DeLisle, Jared
[Verfasser:in]
;
Diavatopoulos, Dean
[Sonstige Person, Familie und Körperschaft];
Fodor, Andy
[Sonstige Person, Familie und Körperschaft];
Krieger, Kevin
[Sonstige Person, Familie und Körperschaft]
Anchoring and Probability Weighting in Option Prices
Anmerkungen:
In: Journal of Futures Markets 37(6), 614-638
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 15, 2016 erstellt
Beschreibung:
Behavioral theories contend that the human decision-making process tends to both incorporate anchor points and improperly weight low probability events. In this study, we find evidence that equity option market investors anchor to prices and incorporate a probability weighting function similar to that proposed by cumulative prospect theory. The biases result in inefficient prices for put options when firms have relatively high or relatively low implied volatilities. This has implications for the cost of hedging long portfolios and long individual equity positions