考慮機率加權函數之隨機優越選擇權價格上下界

Abstract

本文採用以隨機優越(stochastic dominance)方式求取的選擇權價格上下界(option pricing bounds)，不同於過去文獻，本文根據序列相依期望效用(rank-dependent expected utility)理論，額外考慮機率加權函數(probability weighting function)的影響。論文中假設投資人的邊際效用函數為正且遞減，且所有投資人同意相同的機率加權函數。根據模擬結果，當股價服從幾何布朗運動時，若投資人認為股價上漲的機率較高，則上下界之間的距離會因此擴大。

We derive new option pricing bounds by incorporating probability weighting functions to option pricing bounds derived from a stochastic dominance approach. Our new bounds simultaneously consider a set of heterogeneous rank-dependent expected utility investors who have increasing concave utility functions and an identical probability weighting function. Based on our numerical analysis, when the stock price follows a geometric Brownian motion, the width of the bounds could possibly be enlarged if the investors weight more on favorable outcomes in the stock price distribution.