英文标题：
《Behavioral Finance Option Pricing Formulas Consistent with Rational
  Dynamic Asset Pricing》
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作者：
Svetlozar Rachev, Stoyan Stoyanov, Frank J. Fabozzi
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最新提交年份：
2017
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英文摘要：
  We derive behavioral finance option pricing formulas consistent with the rational dynamic asset pricing theory. In the existing behavioral finance option pricing formulas, the price process of the representative agent is not a semimartingale, which leads to arbitrage opportunities for the option seller. In the literature on behavioral finance option pricing it is allowed the option buyer and seller to have different views on the instantaneous mean return of the underlying price process, which leads to arbitrage opportunities according to Black (1972). We adjust the behavioral finance option pricing formulas to be consistent with the rational dynamic asset pricing theory, by introducing transaction costs on the velocity of trades which offset the gains from the arbitrage trades.
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中文摘要：
我们推导了符合理性动态资产定价理论的行为金融学期权定价公式。在现有的行为金融期权定价公式中，代表代理人的定价过程不是半鞅过程，这会给期权卖方带来套利机会。在行为金融学期权定价的文献中，允许期权买方和卖方对基础价格过程的瞬时平均回报有不同的观点，这导致了Black（1972）所说的套利机会。我们通过在交易速度上引入交易成本来抵消套利交易的收益，从而调整行为金融学期权定价公式，使其与理性动态资产定价理论一致。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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