American option pricing with imprecise risk-neutral probabilities.

Silvia Muzzioli Huguette Reynaerts

Published in: Int. J. Approx. Reason. (2008)

Keyphrases

option pricing
risk neutral
risk averse
decision analysis
black scholes
risk aversion
stock price
decision makers
risk sensitive
utility function
real option
probability distribution
black scholes model
belief networks
fuzzy logic
multi attribute
expected utility
conditional probabilities
theoretical framework