TY - JOUR
T1 - Agent-based approach to option pricing anomalies
AU - Suzuki, Kyoko
AU - Shimokawa, Tetsuya
AU - Misawa, Tadanobu
N1 - Funding Information:
Manuscript received January 21, 2007; revised December 6, 2007; accepted November 29, 2008. Current version published September 30, 2009. This paper was supported by the Japan Society of the Promotion of Science (JSPS). K. Suzuki is with the Graduate School of Economics, University of Tokyo, Tokyo 113-0033, Japan (e-mail: [email protected]). T. Shimokawa and T. Misawa are with the School of Management, Tokyo University of Science, Tokyo 346-8512, Japan (e-mail: [email protected]; [email protected]). Digital Object Identifier 10.1109/TEVC.2008.2011745
PY - 2009
Y1 - 2009
N2 - Psychological studies on decision making under uncertainty, 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 be analyzed. This paper can be considered as an attempt to integrate the behavioral financial theory and the option pricing theory by using the agent-based approach.
AB - Psychological studies on decision making under uncertainty, 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 be analyzed. This paper can be considered as an attempt to integrate the behavioral financial theory and the option pricing theory by using the agent-based approach.
KW - Implied volatility smile
KW - Option pricing
KW - Prospect theory
KW - Skewness premium
UR - http://www.scopus.com/inward/record.url?scp=70349873818&partnerID=8YFLogxK
U2 - 10.1109/TEVC.2008.2011745
DO - 10.1109/TEVC.2008.2011745
M3 - 学術論文
AN - SCOPUS:70349873818
SN - 1089-778X
VL - 13
SP - 959
EP - 972
JO - IEEE Transactions on Evolutionary Computation
JF - IEEE Transactions on Evolutionary Computation
IS - 5
ER -