{"id":"https://openalex.org/W26987716","doi":null,"title":"The stochastic dominance valuation of options under transaction costs : extensions, implementation and empirical tests","display_name":"The stochastic dominance valuation of options under transaction costs : extensions, implementation and empirical tests","publication_year":2008,"publication_date":"2008-01-01","ids":{"openalex":"https://openalex.org/W26987716","mag":"26987716"},"language":"en","primary_location":{"id":"pmh:oai:https://spectrum.library.concordia.ca:975874","doi":null,"is_oa":true,"landing_page_url":"https://spectrum.library.concordia.ca/975874/1/NR37780.pdf","pdf_url":"https://spectrum.library.concordia.ca/975874/1/NR37780.pdf","source":{"id":"https://openalex.org/S4306400871","display_name":"Spectrum Research Repository (Concordia University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I60158472","host_organization_name":"Concordia University","host_organization_lineage":["https://openalex.org/I60158472"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Thesis"},"volume":null,"type":"dissertation","is_traditional":true,"indexed_in":[],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://spectrum.library.concordia.ca/975874/1/NR37780.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5076365812","display_name":"Michal Czerwonko","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Michal Czerwonko","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":["https://openalex.org/A5076365812"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9810000061988831,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9810000061988831,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.017999999225139618,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/option-mispricing","display_name":"option mispricing","score":0.7889999747276306},{"id":"https://openalex.org/keywords/transaction-costs","display_name":"transaction costs","score":0.9480000138282776},{"id":"https://openalex.org/keywords/american-options","display_name":"American options","score":0.7979999780654907},{"id":"https://openalex.org/keywords/s-p-500-index-futures","display_name":"S&P 500 futures","score":0.968999981880188},{"id":"https://openalex.org/keywords/put-and-call-options","display_name":"call and put options","score":0.515999972820282},{"id":"https://openalex.org/keywords/straddles","display_name":"straddles","score":0.8090000152587891},{"id":"https://openalex.org/keywords/jump-diffusion-processes","display_name":"jump-diffusion processes","score":0.7799999713897705},{"id":"https://openalex.org/keywords/sharpe-ratio","display_name":"Sharpe ratio","score":0.6520000100135803},{"id":"https://openalex.org/keywords/risk-aversion","display_name":"risk aversion","score":0.5550000071525574},{"id":"https://openalex.org/keywords/derivatives-pricing","display_name":"derivative pricing","score":0.46399998664855957}],"concepts":[{"id":"https://openalex.org/C77553402","wikidata":"https://www.wikidata.org/wiki/Q13222579","display_name":"Upper and lower bounds","level":2,"score":0.6189095377922058},{"id":"https://openalex.org/C33252445","wikidata":"https://www.wikidata.org/wiki/Q3713315","display_name":"Stochastic dominance","level":2,"score":0.6187505125999451},{"id":"https://openalex.org/C186027771","wikidata":"https://www.wikidata.org/wiki/Q4008379","display_name":"Valuation (finance)","level":2,"score":0.5325865745544434},{"id":"https://openalex.org/C141513077","wikidata":"https://www.wikidata.org/wiki/Q378542","display_name":"Independent and identically distributed random variables","level":3,"score":0.5080833435058594},{"id":"https://openalex.org/C98965940","wikidata":"https://www.wikidata.org/wiki/Q877496","display_name":"Transaction cost","level":2,"score":0.48532360792160034},{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.4800894856452942},{"id":"https://openalex.org/C139938925","wikidata":"https://www.wikidata.org/wiki/Q1501898","display_name":"Sharpe ratio","level":3,"score":0.4769265055656433},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.46224239468574524},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4589115381240845},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.4237164855003357},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.38761043548583984},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3567131757736206},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.3515171408653259},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.33191168308258057},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.25954294204711914},{"id":"https://openalex.org/C122123141","wikidata":"https://www.wikidata.org/wiki/Q176623","display_name":"Random variable","level":2,"score":0.24009692668914795},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.15611106157302856},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.12385720014572144},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"pmh:oai:https://spectrum.library.concordia.ca:975874","doi":null,"is_oa":true,"landing_page_url":"https://spectrum.library.concordia.ca/975874/1/NR37780.pdf","pdf_url":"https://spectrum.library.concordia.ca/975874/1/NR37780.pdf","source":{"id":"https://openalex.org/S4306400871","display_name":"Spectrum Research Repository (Concordia University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I60158472","host_organization_name":"Concordia