Option-implied lottery demand and IPO returns

DOI10.1016/j.jedc.2022.104356zbMath1489.91250OpenAlexW4220824152MaRDI QIDQ2136970

Maik Dierkes, Jan Krupski, Sebastian Schroen

Publication date: 16 May 2022

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2022.104356

zbMATH Keywords

IPOlottery demandskewness preferences

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial markets (91G15)

Cites Work

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• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Advances in prospect theory: cumulative representation of uncertainty
• Robust Locally Weighted Regression and Smoothing Scatterplots
• Prospect Theory: An Analysis of Decision under Risk
• Do option markets correctly price the probabilities of movement of the underlying asset?

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