10
H index
10
i10 index
294
Citations
Stylianos Perrakis : Citation Profile
Concordia University | RESEARCH PRODUCTION: 45 Articles 17 Papers 1 Books RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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50 years (1972 - 2022). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Stylianos Perrakis. | Is cited by:
| Cites to:
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Main data
Where Stylianos Perrakis has published?
Recent works citing Stylianos Perrakis (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2025 | Stochastic arbitrage with market index options. (2025). Beare, Brendan ; Seo, Juwon. In: Papers. RePEc:arx:papers:2207.00949. Full description at Econpapers || Download paper |
| 2024 | Asset pricing under model uncertainty with finite time and states. (2024). Zhang, Wenqing ; Yang, Shuzhen. In: Papers. RePEc:arx:papers:2408.13048. Full description at Econpapers || Download paper |
| 2025 | A simple model of natural oligopoly with an unlimited number of firms. (2025). Krishnamurthy, Prasad. In: Economics Bulletin. RePEc:ebl:ecbull:eb-24-00506. Full description at Econpapers || Download paper |
| 2024 | Persistent and transient variance components in option pricing models with variance-dependent Kernel. (2024). Ghanbari, Hamed. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000665. Full description at Econpapers || Download paper |
| 2025 | Stochastic arbitrage with market index options. (2025). Beare, Brendan ; Zheng, Zhongxi ; Seo, Juwon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:173:y:2025:i:c:s0378426625000160. Full description at Econpapers || Download paper |
| 2024 | Selling options to beat the market: Further empirical evidence. (2024). Serna, Gregorio ; Balbas, Alejandro. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pb:s0275531923002453. Full description at Econpapers || Download paper |
| 2024 | Stochastic Arbitrage Opportunities: Set Estimation and Statistical Testing. (2024). Post, Thierry ; Arvanitis, Stelios. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:4:p:608-:d:1341021. Full description at Econpapers || Download paper |
| 2025 | Norm Constrained Empirical Portfolio Optimization with Stochastic Dominance: Robust Optimization Non-Asymptotics. (2025). Arvanitis, Stelios. In: Working Paper. RePEc:qed:wpaper:1533. Full description at Econpapers || Download paper |
Works by Stylianos Perrakis:
| Year | Title | Type | Cited |
|---|---|---|---|
| 1976 | On the Regulated Price-Setting Monopoly Firm with a Random Demand Curve. In: American Economic Review. [Full Text][Citation analysis] | article | 4 |
| 1980 | Factor-Price Uncertainty with Variable Proportions: Note. In: American Economic Review. [Full Text][Citation analysis] | article | 3 |
| 2010 | PIP Transactions, Price Improvement, Informed Trades and Order Execution Quality In: European Financial Management. [Full Text][Citation analysis] | article | 0 |
| 2017 | Liquidity Risk and Volatility Risk in Credit Spread Models: A Unified Approach In: European Financial Management. [Full Text][Citation analysis] | article | 2 |
| 2021 | Shedding light on a dark matter: Jump diffusion and option‐implied investor preferences In: European Financial Management. [Full Text][Citation analysis] | article | 1 |
| 2020 | Mispriced index option portfolios In: Financial Management. [Full Text][Citation analysis] | article | 9 |
| 2017 | Mispriced Index Option Portfolios.(2017) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 1984 | Option Pricing Bounds in Discrete Time. In: Journal of Finance. [Full Text][Citation analysis] | article | 37 |
| 2011 | Are Options on Index Futures Profitable for Risk‐Averse Investors? Empirical Evidence In: Journal of Finance. [Citation analysis] | article | 21 |
| 2010 | Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence.(2010) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
| 2008 | Are options on index futures profitable for risk averse investors? Empirical evidence.(2008) In: CoFE Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
| 1989 | MONOPOLY AND MARKET COVERAGE IN A VERTICALLY DIFFERENTIATED MARKET. In: Carleton Industrial Organization Research Unit (CIORU). [Citation analysis] | paper | 0 |
| 1989 | VERTICAL DIFFERENTIATION AND ENTRY THREAT IN A NATURAL DUOPOLY. In: Carleton Industrial Organization Research Unit (CIORU). [Citation analysis] | paper | 1 |
| 1990 | Monopoly, Entry and Market Coverage in a Vertically Differentiated Market In: Carleton Industrial Organization Research Unit (CIORU). [Citation analysis] | paper | 0 |
| 1979 | On the Technological Implications of the Spanning Theorem. In: Canadian Journal of Economics. [Full Text][Citation analysis] | article | 0 |
| 1991 | Assessing Competition in Canadas Financial System: A Note. In: Canadian Journal of Economics. [Full Text][Citation analysis] | article | 14 |
| 1975 | Certainty Equivalents and Timing Uncertainty In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 0 |
| 1976 | A Note on Optimal Equity Financing of the Corporation In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 0 |
| 1977 | Abstract: Stochastic Dominance in the Laplace Transformation Domain In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 0 |
| 1978 | Identifying the SSD Portion of the EV Frontier: A Note In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 0 |
| 2000 | Option pricing and replication with transaction costs and dividends In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 7 |
| 1999 | Option Pricing and Replication with Transaction Costs and Dividends.(1999) In: FAME Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2002 | Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 17 |
| 2002 | Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs.(2002) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
