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  • Search: subject:"Probability Distortion Functions"
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Black And Sholes 1 Contingent Claim Pricing 1 Insurance Pricing 1 Non-expected Utility 1 Probability Distortion Functions 1
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Hamada, Mahmoud 1 Sherris, Michael 1
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Applied Mathematical Finance 1
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Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory
Hamada, Mahmoud; Sherris, Michael - In: Applied Mathematical Finance 10 (2003) 1, pp. 19-47
exchanges. This approach uses probability distortion functions as the dual of the utility functions used in financial theory …
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