Mispricing of Index Options with Respect to Stochastic Dominance Bounds?

2021 ◽  
Vol 10 (1) ◽  
pp. 21-55
Author(s):  
Martin Wallmeier
Keyword(s):  
Stochastic Dominance ◽  
Index Options

Mispricing of Index Options with Respect to Stochastic Dominance Bounds? A Reply

2021 ◽  
Vol 10 (1) ◽  
pp. 57-63
Author(s):  
George M. Constantinides ◽  
Michal Czerwonko ◽  
Jens Carsten Jackwerth ◽  
Stylianos Perrakis
Keyword(s):  
Stochastic Dominance ◽  
Index Options

Econometric Analysis of Stochastic Dominance

2019 ◽  
Author(s):  
Yoon-Jae Whang
Keyword(s):  
Stochastic Dominance ◽  
Econometric Analysis

Goal-Based Investing with Stochastic Dominance in Defined Contribution Plans

2017 ◽  
Vol 28 (4) ◽  
pp. 99-126
Author(s):  
Yongtae Kim ◽  
정도영 ◽  
Joo-Ho Sung
Keyword(s):  
Stochastic Dominance ◽  
Defined Contribution ◽  
Defined Contribution Plans

The Change of Liquidity Premium Caused by a New Multiplier Regulation in the KOSPI200 Index Options Market

2017 ◽  
Vol 46 (5) ◽  
pp. 1001-1032
Author(s):  
Dowan Kim ◽  
Baeho Kim
Keyword(s):  
Options Market ◽  
Liquidity Premium ◽  
Index Options

Lattice-Based Pricing of Index Options Under a GARCH Framework

2008 ◽  
Author(s):  
Philip Gray ◽  
Alana McPhee
Keyword(s):  
Index Options

Empirical Test of the Efficiency of UK Covered Warrants Market: Stochastic Dominance and Likelihood Ratio Test Approach

2010 ◽  
Author(s):  
Zhuo Qiao ◽  
Christian de Peretti ◽  
Chia-Ying Chan ◽  
Wing-Keung Wong
Keyword(s):  
Likelihood Ratio ◽  
Likelihood Ratio Test ◽  
Stochastic Dominance ◽  
Empirical Test ◽  
Ratio Test
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