کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5069212 | 1476982 | 2017 | 6 صفحه PDF | دانلود رایگان |
- We develop a piecewise continuous version of the Cumulative Prospect Theory.
- The model is applied to a broad class of outcomes with piecewise continuous distributions.
- As an example, we show how to evaluate guarantee certificates on the basis of the Cumulative Prospect Theory.
We extend the continuous Cumulative Prospect Theory by considering piecewise continuous distributions with a finite number of jump discontinuities. Such distributions are always relevant when outcomes depend on continuously distributed random variables and the dependency is defined by a piecewise continuous function. For example, such outcomes occur within the framework of financial engineering. We show how to apply the model to a broad class of piecewise continuous outcome functions that includes outcomes of guarantee certificates.
Journal: Finance Research Letters - Volume 22, August 2017, Pages 5-10