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: | Gu, G. (Author), Hu, X. (Author), Sun, F. (Author), Wang, W. (Author) |
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Format: | Article |
Language: | English |
Published: |
Strojarski Facultet
2023
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Subjects: | |
Online Access: | View Fulltext in Publisher |
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