Details about Stylianos Perrakis

Access statistics for papers by Stylianos Perrakis.

Last updated 2022-10-27. Update your information in the RePEc Author Service.

Short-id: ppe489

Working Papers

2017

1. Mispriced Index Option Portfolios
   NBER Working Papers, National Bureau of Economic Research, Inc
   See also Journal Article Mispriced index option portfolios, Financial Management, Financial Management Association International (2020) View citations (11) (2020)

2010

2. Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence
   NBER Working Papers, National Bureau of Economic Research, Inc
   Also in CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) (2008)
   See also Journal Article Are Options on Index Futures Profitable for Risk‐Averse Investors? Empirical Evidence, Journal of Finance, American Finance Association (2011) View citations (29) (2011)
3. On the Impact of Financial Structure on Product Selection
   Discussion Paper Series, Department of Economics, University of Macedonia

2008

4. Financial Structure and Product Qualities
   Discussion Paper Series, Department of Economics, University of Macedonia
5. Mispricing of S&P 500 Index Options
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
   Also in CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) (2005) View citations (2)
   See also Journal Article Mispricing of S&P 500 Index Options, The Review of Financial Studies, Society for Financial Studies (2009) View citations (42) (2009)

2007

6. Option Pricing: Real and Risk-Neutral Distributions
   MPRA Paper, University Library of Munich, Germany View citations (10)
   Also in CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) (2005) View citations (1)

2002

7. Financial Structure and Market Equilibrium in a Vertically Differentiated Industry
   FAME Research Paper Series, International Center for Financial Asset Management and Engineering
8. Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (26)
   See also Journal Article Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs, Journal of Economic Dynamics and Control, Elsevier (2002) View citations (30) (2002)

1999

9. Option Pricing and Replication with Transaction Costs and Dividends
   FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (1)
   See also Journal Article Option pricing and replication with transaction costs and dividends, Journal of Economic Dynamics and Control, Elsevier (2000) View citations (8) (2000)

1996

10. Entry and Minimum Quality Standards in a Vertically Differentiated Industry
    Cahiers de recherche, Université Laval - Département d'économique
    Also in Working Papers, Laval - Recherche en Energie (1996)

1990

11. Monopoly, Entry and Market Coverage in a Vertically Differentiated Market
    Carleton Industrial Organization Research Unit (CIORU), Carleton University, Department of Economics

1989

12. MONOPOLY AND MARKET COVERAGE IN A VERTICALLY DIFFERENTIATED MARKET
    Carleton Industrial Organization Research Unit (CIORU), Carleton University, Department of Economics
13. VERTICAL DIFFERENTIATION AND ENTRY THREAT IN A NATURAL DUOPOLY
    Carleton Industrial Organization Research Unit (CIORU), Carleton University, Department of Economics View citations (1)

Journal Articles

2022

1. From innovation to obfuscation: continuous time finance fifty years later
   Financial Markets and Portfolio Management, 2022, 36, (3), 369-401 View citations (2)

2021

2. Financial oligopolies and parallel exclusion in the credit default swap markets
   Journal of Financial Markets, 2021, 56, (C) View citations (1)
3. Mispricing of Index Options with Respect to Stochastic Dominance Bounds? A Reply
   Critical Finance Review, 2021, 10, (1), 57-63
4. Shedding light on a dark matter: Jump diffusion and option‐implied investor preferences
   European Financial Management, 2021, 27, (2), 244-286 View citations (2)

2020

5. Mispriced index option portfolios
   Financial Management, 2020, 49, (2), 297-330 View citations (11)
   See also Working Paper Mispriced Index Option Portfolios, NBER Working Papers (2017) (2017)

2018

6. Catastrophe futures and reinsurance contracts: An incomplete markets approach
   Journal of Futures Markets, 2018, 38, (1), 104-128 View citations (1)

2017

7. Liquidity Risk and Volatility Risk in Credit Spread Models: A Unified Approach
   European Financial Management, 2017, 23, (5), 873-901 View citations (1)
8. Price discovery in equity and CDS markets
   Journal of Financial Markets, 2017, 35, (C), 21-46 View citations (9)

2016

9. Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics I: A Numerical Solution
   Quarterly Journal of Finance (QJF), 2016, 06, (04), 1-23 View citations (4)
10. Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics II: Economic Implications
    Quarterly Journal of Finance (QJF), 2016, 06, (04), 1-28 View citations (3)

2015

11. Credit spreads and state-dependent volatility: Theory and empirical evidence
    Journal of Banking & Finance, 2015, 55, (C), 215-231 View citations (4)

2013

12. Valuing catastrophe derivatives under limited diversification: A stochastic dominance approach
    Journal of Banking & Finance, 2013, 37, (8), 3157-3168 View citations (6)

2011

13. Are Options on Index Futures Profitable for Risk‐Averse Investors? Empirical Evidence
    Journal of Finance, 2011, 66, (4), 1407-1437 View citations (29)
    See also Working Paper Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence, NBER Working Papers (2010) (2010)
14. Competition, interlisting and market structure in options trading
    Journal of Banking & Finance, 2011, 35, (1), 104-117

