哈佛大学经济学系行为讲义

太牛了

太好了

楼主辛苦了！！！

非常感谢！！！！

有没有搞错， 一份哈佛的东西顶成这样. 和国内大学的讲义差很多吗？笑死个人了~~

确实有很系统和前沿的咚咚

为什么国内总是跟着别人跑 就是这个道理

我们的确落后

[em04][em04]

看了一部分觉得很有别与从前学的,决定毕设就搞这方面的课题希望各位老师同学多指教

感谢楼主啊，好东西啊！

European Option Pricing with Behavioral parameters

Cao Huangjin, Jin Zhiming

National University of Defense Technology , Changsha ,China

Abstract

This paper presents a discrete-time and a continuous time model for valuing options with behavioral parameters. Be differ from prospect theory, investors in our model derive utility from relative changes in the value of his financial wealth of his mental account, and the investor has a particular weight for each mental account. For the problem of the market efficiency, we consider, we mustn’t talk about the logos of securities-price, but we can describe our behavior by the logos, and we should try our best to describe the securities-price. Some investors may overcome the market by proper methods, others can’t, because they have the warp of perceiving the market. We also accept rational prices only reflects riskless profitable arbitrage, not investor’s value-expres-sive, but we will introduce the investor’s value-expres-sive in our model, so that we can exactly describe the securities-price.

We propose a new framework for the fundamental economic principles of European option pricing with behavioral finance, introduce mental accounts( Kahneman and Tversky ,1979) and on the influence of prior outcomes on risky choice(Nicholas Barberis, Ming Huang, Tano Santos,1999). In the discrete-time model, we give a simple to illustrate our hypothesis that investors derive utility from relative changes. In the continuous time model, we present European option pricing in a single mental account and a sort of behavioral parameter version (EOP-AMA), two mental accounts and a sort of behavioral parameter version (EOP-TMA), and two mental accounts and two sorts of behavioral parameters version (EOP-TMT).

这是我最近的习作，只给出了摘要，文章已做完。不知哪位搞行为金融学的有兴趣可以交流一下，qq:507251

ccording to PDE (6-6) with regard to exists solution, we know that stochastic differential equation with respect with exists solution, we denote .

Subject to the terminal condition:

In fact, we denote ,

Then

Obviously, according to (6-6) we have

It satisfies the condition of Theorem 2.2, we will get a solution by the “separate” method. Then stochastic differential equation with respect with exists solution.

Let ， ,then ,where is invariable.

Let

Then is a square integrabel, local martingales, according to representation theorem for local martingales,

Where is measurable with respect to , , and .

Owing to and may mutually express, then , so is a function of , namely, adapted and measurable function of on is existed, so as to . Consider that is measurable with respect to ,

Let

很可惜，公式上不来，这只是其中的一部分

值得一读的东东