Behavioral finance indicates that people are heterogeneous. In this paper, one method of options pricing with heterogeneous expectations is proposed. Heterogeneity of people is expressed by non-additive expectations with a random parameterAin one sort of non-additive measure. Then, these heterogeneous expectations are ag gregated by ordinary additive integral. Based on this, a new pricing method for European options is proposed. Through simulation, it turns out that there are more advantages in interpreting s...
