Zobrazeno 1 - 10
of 26
pro vyhledávání: '"Paolo Pianca"'
Autor:
Paolo Pianca, Martina Nardon
Publikováno v:
Computational Management Science. 16:249-274
In this contribution, we evaluate European financial options under continuous cumulative prospect theory. In prospect theory, risk attitude and loss aversion are shaped via a value function, while a probability weighting function models probabilistic
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b0907cf948d07639978e1c1928b9a2d0
https://doi.org/10.1007/s10287-018-0324-y
https://doi.org/10.1007/s10287-018-0324-y
Autor:
Paolo Pianca, Martina Nardon
We define a premium principle under the continuous cumulative prospect theory which extends the equivalent utility principle. In prospect theory, risk attitude and loss aversion are shaped via a value function, whereas a transformation of objective p
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9cf56c7b442d4ef1c3fd7b12bdc3e35c
http://hdl.handle.net/10278/3713111
http://hdl.handle.net/10278/3713111
Autor:
Paolo Pianca, Martina Nardon
Publikováno v:
Mathematical and Statistical Methods for Actuarial Sciences and Finance ISBN: 9783319898230
The focus of this contribution is on the transformation of objective probability, which in Prospect Theory is commonly referred as probability weighting. Empirical evidence suggests a typical inverse-S shaped function: decision makers tend to overwei
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2d25496ca6a6b9cb95f9a5cc6ab356a6
https://doi.org/10.1007/978-3-319-89824-7_85
https://doi.org/10.1007/978-3-319-89824-7_85
Autor:
Paolo Pianca, Martina Nardon
Publikováno v:
Mathematical and Statistical Methods for Actuarial Sciences and Finance ISBN: 9783319502335
The covered call writing, which entails selling a call option on one’s underlying stock holdings, is perceived by investors as a strategy with limited risk. It is a very popular strategy used by individual, professional and institutional investors.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9e02a596acffc553501e5947637742f3
http://hdl.handle.net/10278/3695955
http://hdl.handle.net/10278/3695955
Autor:
Paolo Pianca, Martina Nardon
Publikováno v:
SSRN Electronic Journal.
The covered call writing, which entails selling a call option on one’s underlying stock holdings, is perceived by investors as a strategy with limited risk. It is a very popular strategy used by individual, professional and institutional investors;
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b3f9665e387bbff3232b6368818955f7
https://doi.org/10.2139/ssrn.2877353
https://doi.org/10.2139/ssrn.2877353
Autor:
Paolo Pianca, Martina Nardon
Publikováno v:
SSRN Electronic Journal.
Cumulative prospect theory (CPT) has been proposed as an alternative to expected utility theory to explain irregular behavior by economic agents. CPT comprises two key transformations: one of outcome values and the other of objective probabilities. R
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::39abce8bbd77231fb64bfb8071214f65
https://doi.org/10.2139/ssrn.2675133
https://doi.org/10.2139/ssrn.2675133
Publikováno v:
Decisions in Economics and Finance. 27:35-56
In this contribution we propose a two-step simulation procedure that enables to compute the exercise features of American options and analyze the properties of the optimal exercise times and exercise probabilities. The first step of the procedure is
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a48f82a817a3c3c76b05b5c916e54e66
https://doi.org/10.1007/s10203-004-0045-2
https://doi.org/10.1007/s10203-004-0045-2
Autor:
Martina Nardon, Paolo Pianca
Publikováno v:
Mathematical and Statistical Methods for Actuarial Sciences and Finance ISBN: 9783319024981
Empirical studies on quoted options highlight deviations from the theoretical model of Black and Scholes; this is due to different causes, such as assumptions regarding the price dynamics, markets frictions and investors’ attitude toward risk. In t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::20eb56a639bbafa50018e59769173c1f
https://doi.org/10.1007/978-3-319-02499-8_20
https://doi.org/10.1007/978-3-319-02499-8_20
Autor:
Paolo Pianca, Martina Nardon
Publikováno v:
SSRN Electronic Journal.
We evaluate European financial options under continuous cumulative prospect theory. Within this framework, it is possible to model investors’ attitude toward risk, which may be one of the possible causes of mispricing. We focus on probability risk
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ef31284bdf28c98fd55b9e931d0a7882
https://doi.org/10.2139/ssrn.2539085
https://doi.org/10.2139/ssrn.2539085
Autor:
Martina Nardon, Paolo Pianca
Publikováno v:
Mathematical and Statistical Methods for Actuarial Sciences and Finance ISBN: 9783319050133
We evaluate European financial options under continuous cumulative prospect theory. Within this framework, it is possible to model investors’ attitude toward risk, which may be one of the possible causes of pricing errors. We focus on probability r
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::264904ff45e41822a6ace079441af280
http://hdl.handle.net/10278/39982
http://hdl.handle.net/10278/39982