期刊論文
| 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 ) |