Stochastic Dominance Option Pricing
Stylianos Perrakis
Gebundenes Buch

Stochastic Dominance Option Pricing

An Alternative Approach to Option Market Research

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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 optio...