The Schmeidler expected utility model : Theory, implications, and an application to European call options
In this essay we present a self-contained proof of the Schmeidler expected utility theorem. Furthermore, we give an overview of the implications of today with focus on the optimal investment with non-additive expected utility. Finally, an application to pricing of European call options is conducted where ambiguity in the market is shown to be present, and forecasted using ARIMA models.
HÄR KAN DU HÄMTA UPPSATSEN I FULLTEXT. (följ länken till nästa sida)