Option price without expected utility

Paan Jindapon and W. Shaw

Economics Letters, 2008, vol. 100, issue 3, 408-410

Abstract: We consider the meaning of the option price, commonly acknowledged as the preferred ex ante welfare measure, in the rank-dependent expected utility (RDEU) framework. The importance of this pertains to performing benefit-cost analysis when RDEU maximizers are prevalent in society.

Date: 2008
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Citations: View citations in EconPapers (3)

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