Prospect theory: An application to European option pricing
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More about this item
Keywords
Behavioral Finance; Cumulative Prospect Theory; European Option Pricing.;All these keywords.
JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-UPT-2013-01-07 (Utility Models and Prospect Theory)
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