Option price without expected utility

DOI10.1016/J.ECONLET.2008.03.006zbMath1255.91405OpenAlexW2011471561MaRDI QIDQ1934888

W. Douglass Shaw, Paan Jindapon

Publication date: 29 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2008.03.006

zbMATH Keywords

option pricerank-dependent expected utility

Mathematics Subject Classification ID

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

Cites Work

• First order versus second order risk aversion
• Advances in prospect theory: cumulative representation of uncertainty
• First-order risk aversion and non-differentiability
• Prospect Theory: An Analysis of Decision under Risk

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