Estimating Probability Weighting Functions through Option Pricing Bounds
學年 112
學期 2
出版（發表）日期 2024-04-27
作品名稱 Estimating Probability Weighting Functions through Option Pricing Bounds
作品名稱（其他語言）
著者 Tzu-Ying Chen; Yo-Lan Lin; Larry Y. Tzeng
單位
出版者
著錄名稱、卷期、頁數 The Review of Asset Pricing Studies, 14(3), 513-543
摘要 This paper proposes a novel approach to estimating the probability weighting function (PWF) of investors in the option market. We match observed option prices to the option pricing bounds under stochastic dominance rules. Using 1-month S&P 500 index option data, we find that investors could subjectively employ an inverse S-shaped probability weighting function, which increases the weights on extreme returns and asymmetrically assigns greater weights to extremely low returns than to extremely high returns. Our findings suggest that the inverse S-shaped nature of the PWFs is robust across various estimation specifications, such as adopting an alternative methodology to construct the return distribution, and employing option data with different times to maturity.
關鍵字
語言 en
ISSN 2045-9939
期刊性質 國外
收錄於
產學合作
通訊作者
審稿制度 是
國別 TWN
公開徵稿
出版型式 ,電子版
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/125631 )