Probability weighting functions implied in options prices

By Valery Polkovnichenko, Feng Zhao. 2013

135 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/9dfecdbba8f93b4cd67d2dea7b1defe21db69025

Citations in the corpus

• Prospect Theory and Stock Market Anomalies (2020, unknown): “Moreover, option prices – assets that are traded by more sophisticated investors – exhibit price patterns consistent with probability weighting (Polkovnichenko and Zhao (2013), Boyer and Vorkink (2014), Baele et al. (2019)).”
• Stock Options as Lotteries (2014, unknown): “Zhang (2005), Boyer, Mitton, and Vorkink (2010) and Conrad, Dittmar and Ghysels (2010) indeed provide evidence that stocks with high ex-ante skewness earn abnormally low risk-adjusted returns.”