Stochastic Dominance Bounds on American Option Prices in Markets with Frictions
By George M. Constantinides, Stylianos Perrakis. 2007
52 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/de27914ab22762ddb958f0aeb45e0cf464f314bc
How researchers see this paper
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In Economics and Econometrics
- Ruslan Goyenko
- M. Karoui
- Peter F. Christoffersen
- Kris Jacobs
- Andrew J. Patton
- Esther Ruiz
- M. Nieto
- Jeremy Berkowitz
In Finance
- Peter F. Christoffersen
- Ruslan Goyenko
- M. Karoui
- Kris Jacobs
- Carol Alexander
- Andreas Kaeck
- Andrew J. Patton
- Eduardo Abi Jaber
Citations in the corpus
- Illiquidity Premia in the Equity Options Market (2018, background): “Constantinides and Perrakis (2002, 2007), Oancea and Perrakis (2007), and Constantinides, Jackwerth, and Perrakis (2009) rely on a stochastic dominance approach to characterize bounds on option prices.”