OPTIONS PRICING UNDER THE NON-ADDITIVE EXPECTATIONS WITH HETEROGENEITY

摘要：

Behavioral finance indicates that people are heterogeneous. In this paper, one method of options pricing with heterogeneous expectations is proposed. Heterogeneity of people is expressed by non-additive expectations with a random parameterAin one sort of non-additive measure. Then, these heterogeneous expectations are ag gregated by ordinary additive integral. Based on this, a new pricing method for European options is proposed. Through simulation, it turns out that there are more advantages in interpreting some puzzles than classical Black-Seholes model.

关键词： Non-additive expectation Heterogeneity Aggregation Option pricing

作者: Chengli Zheng Yan Chen Liyan Han

作者单位: School of Ecomnomics, Huazhong Normal University, Wuhan 430079, China Sehool of Eeomnomies & Management, Xianning University, Xianning 437000, China Sehool of Eeomnomies & Management, Beihang University,Beijing10083, China

会议类型: 国际会议

会议名称: The Ninth International Conference on Industrial Management(第九届工业管理国际会议 ICIM2008)

会议地点: 日本大阪

会议语种:英文

页码: 669-674

在线出版日期: 2008-09-16（万方平台首次上网日期，不代表论文的发表时间）