Contingent claim pricing using probability distortion operators: Methods from insurance risk pricing and their relationship to financial theory

Applied Mathematical Finance

Volumn 10, Issue 1, 2003, Pages 19-47

  Hamada, Mahmoud ^a   Sherris, Michael ^a  

^a UNIVERSITY OF NEW SOUTH WALES   (Australia)

Author keywords

Black and Sholes; Contingent claim pricing; Insurance pricing; Non expected utility; Probability distortion functions

Indexed keywords

EID: 0345060532     PISSN: 1350486X     EISSN: None     Source Type: Journal    
DOI: 10.1080/1350486032000069580     Document Type: Article

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