Add to ORKGWe put forward a new option pricing formula based on the notion that people tend to think by analogies and comparisons. The new formula differs from the Black Scholes formula due to the appearance of a parameter in the formula that captures the risk premium on the underlying. The new formula, called the analogy option pricing formula, provides an explanation for the implied volatility skew puzzle in equity options. We also discuss the key empirical predictions of the analogy formula
The principle of no arbitrage says that identical assets should offer the same returns. However, exp...
Typically, three types of implied volatility smiles are seen in commodity options: the reverse skew...
People think by analogies and comparisons. Such way of thinking, termed coarse thinking by Mullainat...
We put forward a new option pricing formula based on the notion that people tend to think by analogi...
A key limitation of the Black Scholes model is that it assumes a complete market (claims are replica...
A key limitation of the Black Scholes model is that it assumes a complete market (claims are replica...
An analogy based call option pricing model is put forward. The model provides a new explanation for...
Constantinides et al (2013) put forward a number of empirical findings regarding leverage adjusted S...
An analogy based option pricing model is put forward. If option prices are determined in accordance ...
People tend to think by analogies and comparisons. Such way of thinking, termed coarse thinking by M...
An analogy based call option pricing model is put forward. The model provides a new explanation for ...
The principle of no arbitrage says that identical assets should offer the same returns. However, exp...
Typically, three types of implied volatility smiles are seen in commodity options: the reverse skew...
People think by analogies and comparisons. Such way of thinking, termed coarse thinking by Mullainat...
We put forward a new option pricing formula based on the notion that people tend to think by analogi...
A key limitation of the Black Scholes model is that it assumes a complete market (claims are replica...
A key limitation of the Black Scholes model is that it assumes a complete market (claims are replica...
An analogy based call option pricing model is put forward. The model provides a new explanation for...
Constantinides et al (2013) put forward a number of empirical findings regarding leverage adjusted S...
An analogy based option pricing model is put forward. If option prices are determined in accordance ...
People tend to think by analogies and comparisons. Such way of thinking, termed coarse thinking by M...
An analogy based call option pricing model is put forward. The model provides a new explanation for ...
The principle of no arbitrage says that identical assets should offer the same returns. However, exp...
Typically, three types of implied volatility smiles are seen in commodity options: the reverse skew...
People think by analogies and comparisons. Such way of thinking, termed coarse thinking by Mullainat...