea of stochastic orderings are as old as probability itself. Think for instance of the problem of comparing two gambles in order to decide which one is more favorable.