From stochastic dominance to Black–Scholes: An alternative option pricing paradigm

DOI10.3233/RDA-140103zbMath1409.91248MaRDI QIDQ3119633

Ioan Mihai Oancea, Stylianos Perrakis

Publication date: 12 March 2019

Published in: Risk and Decision Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/rda-140103

zbMATH Keywords

option pricing; incomplete markets; diffusion processes; stochastic dominance; option bounds

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

91G80: Financial applications of other theories

91G20: Derivative securities (option pricing, hedging, etc.)