An Agent-Based Approach to Option Pricing Anomalies
An Agent-Based Approach to Option Pricing Anomalies
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DOI：
10.1109/tevc.2008.2011407
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发表时间：
2009-02-01
影响因子：
14.3
通讯作者：
Misawa, Tadanobu
中科院分区：
文献类型：
--
作者：
Suzuki, Kyoko;Shimokawa, Tetsuya;Misawa, Tadanobu
在Kahneman和Tversky的研究的启发下，关于不确定性下决策的心理学研究已经引起了金融研究的极大兴趣，作为解决传统模型无法解释的异常现象的关键因素。最近，我们提出了一个基于主体的前景理论模型，并证明了投资者的损失厌恶特征能够解释大量的金融程式化事实。本文旨在将前人的工作扩展到期权定价领域。他将分析该领域的两个重要异常--隐含波动率微笑和偏度溢价。本文的研究可以被认为是利用基于代理人的方法整合行为金融理论和期权定价理论的一次尝试。
Psychological studies on decision-making under uncertainly, which have been inspired by Kahneman and Tversky's study, have attracted considerable interest in financial research as key factors to solve anomalies that cannot be explained by the traditional models. Recently, we proposed an agent-based prospect theoretical model and demonstrated that the loss-aversion feature of investors is capable of explaining a large number of financial stylized facts. This paper aims to extend the previous work to the field of option pricing. Two important anomalies in the field-the implied volatility smile and the skewness premium-will he analyzed. This study can be considered as an attempt to integrate the behavioral financial theory and the option pricing theory by using the agent-based approach.