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Anchoring and Probability Weighting in Option Prices

  • Published:2017-02-02 Issue:6 Volume:37 Page:614-638
  • ISSN:0270-7314
  • Container-title:Journal of Futures Markets
  • language:en
  • Short-container-title:Jrl Fut Mark

Author:

DeLisle R. Jared1,Diavatopoulos Dean2,Fodor Andy3,Krieger Kevin4

Affiliation:

1. R. Jared DeLisle is at the Department of Economics and Finance, Jon M. Huntsman School of Business; Utah State University; Logan Utah

2. Dean Diavatopoulos is at Department of Finance, Albers School of Business and Economics; Seattle University; Seattle Washington

3. Andy Fodor is at Department of Finance, College of Business; Ohio University; Athens Ohio

4. Kevin Krieger is at Department of Accounting and Finance; University of West Florida; Pensacola Florida

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference68 articles.

1. Nonparametric estimation of state-price densities implicit in financial asset prices;Aït-Sahalia;Journal of Finance,1998

2. Coherent arbitrariness”: Stable demand curves without stable preferences;Ariely;The Quarterly Journal of Economics,2003

3. Short-maturity options and jump memory;Arnold;Journal of Financial Research,2007

4. The effect of reference point prices on mergers and acquisitions;Baker;Journal of Financial Economics,2012

5. Pricing and hedging long-term options;Bakshi;Journal of Econometrics,2000

Cited by 6 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Probability weighting in commodity futures markets;Journal of Futures Markets;2023-02-08

2. Anchoring effect in visual information processing during financial decisions: An eye-tracking study.;Journal of Neuroscience, Psychology, and Economics;2022-03

3. Variation in option implied volatility spread and future stock returns;The Quarterly Review of Economics and Finance;2022-02

4. A Closer Look at the Disposition Effect in U.S. Equity Option Markets;Journal of Behavioral Finance;2019-06-07

5. Losers and prospectors in the short‐term options market;Journal of Futures Markets;2019-01-13
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