| 2004 | The American put under transactions costs In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 3 |
| 1999 | Free entry may reduce total willingness-to-pay1 In: Economics Letters. [Full Text][Citation analysis] | article | 6 |
| 2017 | Price discovery in equity and CDS markets In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 8 |
| 2021 | Financial oligopolies and parallel exclusion in the credit default swap markets In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 1 |
| 1997 | Vertical differentiation: Entry and market coverage with multiproduct firms In: International Journal of Industrial Organization. [Full Text][Citation analysis] | article | 14 |
| 2011 | Competition, interlisting and market structure in options trading In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 0 |
| 2013 | Valuing catastrophe derivatives under limited diversification: A stochastic dominance approach In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 4 |
| 2015 | Credit spreads and state-dependent volatility: Theory and empirical evidence In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 3 |
| 2002 | Financial Structure and Market Equilibrium in a Vertically Differentiated Industry In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 1996 | Entry and Minimum Quality Standards in a Vertically Differentiated Industry. In: Laval - Recherche en Energie. [Citation analysis] | paper | 0 |
| 1996 | Entry and Minimum Quality Standards in a Vertically Differentiated Industry.(1996) In: Cahiers de recherche. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 1972 | Resource Allocation and Scale of Operations in a Monopoly Firm: A Dynamic Analysis. In: International Economic Review. [Full Text][Citation analysis] | article | 4 |
| 1976 | Rate of Return Regulation of a Monopoly Firm with Random Demand. In: International Economic Review. [Full Text][Citation analysis] | article | 5 |
| 1974 | The Evaluation of Risky Investments with Random Timing of Cash Returns In: Management Science. [Full Text][Citation analysis] | article | 3 |
| 1976 | On Risky Investments with Random Timing of Cash Returns and Fixed Planning Horizon In: Management Science. [Full Text][Citation analysis] | article | 2 |
| 1997 | Derivative Asset Pricing with Transaction Costs: An Extension. In: Computational Economics. [Full Text][Citation analysis] | article | 8 |
| 2022 | From innovation to obfuscation: continuous time finance fifty years later In: Financial Markets and Portfolio Management. [Full Text][Citation analysis] | article | 2 |
| 1998 | Minimum Quality Standards, Entry, and the Timing of the Quality Decision. In: Journal of Regulatory Economics. [Full Text][Citation analysis] | article | 15 |
| 2008 | Financial Structure and Product Qualities. In: Discussion Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2010 | On the Impact of Financial Structure on Product Selection In: Discussion Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Mispricing of S&P 500 Index Options In: NBER Working Papers. [Full Text][Citation analysis] | paper | 46 |
| 2009 | Mispricing of S&P 500 Index Options.(2009) In: The Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 46 | article | |
| 2009 | Mispricing of S&P 500 Index Options.(2009) In: The Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 46 | article | |
| 2005 | Mispricing of S&P 500 index options.(2005) In: CoFE Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 46 | paper | |
| 2021 | Mispricing of Index Options with Respect to Stochastic Dominance Bounds? A Reply In: Critical Finance Review. [Full Text][Citation analysis] | article | 0 |
| 1986 | Uncertainty, Economies of Scale, and Barrier to Entry. In: Oxford Economic Papers. [Full Text][Citation analysis] | article | 0 |
| 1983 | Capacity and Entry Under Demand Uncertainty In: The Review of Economic Studies. [Full Text][Citation analysis] | article | 13 |
| 2007 | Option Pricing: Real and Risk-Neutral Distributions In: MPRA Paper. [Full Text][Citation analysis] | paper | 10 |
| 2005 | Option pricing: Real and risk-neutral distributions.(2005) In: CoFE Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 1988 | An International Duopoly Model Under Exchange Rate Uncertainty In: Revue Économique. [Full Text][Citation analysis] | article | 2 |
| 1989 | Les contributions de la théorie financière à la solution de problèmes en organisation industrielle et en microéconomie appliquée In: L'Actualité Economique. [Full Text][Citation analysis] | article | 1 |
| 1995 | Différenciation verticale et structure du marché In: L'Actualité Economique. [Full Text][Citation analysis] | article | 0 |
| 2019 | Stochastic Dominance Option Pricing In: Springer Books. [Citation analysis] | book | 6 |
| 1986 | Option Bounds in Discrete Time: Extensions and the Pricing of the American Put. In: The Journal of Business. [Full Text][Citation analysis] | article | 19 |
| 1998 | Asymmetric information in commodity futures markets: Theory and empirical evidence In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 3 |
| 2018 | Catastrophe futures and reinsurance contracts: An incomplete markets approach In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 0 |
| 1983 | Optimal replacement policies with two or more loaded sliding standbys In: Naval Research Logistics Quarterly. [Full Text][Citation analysis] | article | 0 |
| 2016 | Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics I: A Numerical Solution In: Quarterly Journal of Finance (QJF). [Full Text][Citation analysis] | article | 0 |
| 2016 | Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics II: Economic Implications In: Quarterly Journal of Finance (QJF). [Full Text][Citation analysis] | article | 0 |
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