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    Compound Lotteries; Call Option Spreads in Black-Scholes Markets

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    10.1007/978-3-642-45527-8_23
    http://hdl.handle.net/11603/4162
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    • UBalt Faculty Scholarship
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    Author/Creator
    Morse, Joel N.
    Date
    1981
    Type of Work
    9 pages
    Text
    chapters
    Citation of Original Publication
    Morse, JN. (1981). Compound Lotteries; Call Option Spreads in Black-Scholes Markets. In: Organizations: Multiple Agents with Multiple Criteria, pp.239-247.
    Abstract
    From the earliest days of risky utility theory decision, theorists have elicited information from decision makers by analyzing their reaction to elementary lotteries, or gambles. The Purpose of the process was to define a mathematical function which could yield an ordering on a set of risky objects of choice. The information processing demands on the DM were minimal; everyone has an intuitive feel for endpoints such as $0 and $100. The purpose of this paper is to develop a reliable means of ordering compound lotteries in which the unaided decision maker does not even know the endpoints. Since the ordering will occur in several dimensions, several concepts from multiple criteria decision making will be used.


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    Email: knowledgeworks@ubalt.edu


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    Robert L. Bogomolny Library
    University of Baltimore
    1420 Maryland Ave.
    Baltimore, MD 21201
    Email: knowledgeworks@ubalt.edu


    If you wish to submit a copyright complaint or withdrawal request, please email mdsoar-help@umd.edu.