带隐含概率加权函数的混合Levy从属价格过程的期权定价
Option Pricing with Mixed Levy Subordinated Price Process and Implied Probability Weighting Function
摘要：
在对资产收益动态进行建模时，必须考虑投资者行为的影响。在本文中，我们调和行为金融学和理性金融学，将投资者行为纳入动态资产定价理论的框架。包括投资者的意见，我们采用的方法，从属地位已提出的文献中，包括业务（内在的，市场）时间。在对数正态模型的基础上，增加一个单一的从属Levy过程，得到一个新的对数价格过程，从而定义了一个混合Levy从属模型。本文从理性动态资产定价理论的角度，应用所提出的模型研究了行为金融学的“贪婪与恐惧”处置概念。利用概率加权函数的形状研究了期权交易者的贪婪或恐惧倾向。然后，我们推导出隐含的概率加权函数的恐惧和贪婪沉积的期权交易者相比，现货交易者。我们的研究结果表明，期权交易者的敏感性下降。与现货交易者相比，敏感性下降导致期权交易者高估了重大损失的可能性。
英文摘要：
It is essential to incorporate the impact of investor behavior when modeling the dynamics of asset returns. In this paper, we reconcile behavioral finance and rational finance by incorporating investor behavior within the framework of dynamic asset pricing theory. To include the views of investors, we employ the method of subordination which has been proposed in the literature by including business (intrinsic, market) time. We define a mixed Levy subordinated model by adding a single subordinated Levy process to the well-known log-normal model, resulting in a new log-price process. We apply the proposed models to study the behavioral finance notion of "greed and fear" disposition from the perspective of rational dynamic asset pricing theory. The greedy or fearful disposition of option traders is studied using the shape of the probability weighting function. We then derive the implied probability weighting function for the fear and greed deposition of option traders in comparison to spot traders. Our result shows the diminishing sensitivity of option traders. Diminishing sensitivity results in option traders overweighting the probability of big losses in comparison to spot traders.
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