Stylianos Perrakis

Concordia University, Quebec - John Molson School of Business

1455 de Maisonneuve Blvd. W.

Montreal, Quebec H3G 1M8

Canada

  • Concordia University, Quebec - John Molson School of Business

SCHOLARLY PAPERS

34

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161

CROSSREF CITATIONS

70

Scholarly Papers (34)

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1.

A Jumping Smile

Number of pages: 36 Posted: 09 Sep 1996
Jean Masson and Stylianos Perrakis
TD Asset Management and Concordia University, Quebec - John Molson School of Business
Downloads 752 (56,719)
Citation 1

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2.

Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence

Downloads 660 (67,300)
Citation 17

Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence

Fama-Miller Working Paper , Chicago Booth Research Paper No. 11-23
Number of pages: 56 Posted: 18 Mar 2008 Last Revised: 27 Jul 2011
George M. Constantinides, Michal Czerwonko, Jens Carsten Jackwerth and Stylianos Perrakis
University of Chicago - Booth School of Business, Nazarbayev University, University of Konstanz - Department of Economics and Concordia University, Quebec - John Molson School of Business
Downloads 414 (117,809)
Citation 6

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option mispricing, futures options, derivatives pricing, stochastic dominance, transaction costs, market efficiency

Are Options on Index Futures Profitable for Risk Averse Investors‘ Empirical Evidence

Number of pages: 73 Posted: 14 Oct 2008 Last Revised: 26 Jul 2010
George M. Constantinides, Michal Czerwonko, Jens Carsten Jackwerth and Stylianos Perrakis
University of Chicago - Booth School of Business, Nazarbayev University, University of Konstanz - Department of Economics and Concordia University, Quebec - John Molson School of Business
Downloads 199 (252,397)
Citation 3

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option mispricing, futures options, derivatives pricing, stochastic dominance, transaction costs, market efficiency

Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence

NBER Working Paper No. w16302
Number of pages: 56 Posted: 30 Aug 2010 Last Revised: 19 Jul 2023
George M. Constantinides, Michal Czerwonko, Jens Carsten Jackwerth and Stylianos Perrakis
University of Chicago - Booth School of Business, McGill University, University of Konstanz - Department of Economics and Concordia University, Quebec - John Molson School of Business
Downloads 47 (668,387)
Citation 8

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3.

Mispricing of S&P 500 Index Options

Downloads 654 (68,095)
Citation 25

Mispricing of S&P 500 Index Options

EFA 2005 Moscow Meetings
Number of pages: 49 Posted: 24 Feb 2005
George M. Constantinides, Jens Carsten Jackwerth and Stylianos Perrakis
University of Chicago - Booth School of Business, University of Konstanz - Department of Economics and Concordia University, Quebec - John Molson School of Business
Downloads 569 (80,142)
Citation 14

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Derivative pricing; volatility smile, incomplete markets, transaction costs; index options; stochastic dominance bounds

Mispricing of S&P 500 Index Options

NBER Working Paper No. w14544
Number of pages: 50 Posted: 15 Jan 2009 Last Revised: 29 Sep 2022
George M. Constantinides, Jens Carsten Jackwerth and Stylianos Perrakis
University of Chicago - Booth School of Business, University of Konstanz - Department of Economics and Concordia University, Quebec - John Molson School of Business
Downloads 85 (488,667)
Citation 12

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Mispricing of S&P 500 Index Options

The Review of Financial Studies, Vol. 22, Issue 3, pp. 1247-1277, 2009
Posted: 17 Mar 2009
George M. Constantinides, Jens Carsten Jackwerth and Stylianos Perrakis
University of Chicago - Booth School of Business, University of Konstanz - Department of Economics and Concordia University, Quebec - John Molson School of Business

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G10, G13

4.

Mispriced Index Option Portfolios

Downloads 379 (131,656)
Citation 5

Mispriced Index Option Portfolios

Number of pages: 70 Posted: 12 Jan 2017 Last Revised: 13 Dec 2017
George M. Constantinides, Michal Czerwonko and Stylianos Perrakis
University of Chicago - Booth School of Business, Nazarbayev University and Concordia University, Quebec - John Molson School of Business
Downloads 335 (149,616)

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S&P 500 Options, Stochastic Dominance, Option Mispricing, Portfolio Management, CAC Options, DAX Options

Mispriced Index Option Portfolios

NBER Working Paper No. w23708
Number of pages: 71 Posted: 21 Aug 2017 Last Revised: 13 Apr 2023
George M. Constantinides, Michal Czerwonko and Stylianos Perrakis
University of Chicago - Booth School of Business, McGill University and Concordia University, Quebec - John Molson School of Business
Downloads 44 (687,151)
Citation 5

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5.

