European option pricing under cumulative prospect theory with constant relative sensitivity probability weighting functions

DOI10.1007/s10287-018-0324-yOpenAlexW2811118086MaRDI QIDQ1722761

Martina Nardon, Paolo Pianca

Publication date: 18 February 2019

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-018-0324-y

zbMATH Keywords

curvaturecumulative prospect theoryprobability weighting functionelevationeuropean option pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Probabilistic models, generic numerical methods in probability and statistics (65C20) Derivative securities (option pricing, hedging, etc.) (91G20) Operations research and management science (90Bxx)

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Behavioral premium principles ⋮ Insurance premium-based shortfall risk measure induced by cumulative prospect theory

Cites Work

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