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Keywords: Overconfidence
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2015) 23 (4): 517–541.
Published: 30 November 2015
... to 2009. Behavioral reasons can explain the volatility smiles. When the moneyness is very small, the deep OTM puts are priced relatively higher due to investors’ crash phobia and the deep ITM calls are valued higher due to investors’ overconfidence and confirmation biases. When the moneyness is very large...
