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Details about Stylianos Perrakis

E-mail:
Homepage:http://johnmolson.concordia.ca/en/faculty-research/departments/finance/926-department-finance
Workplace:Department of Finance, John Molson School of Business, Concordia University, (more information at EDIRC)

Access statistics for papers by Stylianos Perrakis.

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

Short-id: ppe489


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Working Papers

2017

  1. Mispriced Index Option Portfolios
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article Mispriced index option portfolios, Financial Management, Financial Management Association International (2020) Downloads View citations (9) (2020)

2010

  1. Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    Also in CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) (2008) Downloads

    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)
  2. On the Impact of Financial Structure on Product Selection
    Discussion Paper Series, Department of Economics, University of Macedonia Downloads

2008

  1. Financial Structure and Product Qualities
    Discussion Paper Series, Department of Economics, University of Macedonia Downloads
  2. Mispricing of S&P 500 Index Options
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
    Also in CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) (2005) Downloads View citations (2)

    See also Journal Article Mispricing of S&P 500 Index Options, The Review of Financial Studies, Society for Financial Studies (2009) Downloads View citations (43) (2009)

2007

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

2002

  1. Financial Structure and Market Equilibrium in a Vertically Differentiated Industry
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads
  2. Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads 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) Downloads View citations (30) (2002)

1999

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

1996

  1. 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

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

1989

  1. MONOPOLY AND MARKET COVERAGE IN A VERTICALLY DIFFERENTIATED MARKET
    Carleton Industrial Organization Research Unit (CIORU), Carleton University, Department of Economics
  2. 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 Downloads View citations (1)

2021

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

2020

  1. Mispriced index option portfolios
    Financial Management, 2020, 49, (2), 297-330 Downloads View citations (9)
    See also Working Paper Mispriced Index Option Portfolios, NBER Working Papers (2017) Downloads (2017)

2018

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

2017

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

2016

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

2015

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

2013

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

2011

  1. 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) Downloads (2010)
  2. Competition, interlisting and market structure in options trading
    Journal of Banking & Finance, 2011, 35, (1), 104-117 Downloads

2010

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

2009

  1. Mispricing of S&P 500 Index Options
    The Review of Financial Studies, 2009, 22, (3), 1247-1277 Downloads View citations (43)
    Also in The Review of Financial Studies, 2009, 22, (3), 1247-1277 (2009) Downloads View citations (40)

    See also Working Paper Mispricing of S&P 500 Index Options, NBER Working Papers (2008) Downloads View citations (9) (2008)

2004

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

2002

  1. 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 Downloads 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) Downloads View citations (26) (2002)

2000

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

1999

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

1998

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

1997

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

1995

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

1991

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

1989

  1. 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 Downloads View citations (1)

1988

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

1986

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

1984

  1. Option Pricing Bounds in Discrete Time
    Journal of Finance, 1984, 39, (2), 519-25 Downloads View citations (48)

1983

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

1980

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

1979

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

1978

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

1977

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

1976

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

1975

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

1974

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

1972

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

Books

2019

  1. Stochastic Dominance Option Pricing
    Springer Books, Springer View citations (8)
 
Page updated 2024-07-22