Covered Call Writing and Framing: A Cumulative Prospect Theory Approach

DOI10.1007/978-3-319-50234-2_12zbMath1383.62246OpenAlexW2776352840MaRDI QIDQ4609757

Martina Nardon, Paolo Pianca

Publication date: 26 March 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/10.1007/978-3-319-50234-2_12

zbMATH Keywords

cumulative prospect theorycovered call writing

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Pricing of Options and Corporate Liabilities
• The behavioural components of risk aversion
• Advances in prospect theory: cumulative representation of uncertainty
• Prospect Theory: An Analysis of Decision under Risk
• A Behavioural Approach to the Pricing of European Options

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