Risk-Neutral Valuation
Subjective Probability ´ Risk Aversion Adjustment = Risk-Neutral Probability
Richter Subjective Risk Aversion Risk-Neutral Probability
Scale Damage Payoff Probability Adjustment Probability ´ Payoff
0 - 4.9 none $ 0 .850 ´ .9939 = .845 0
5.0 - 5.4 slight 750 .100 ´ .9976 = .100 75
5.5 - 5.9 small 10,000 .030 ´ 1.0472 = .031 310
6.0 - 6.9 medium 25,000 .015 ´ 1.1430 = .017 425
7.0 - 8.9 large 50,000 .005 ´ 1.3787 = .007 350
Expected Future Value : $1,160
SjPjXj = .845(0) + .100(750) + .031(10,000) + .017(25,000) + .007(50,000) = 1,160
Homeowner’s Present Value: $1,160/1.05 = $1,104.76
Esempio da Mark Rubinstein