European option pricing under cumulative prospect theory with constant relative sensitivity probability weighting functions.
Martina NardonPaolo PiancaPublished in: Comput. Manag. Sci. (2019)
Keyphrases
- option pricing
- decision analysis
- cumulative prospect theory
- weighting functions
- influence diagrams
- multi criteria
- decision makers
- sensitivity analysis
- multi attribute
- decision making
- cost function
- risk analysis
- decision theory
- probability distribution
- conditional probabilities
- game playing
- stock price
- decision model
- real option
- machine learning
- expert knowledge
- information retrieval