European option pricing under cumulative prospect theory with constant relative sensitivity probability weighting functions
Martina Nardon, Paolo Pianca
| Year of publication: |
2019
|
|---|---|
| Authors: | Nardon, Martina ; Pianca, Paolo |
| Published in: |
Computational Management Science : CMS. - Berlin : Springer, ISSN 1619-697X, ZDB-ID 2136735-8. - Vol. 16.2019, 1/2, p. 249-274
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| Subject: | European option pricing | Cumulative prospect theory | Probability weighting function | Curvature | Elevation | Prospect Theory | Prospect theory | Optionspreistheorie | Option pricing theory | Entscheidung unter Unsicherheit | Decision under uncertainty | Wahrscheinlichkeitsrechnung | Probability theory | Erwartungsnutzen | Expected utility | Optionsgeschäft | Option trading | Risikoaversion | Risk aversion |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal ; Konferenzbeitrag ; Conference paper |
| Language: | English |
| Other identifiers: | 10.1007/s10287-018-0324-y [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011993474