Choquet-based European option pricing with stochastic (and fixed) strikes.

Tarik Driouchi Lenos Trigeorgis Yongling Gao

Published in: OR Spectr. (2015)

Keyphrases

option pricing
black scholes
stock price
decision analysis
capital budgeting
black scholes model
real option
expert systems
multi objective
named entities
multi criteria
decision making
long term
decision makers
non stationary
stock market