Work

On bid and ask pricing of European options via direct discretization of Choquet distorted expectations

Year: 2024

Type: article

Source: Quantitative Finance

DOI: 10.1080/14697688.2024.2430309

Author: Matteo Michielon

Institution: ABN AMRO Bank N.V. (Netherlands)

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W4404952338

FWCI: 0.72

Cites: 32

Cited by: 2

Related to: 10