An Agent-Based Approach to Option Pricing Anomalies
该研究用基于主体的前景理论模型，分析期权定价中的隐含波动率微笑和偏度溢价两个异常现象，尝试将行为金融理论与期权定价理论结合。
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 study can be considered as an attempt to integrate the behavioral financial theory and the option pricing theory by using the agent-based approach.