An agent-based approach to option pricing anomalies

Keyphrases

• Agent-based 50%
• Decision-dependent Uncertainty 50%
• Financial Studies 50%
• Financial Stylized Facts 50%
• Financial Theory 50%
• Implied Volatility Smile 50%
• Kahneman 50%
• Loss Aversion 50%
• Multi-agent Approach 100%
• Option Pricing 100%
• Option Pricing Theory 50%
• Pricing Anomalies 100%
• Psychological Studies 50%
• Skewness Risk Premium 50%
• Traditional Models 50%
• Tversky 50%

Economics, Econometrics and Finance

• Decision under Uncertainty 50%
• Investors 50%
• Option Pricing Theory 50%
• Pricing 100%
• Skewness 50%
• Volatility 50%

Computer Science

• Decision-Making 33%
• Option Pricing 100%
• Traditional Model 33%