Warrant Pricing and Listing in an Emerging Market: The Case of Thailand

Number of pages: 36 Posted: 04 Jun 2007
Arnat Leemakdej, Anya Khanthavit and Stylianos Perrakis
Thammasat University - Faculty of Commerce and Accountancy, Thammasat University - Faculty of Commerce and Accountancy and Concordia University, Quebec - John Molson School of Business
Downloads 348 (144,643)

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warrant,levered firm valuation,volatility,thailand

6.

The Volume Return Relationship Under Asymmetry of Info and Short Sales Prohibitions

Number of pages: 52 Posted: 03 Dec 2001
Pongsak Hoontrakul, Peter Ryan and Stylianos Perrakis
Sasin of Chulalongkorn University, University of Ottawa - Faculty of Administration and Concordia University, Quebec - John Molson School of Business
Downloads 273 (186,601)
Citation 3

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7.

Price Formation in a Market with Short Sale Prohibition: An Empirical Investigation

Number of pages: 67 Posted: 16 Aug 2001
Pongsak Hoontrakul, Peter Ryan, Anya Khanthavit and Stylianos Perrakis
Sasin of Chulalongkorn University, University of Ottawa - Faculty of Administration, Thammasat University - Faculty of Commerce and Accountancy and Concordia University, Quebec - John Molson School of Business
Downloads 254 (200,560)
Citation 1

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8.

Option Pricing: Real and Risk-Neutral Distributions

HANDBOOKS IN OPERATIONS RESEARCH AND MANAGEMENT SCIENCE: FINANCIAL ENGINEERING, J.R. Birge, V. Linetsky, eds., Vol. 15, pp. 565-591, Elsevier, 2007
Number of pages: 37 Posted: 18 Nov 2008 Last Revised: 05 Dec 2008
George M. Constantinides, Stylianos Perrakis and Jens Carsten Jackwerth
University of Chicago - Booth School of Business, Concordia University, Quebec - John Molson School of Business and University of Konstanz - Department of Economics
Downloads 251 (202,954)

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9.

Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs

Downloads 243 (209,409)
Citation 33

Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs

Number of pages: 38 Posted: 27 Dec 2000
George M. Constantinides and Stylianos Perrakis
University of Chicago - Booth School of Business and Concordia University, Quebec - John Molson School of Business
Downloads 206 (244,378)
Citation 2

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Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs

NBER Working Paper No. w8867
Number of pages: 58 Posted: 28 Mar 2002 Last Revised: 25 Sep 2022
George M. Constantinides and Stylianos Perrakis
University of Chicago - Booth School of Business and Concordia University, Quebec - John Molson School of Business
Downloads 37 (735,736)
Citation 3

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10.

Stochastic Dominance and Option Pricing in Discrete and Continuous Time: An Alternative Paradigm

Number of pages: 48 Posted: 18 Mar 2006
Ioan Mihai Oancea and Stylianos Perrakis
Concordia University, Quebec - John Molson School of Business and Concordia University, Quebec - John Molson School of Business
Downloads 238 (213,644)
Citation 27

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Option pricing, option bounds, incomplete markets, jump-diffusion processes, stochastic volatility, GARCH processes

11.

Can the Black-Scholes Model Survive under Transaction Costs? An Affirmative Answer

Number of pages: 37 Posted: 14 Mar 2008
Michal Czerwonko and Stylianos Perrakis
Nazarbayev University and Concordia University, Quebec - John Molson School of Business
Downloads 236 (215,451)

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option pricing, option bounds,incomplete markets, stochastic dominance, transaction costs, diffusion processes

12.

Reforms or Bankruptcy?

