An Optimization Approach for pricing of Discrete European Call options Based on the Preference of Investors
Firstly, a method for measuring the risk aversion of investors was proposed based on the prospect theory. Secondly, under a sole hypothetical condition in which the risk aversion degree for different assets is the same in a market, the pricing of discrete European options was given based on the obje...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Strojarski Facultet
2023
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |