Prospect theory: An application to European option pricing

Part of book or chapter of book, Preprint OPEN
Martina Nardon ; Paolo Pianca (2012)
  • Publisher: Ca' Foscari University of Venice, Department of Economics
  • Subject: Behavioral Finance, Cumulative Prospect Theory, European Option Pricing. | Behavioral Finance; Cumulative Prospect Theory; European Option Pricing
    • jel: jel:G13 | jel:C63 | jel:D81

Empirical studies on quoted options highlight deviations from the theoretical model of Black and Scholes; this is due to different causes, such as assumptions regarding the price dynamics, markets frictions and investors' attitude toward risk. In this contribution, we f... View more
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