Kathimerini, June 26, 2011
Number of pages: 3 Posted: 30 Jun 2011
Costas Azariadis, George Constantinides, Christos Constantatos, Harris Dellas, Nicholas Economides, Michael Haliassos, Panos Hatzipanayotou, Yannis M. Ioannides, Christos Koulovatianos, Costas Meghir, Stylianos Perrakis, Emmanuel Petrakis, Christopher A. Pissarides, Vasiliki Skreta, Thanasis Stengos, Haridimos Tsoukas, Dimitri Vayanos, Nikolaos Vettas and Anastasios Xepapadeas
Federal Reserve Banks - Federal Reserve Bank of St. Louis, affiliation not provided to SSRN, University of Macedonia, University of Bern - Department of Economics, New York University - Leonard N. Stern School of Business - Department of Economics, Goethe University Frankfurt - Faculty of Economics and Business Administration, Athens University of Economics and Business, Tufts University, Department of Finance, University of Luxembourg, Yale University, Concordia University, Quebec - John Molson School of Business, University of Crete - Department of Economics, London School of Economics & Political Science (LSE), University of Texas at Austin - Department of Economics, University of Guelph - Department of Economics, Athens Laboratory of Business Administration (ALBA), London School of Economics, Athens University of Economics and Business - Department of Economics and Athens University of Economics and Business
Downloads 219 (231,479)

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Greece, reforms, bankruptcy, restructuring, privatization

13.

Financial Oligopolies: Theory and Empirical Evidence in the Credit Default Swap Markets

Downloads 210 (240,567)
Citation 3

Financial Oligopolies: Theory and Empirical Evidence in the Credit Default Swap Markets

Number of pages: 69 Posted: 17 May 2013 Last Revised: 11 Nov 2017
Lawrence Kryzanowski, Stylianos Perrakis and Rui Zhong
Concordia University, Quebec - John Molson School of Business, Concordia University, Quebec - John Molson School of Business and The University of Western Australia - UWA Business School
Downloads 148 (326,674)

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Oligopolies, Market Structure, Barriers to Entry, (Loan) Credit Default Swaps, Limits to Arbitrage

Financial Oligopolies: Theory and Empirical Evidence in the Credit Default Swap Markets

Number of pages: 69 Posted: 10 Nov 2017
Lawrence Kryzanowski, Stylianos Perrakis and Rui Zhong
Concordia University, Quebec - John Molson School of Business, Concordia University, Quebec - John Molson School of Business and The University of Western Australia - UWA Business School
Downloads 62 (585,469)
Citation 3

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Oligopolies, Market Structure, Barriers to Entry, (Loan) Credit Default Swaps, Limits to Arbitrage

14.

Index Option Anomalies: How Real Are They?

Number of pages: 24 Posted: 27 Nov 2018 Last Revised: 25 Apr 2019
Michal Czerwonko and Stylianos Perrakis
Nazarbayev University and Concordia University, Quebec - John Molson School of Business
Downloads 189 (264,780)
Citation 2

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S&P 500 options, stochastic dominance, option mispricing, portfolio management

15.

Transaction Costs and Stochastic Dominance Efficiency in the Index Futures Options Market

Number of pages: 45 Posted: 16 Mar 2006
Michal Czerwonko and Stylianos Perrakis
Concordia University, Quebec - John Molson School of Business and Concordia University, Quebec - John Molson School of Business
Downloads 184 (271,209)
Citation 1

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Derivatives pricing, Transaction costs, Stochastic dominance, Index options, Futures options

16.

Tick Size, Microstructure Noise, Informed Trading and Volatility Inversion Effects on Price Discovery in Option Markets: Theory and Empirical Evidence

Number of pages: 57 Posted: 18 Mar 2012
Michal Czerwonko, Nabil Khoury, Stylianos Perrakis and Marko Savor
McGill University, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG), Concordia University, Quebec - John Molson School of Business and University of Quebec in Montreal
Downloads 169 (291,928)
Citation 3

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contingent claims, market microstructure, volatility inversion, price discovery, tick size

17.

