Prospect Theory: An Application to European Option Pricing
نویسندگان
چکیده
منابع مشابه
A Prospect Approach to Option Pricing
It’s a well known empirical fact that actual option prices show persistent and systematic deviations from Black-Scholes option values. While a substantial number of enhancements have been proposed in the literature, these approaches typically leave investor’s preferences towards risk unmodified. Recently, empirical studies using option prices find support for non-concave utility functions propo...
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We consider several Frequently Asked Questions (FAQ’s) in option pricing theory. I thank Ajay Khanna and Carol Marquardt for their comments.
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2192037