Choquet-based European option pricing with stochastic (and fixed) strikes
Year of publication: |
2015
|
---|---|
Authors: | Driouchi, Tarik ; Trigeorgis, Lenos ; Gao, Yongling |
Published in: |
OR spectrum : quantitative approaches in management. - Berlin : Springer, ISSN 0171-6468, ZDB-ID 2073885-7. - Vol. 37.2015, 3, p. 787-802
|
Subject: | Option pricing | Ambiguity | Choquet uncertainty | Decision theory | Investment behavior | Entscheidung unter Unsicherheit | Decision under uncertainty | Optionspreistheorie | Option pricing theory | Erwartungsnutzen | Expected utility | Entscheidungstheorie |
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