Valuing Catastrophe Derivatives Under Limited Diversification: A Stochastic Dominance Approach

Downloads 160 (305,664)
Citation 2

Valuing Catastrophe Derivatives Under Limited Diversification: A Stochastic Dominance Approach

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 35 Posted: 01 Sep 2011 Last Revised: 12 Sep 2011
Stylianos Perrakis and Ali Boloor
Concordia University, Quebec - John Molson School of Business and Concordia University
Downloads 88 (478,100)
Citation 2

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catastrophe events, jump processes, jump-diffusion, insurance products, derivative assets

Valuing Catastrophe Derivatives Under Limited Diversification: A Stochastic Dominance Approach

Journal of Banking and Finance, Vol. 37, No. 8, 2013
Number of pages: 35 Posted: 24 Jun 2011 Last Revised: 20 Dec 2014
Stylianos Perrakis and Ali Boloor
Concordia University, Quebec - John Molson School of Business and Concordia University
Downloads 72 (539,734)

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catastrophe events, jump processes, jump-diffusion, insurance products, derivative assets

18.

Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics

Number of pages: 31 Posted: 31 Oct 2008
Michal Czerwonko and Stylianos Perrakis
Nazarbayev University and Concordia University, Quebec - John Molson School of Business
Downloads 122 (378,479)

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19.

Price Discovery in Equity and CDS Markets

Journal of Financial Markets, Forthcoming
Number of pages: 61 Posted: 22 Sep 2016 Last Revised: 06 Jun 2017
Lawrence Kryzanowski, Stylianos Perrakis and Rui Zhong
Concordia University, Quebec - John Molson School of Business, Concordia University, Quebec - John Molson School of Business and The University of Western Australia - UWA Business School
Downloads 118 (387,841)
Citation 1

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Price discovery; Information shares; Information shock

20.

Can the Black-Scholes-Merton Model Survive under Transaction Costs? An Affirmative Answer

Number of pages: 48 Posted: 22 Mar 2009
Stylianos Perrakis
Concordia University, Quebec - John Molson School of Business
Downloads 109 (410,723)
Citation 2

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option pricing, option bounds, incomplete markets, stochastic dominance, transaction costs, diffusion processes

21.

Catastrophe Futures and Reinsurance Contracts: An Incomplete Markets Approach

Journal of Futures Markets
Number of pages: 44 Posted: 09 Sep 2014 Last Revised: 22 Sep 2017
Stylianos Perrakis and Ali Boloor
Concordia University, Quebec - John Molson School of Business and Concordia University
Downloads 104 (424,624)
Citation 1

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22.

Liquidity Risk and Volatility Risk in Credit Spread Models: A Unified Approach

European Financial Management, Forthcoming
Number of pages: 45 Posted: 27 Mar 2014 Last Revised: 02 Apr 2017
Stylianos Perrakis and Rui Zhong
Concordia University, Quebec - John Molson School of Business and The University of Western Australia - UWA Business School
Downloads 99 (439,385)
Citation 1

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liquidity risk, volatility risk, credit risk, structural model

23.

Price Improvement and Order Execution Quality on the Boston Options Exchange

Number of pages: 40 Posted: 21 Nov 2006 Last Revised: 27 Oct 2010
Nabil Khoury, Stylianos Perrakis and Marko Savor
University of Quebec at Montreal (UQAM) - Faculty of Management (ESG), Concordia University, Quebec - John Molson School of Business and University of Quebec in Montreal
Downloads 99 (439,385)

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market microstructure, options, price improvement process

24.

Tick Size Reduction and Price Discovery in Option Markets: An Empirical Investigation

Number of pages: 38 Posted: 28 Feb 2011
Michal Czerwonko, Nabil Khoury, Stylianos Perrakis and Marko Savor
McGill University, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG), Concordia University, Quebec - John Molson School of Business and University of Quebec in Montreal
Downloads 95 (451,423)
Citation 1

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contingent claim, market microstructure, price discovery

25.

Financial Structure and Market Equilibrium in a Vertically Differentiated Industry

Number of pages: 27 Posted: 12 Sep 2003
Jean Lefoll and Stylianos Perrakis
University of Geneva and Concordia University, Quebec - John Molson School of Business
Downloads 92 (460,884)

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Vertical differentiation, uncertainty, financial structure, leverage, quality, sequential choice

26.

Tick Size, Microstructure Noise and Volatility Inversion Effects on Price Discovery in Option Markets: Theory and Empirical Evidence

Number of pages: 44 Posted: 22 Aug 2011
Michal Czerwonko, Nabil Khoury, Stylianos Perrakis and Marko Savor
McGill University, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG), Concordia University, Quebec - John Molson School of Business and University of Quebec in Montreal
Downloads 86 (480,516)

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contingent claims, market microstructure, price discovery

27.

