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• W1915208310 abstract "We 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." @default.
• W1915208310 created "2016-06-24" @default.
• W1915208310 creator A5080171491 @default.
• W1915208310 date "2013-07-01" @default.
• W1915208310 modified "2023-09-27" @default.
• W1915208310 title "Analogy Making, Option Prices, and Implied Volatility" @default.
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• W1915208310 hasPublicationYear "2013" @default.
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