A Behavioural Approach to the Pricing of European Options

DOI10.1007/978-3-319-02499-8_20zbMath1418.91530OpenAlexW1573794536MaRDI QIDQ4561916

Martina Nardon, Paolo Pianca

Publication date: 13 December 2018

Published in: Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-02499-8_20

zbMATH Keywords

loss aversionprospect theoryoption priceweighting functioncall option

Mathematics Subject Classification ID

Utility theory (91B16) Derivative securities (option pricing, hedging, etc.) (91G20)

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Covered Call Writing and Framing: A Cumulative Prospect Theory Approach ⋮ Optimal Portfolio Selection for an Investor with Asymmetric Attitude to Gains and Losses

Cites Work

• The Pricing of Options and Corporate Liabilities
• Separating curvature and elevation: a parametric probability weighting function
• The behavioural components of risk aversion
• Advances in prospect theory: cumulative representation of uncertainty
• Prospect Theory: An Analysis of Decision under Risk
• The Probability Weighting Function

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