Pricing risk when distributions are fat tailed
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Publication:4822459
DOI10.1239/JAP/1082552197zbMath1070.91031OpenAlexW4254357466MaRDI QIDQ4822459
Publication date: 25 October 2004
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1082552197
Related Items (1)
Cites Work
- Some implications of a more general form of regret theory
- Advances in prospect theory: cumulative representation of uncertainty
- An actuarial approach to option pricing under the physical measure and without market assumptions
- Subjective Probability and Expected Utility without Additivity
- Prospect Theory: An Analysis of Decision under Risk
- A note on linear utility
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