Tick Size, Microstructure Noise and Volatility Inversion Effects on Price Discovery in Option Markets: Theory and Empirical Evidence

24th Australasian Finance and Banking Conference 2011 Paper
Number of pages: 73 Posted: 22 Aug 2011 Last Revised: 27 May 2012
Michal Czerwonko, Nabil Khoury, Stylianos Perrakis and Marko Savor
Nazarbayev University, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG), Concordia University, Quebec - John Molson School of Business and University of Quebec in Montreal
Downloads 81 (498,136)

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Price discovery, Market microstructure, Option inversion, Stochastic volatility

28.

One Security, Four Markets: Canada-US Cross-Listed Options and Underlying Equities

Number of pages: 39 Posted: 30 Nov 2010
Michal Czerwonko, Nabil Khoury, Stylianos Perrakis and Marko Savor
McGill University, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG), Concordia University, Quebec - John Molson School of Business and University of Quebec in Montreal
Downloads 70 (541,094)

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contingent claims, market microstructure, interlisting, price discovery

29.

Tail Risk, Almost Stochastic Dominance and Index Option Anomalies

Number of pages: 54 Posted: 04 Apr 2022
Michal Czerwonko, Russell Davidson and Stylianos Perrakis
Concordia University, Quebec - John Molson School of Business, McGill University and Concordia University, Quebec - John Molson School of Business
Downloads 69 (545,251)

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S&P 500 options, stochastic dominance, option mispricing, portfolio management

30.

Stochastic Dominance, Stochastic Volatility and the Prices of Volatility and Jump Risk

Number of pages: 40 Posted: 05 Jan 2022 Last Revised: 15 Mar 2022
Stylianos Perrakis
Concordia University, Quebec - John Molson School of Business
Downloads 69 (545,251)

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Option Pricing, Stochastic Dominance, Stochastic Volatility, Pricing kernel, Jumps in Returns

31.

Credit Spreads and State-Dependent Volatility: Theory and Empirical Evidence

Journal of Banking and Finance, Vol. 55, 2015
Number of pages: 61 Posted: 27 Mar 2014 Last Revised: 03 May 2017
Stylianos Perrakis and Rui Zhong
Concordia University, Quebec - John Molson School of Business and The University of Western Australia - UWA Business School
Downloads 55 (610,340)
Citation 1

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Credit default swaps, credit risk, constant elasticity of variance, structural model

32.

Online Appendix: Portfolio Selection with Transaction Costs and Jump Diffusion Asset Dynamics I and II

Number of pages: 15 Posted: 22 May 2016
Michal Czerwonko and Stylianos Perrakis
Nazarbayev University and Concordia University, Quebec - John Molson School of Business
Downloads 50 (636,972)

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transaction costs, portfolio selection, jump diffusion, asset allocation, finite horizon

33.

Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics I: A Numerical Solution

Forthcoming in Quarterly Journal of Finance
Number of pages: 46 Posted: 12 Jan 2017
Michal Czerwonko and Stylianos Perrakis
Nazarbayev University and Concordia University, Quebec - John Molson School of Business
Downloads 49 (642,630)
Citation 2

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Transaction Costs, Portfolio Selection, Jump Diffusion, Asset Allocation, Finite Horizon

34.

Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics II: Economic Implications

Forthcoming in Quarterly Journal of Finance
Number of pages: 38 Posted: 12 Jan 2017
Michal Czerwonko and Stylianos Perrakis
Nazarbayev University and Concordia University, Quebec - John Molson School of Business
Downloads 45 (665,676)

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Transaction Costs, Portfolio Selection, Jump Diffusion, Asset Allocation, Finite Horizon

Other Papers (1)

Total Downloads: 21
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1.

Jump-Diffusion Option Valuation Without a Representative Investor: A Stochastic Dominance Approach

Number of pages: 40 Posted: 17 Mar 2009
Ioan Mihai Oancea and Stylianos Perrakis
National Bank of Canada and Concordia University, Quebec - John Molson School of Business
Downloads 21

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option pricing, incomplete markets, stochastic dominance, jump-diffusion