Option Pricing by Probability Distortion Operator Based on the Quantile Function
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DOI: 10.1155/2019/5831569
Abstract: A new class of distortion operators based on quantile function is proposed for pricing options. It is shown that option prices obtained with our distortion operators are just the prices under mean correcting martingale measure… read more here.
Keywords: quantile function; based quantile; distortion; distortion operator ... See more keywords