2010

15. PIP Transactions, Price Improvement, Informed Trades and Order Execution Quality
    European Financial Management, 2010, 16, (2), 211-228

2009

16. Mispricing of S&P 500 Index Options
    The Review of Financial Studies, 2009, 22, (3), 1247-1277 View citations (42)
    Also in The Review of Financial Studies, 2009, 22, (3), 1247-1277 (2009) View citations (45)
    See also Working Paper Mispricing of S&P 500 Index Options, NBER Working Papers (2008) View citations (9) (2008)

2004

17. The American put under transactions costs
    Journal of Economic Dynamics and Control, 2004, 28, (5), 915-935 View citations (3)

2002

18. Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs
    Journal of Economic Dynamics and Control, 2002, 26, (7-8), 1323-1352 View citations (30)
    See also Working Paper Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs, NBER Working Papers (2002) View citations (26) (2002)

2000

19. Option pricing and replication with transaction costs and dividends
    Journal of Economic Dynamics and Control, 2000, 24, (11-12), 1527-1561 View citations (8)
    See also Working Paper Option Pricing and Replication with Transaction Costs and Dividends, FAME Research Paper Series (1999) View citations (1) (1999)

1999

20. Free entry may reduce total willingness-to-pay1
    Economics Letters, 1999, 62, (1), 105-112 View citations (9)

1998

21. Asymmetric information in commodity futures markets: Theory and empirical evidence
    Journal of Futures Markets, 1998, 18, (7), 803-825 View citations (3)
22. Minimum Quality Standards, Entry, and the Timing of the Quality Decision
    Journal of Regulatory Economics, 1998, 13, (1), 47-58 View citations (15)

1997

23. Derivative Asset Pricing with Transaction Costs: An Extension
    Computational Economics, 1997, 10, (4), 359-76 View citations (12)
24. Vertical differentiation: Entry and market coverage with multiproduct firms
    International Journal of Industrial Organization, 1997, 16, (1), 81-103 View citations (17)

1995

25. Différenciation verticale et structure du marché
    L'Actualité Economique, 1995, 71, (1), 71-98

1991

26. Assessing Competition in Canada's Financial System: A Note
    Canadian Journal of Economics, 1991, 24, (3), 727-32 View citations (14)

1989

27. Les contributions de la théorie financière à la solution de problèmes en organisation industrielle et en microéconomie appliquée
    L'Actualité Economique, 1989, 65, (4), 518-546 View citations (1)

1988

28. An International Duopoly Model Under Exchange Rate Uncertainty
    Revue Économique, 1988, 39, (5), 1035-1060 View citations (2)

1986

29. Option Bounds in Discrete Time: Extensions and the Pricing of the American Put
    The Journal of Business, 1986, 59, (1), 119-41 View citations (31)
30. Uncertainty, Economies of Scale, and Barrier to Entry
    Oxford Economic Papers, 1986, 38, 58-74 View citations (2)

1984

31. Option Pricing Bounds in Discrete Time
    Journal of Finance, 1984, 39, (2), 519-25 View citations (50)

1983

32. Capacity and Entry Under Demand Uncertainty
    The Review of Economic Studies, 1983, 50, (3), 495-511 View citations (16)
33. Optimal replacement policies with two or more loaded sliding standbys
    Naval Research Logistics Quarterly, 1983, 30, (4), 583-599

1980

34. Factor-Price Uncertainty with Variable Proportions: Note
    American Economic Review, 1980, 70, (5), 1083-88 View citations (3)

1979

35. On the Technological Implications of the Spanning Theorem
    Canadian Journal of Economics, 1979, 12, (3), 501-11 View citations (1)

1978

36. Identifying the SSD Portion of the EV Frontier: A Note
    Journal of Financial and Quantitative Analysis, 1978, 13, (1), 167-171

1977

37. Abstract: Stochastic Dominance in the Laplace Transformation Domain
    Journal of Financial and Quantitative Analysis, 1977, 12, (4), 639-639

1976

38. A Note on Optimal Equity Financing of the Corporation
    Journal of Financial and Quantitative Analysis, 1976, 11, (1), 157-164
39. On Risky Investments with Random Timing of Cash Returns and Fixed Planning Horizon
    Management Science, 1976, 22, (7), 799-809 View citations (2)
40. On the Regulated Price-Setting Monopoly Firm with a Random Demand Curve
    American Economic Review, 1976, 66, (3), 410-16 View citations (5)
41. Rate of Return Regulation of a Monopoly Firm with Random Demand
    International Economic Review, 1976, 17, (1), 149-62 View citations (6)

1975

42. Certainty Equivalents and Timing Uncertainty
    Journal of Financial and Quantitative Analysis, 1975, 10, (1), 109-118

1974

43. The Evaluation of Risky Investments with Random Timing of Cash Returns
    Management Science, 1974, 21, (1), 79-86 View citations (3)

1972

44. Resource Allocation and Scale of Operations in a Monopoly Firm: A Dynamic Analysis
    International Economic Review, 1972, 13, (2), 399-407 View citations (4)

Books

2019

1. Stochastic Dominance Option Pricing
   Springer Books, Springer View citations (9)