University","host_organization_lineage":["https://openalex.org/I60158472"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Thesis"},{"id":"mag:26987716","doi":null,"is_oa":false,"landing_page_url":"https://spectrum.library.concordia.ca/975874/","pdf_url":null,"source":null,"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":null}],"best_oa_location":{"id":"pmh:oai:https://spectrum.library.concordia.ca:975874","doi":null,"is_oa":true,"landing_page_url":"https://spectrum.library.concordia.ca/975874/1/NR37780.pdf","pdf_url":"https://spectrum.library.concordia.ca/975874/1/NR37780.pdf","source":{"id":"https://openalex.org/S4306400871","display_name":"Spectrum Research Repository (Concordia University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I60158472","host_organization_name":"Concordia University","host_organization_lineage":["https://openalex.org/I60158472"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Thesis"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W26987716.pdf","grobid_xml":"https://content.openalex.org/works/W26987716.grobid-xml"},"referenced_works_count":7,"referenced_works":["https://openalex.org/W1984697146","https://openalex.org/W1986378960","https://openalex.org/W2005158847","https://openalex.org/W2125067373","https://openalex.org/W2296613601","https://openalex.org/W2890661232","https://openalex.org/W3121439679"],"related_works":["https://openalex.org/W601367153","https://openalex.org/W2943433363","https://openalex.org/W2152947540","https://openalex.org/W2144011878","https://openalex.org/W7098523217","https://openalex.org/W3122010017","https://openalex.org/W2016953909","https://openalex.org/W2785518958","https://openalex.org/W2291439521","https://openalex.org/W2124310733"],"abstract_inverted_index":{"In":[0,62],"the":[1,10,17,65,79,86,97,119,141,145,170,178,181,188,194,242,249,254,261,264,270,296,326,348,358,367],"first":[2,146,182,243],"essay":[3,130,237],"American":[4],"call":[5,135,154,183],"and":[6,23,55,94,104,114,159,336,353],"put":[7,46],"options":[8],"on":[9,190,248,325,347],"S&P":[11],"500":[12],"index":[13],"futures":[14],"that":[15,140,357],"violate":[16,41],"stochastic":[18,231],"dominance":[19],"bounds":[20,121],"of":[21,52,67,89,101,112,118,148,196,215,245,256,263,266,278,328],"Constantinides":[22,158],"Perrakis":[24,160],"(CP,":[25],"2007)":[26],"over":[27,57],"1983-2006":[28],"are":[29,109,233,285,339,351],"identified":[30],"as":[31,122,169,180],"potentially":[32],"profitable":[33],"investment":[34],"opportunities.":[35],"Call":[36],"bid":[37,47],"prices":[38,48],"more":[39,138],"frequently":[40],"their":[42,290],"upper":[43],"bound":[44,137,156,179,185,204],"than":[45],"do,":[49],"while":[50],"evidence":[51],"underpriced":[53],"calls":[54],"puts":[56],"this":[58,149,246],"period":[59],"is":[60,82,162,205,308,334,355],"scant.":[61],"out-of-sample":[63],"tests,":[64],"inclusion":[66],"short":[68],"positions":[69],"in":[70,78,144,157,187,193,241,253,293,315,320],"such":[71],"overpriced":[72],"calls,":[73],"puts,":[74],"and,":[75],"particularly,":[76],"straddles":[77],"market":[80],"portfolio":[81],"shown":[83,163,206,286,356],"to":[84,164,174,207,221,287,295,366],"increase":[85,96],"expected":[87],"utility":[88],"any":[90],"risk":[91],"averse":[92],"investor":[93],"also":[95,115],"Sharpe":[98],"ratio,":[99],"net":[100],"transaction":[102,197,257,268,330],"costs":[103,198],"bid-ask":[105],"spreads.":[106],"The":[107,128,151,203,235],"results":[108,338,342],"strongly":[110,116],"supportive":[111,117],"mispricing":[113],"CP":[120],"screening":[123],"mechanisms":[124],"for":[125,134,211,299,310,331],"mispriced":[126],"options.":[127],"second":[129],"introduces":[131],"a":[132,166,200,212,226,274,279,344],"result":[133],"lower":[136,155,184],"powerful":[139],"one":[142],"applied":[143],"part":[147,244],"thesis.":[150],"Proposition":[152],"5":[153],"(2002)":[161],"have":[165],"non-trivial":[167,201],"limit":[168],"time":[171,216,370],"interval":[172],"tends":[173],"zero.":[175],"This":[176],"establishes":[177],"known":[186],"literature":[189],"derivative":[191],"pricing":[192],"presence":[195,255],"with":[199,343],"limit.":[202,371],"be":[208],"tight":[209],"even":[210],"low":[213],"number":[214],"subdivisions.":[217],"Novel":[218],"numerical":[219,306,359],"methods":[220],"derive":[222,260],"recursive":[223],"expectations":[224],"under":[225],"Markovian":[227],"but":[228],"non-identically":[229],"distributed":[230,301],"process":[232],"presented.":[234,340],"third":[236],"relaxes":[238],"an":[239,321],"assumption":[240],"thesis":[247],"optimal":[250],"trading":[251],"policy":[252],"costs.":[258],"We":[259],"boundaries":[262,284],"region":[265,327],"no":[267,329],"when":[269],"risky":[271,312],"asset":[272,313],"follows":[273],"mixed":[275],"jump-diffusion":[276],"instead":[277],"simple":[280],"diffusion":[281,291],"process.":[282],"These":[283],"differ":[288],"from":[289],"counterparts":[292],"relation":[294],"jump":[297,302],"intensity":[298],"lognormally":[300],"size.":[303],"A":[304],"general":[305],"approach":[307],"presented":[309,352],"iid":[311],"returns":[314],"discrete":[316],"time.":[317],"An":[318],"error":[319],"earlier":[322],"published":[323],"work":[324],"discretized":[332],"diffusions":[333],"demonstrated":[335],"corrected":[337],"Comparative":[341],"recent":[345],"study":[346],"same":[349],"topic":[350],"it":[354],"algorithm":[360],"has":[361],"equally":[362],"attractive":[363],"approximation":[364],"properties":[365],"unknown":[368],"continuous":[369]},"counts_by_year":[],"updated_date":"2026-09-26T08:19:03.415552","created_date":"2016-06-24T00:00:00"}