most citedOption Pricing with Greed and Fear Factor: The Rational Finance Approach

2 citations · 2 across the 1 of their papers we have counts for

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1 paper

q-fin.GN2017★ 2 cited

Option Pricing with Greed and Fear Factor: The Rational Finance Approach

Svetlozar Rachev, Frank J. Fabozzi, Boryana Racheva-Iotova +1

We explain the main concepts of Prospect Theory and Cumulative Prospect Theory within the framework of rational dynamic asset pricing theory. We derive option pricing formulas when…