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- W2308018555 abstract "Based on experimental evidence, I adjust the standard currency option pricing models for the anchoring heuristic of Tversky and Kahneman (1974). Anchoring provides an explanation for the market practice of using risk-reversals as sentiment proxy. While generating currency smiles even with geometric Brownian motion, anchoring adds power to stochastic volatility and jump diffusion approaches. In particular, anchoring mitigates the difficulty that stochastic volatility models face in generating a steep short-term skew. Anchoring predicts that the slope of the smile is positively related to underlying currency sentiment, whereas curvature is positively related to dispersion in the sentiment. Empirical evidence supports these predictions." @default.
- W2308018555 created "2016-06-24" @default.
- W2308018555 creator A5080171491 @default.
- W2308018555 date "2016-01-01" @default.
- W2308018555 modified "2023-09-27" @default.
- W2308018555 title "Anchoring Heuristic and Currency Options" @default.
- W2308018555 doi "https://doi.org/10.2139/ssrn.2752313" @default.
- W2308018555 hasPublicationYear "2016" @default.
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