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The behavioral relevance of mental accounting for the pricing of financial options

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  • Rockenbach, Bettina
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    Article provided by Elsevier in its journal Journal of Economic Behavior & Organization.

    Volume (Year): 53 (2004)
    Issue (Month): 4 (April)
    Pages: 513-527

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    Handle: RePEc:eee:jeborg:v:53:y:2004:i:4:p:513-527

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    1. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    2. Shefrin, Hersh M & Thaler, Richard H, 1988. "The Behavioral Life-Cycle Hypothesis," Economic Inquiry, Western Economic Association International, Western Economic Association International, vol. 26(4), pages 609-43, October.
    3. Thaler, Richard H & Shefrin, H M, 1981. "An Economic Theory of Self-Control," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 89(2), pages 392-406, April.
    4. Robert J. Shiller, 1998. "Human Behavior and the Efficiency of the Financial System," NBER Working Papers 6375, National Bureau of Economic Research, Inc.
    5. Jonathan Skinner, 1989. "Housing Wealth and Aggregate Saving," NBER Working Papers 2842, National Bureau of Economic Research, Inc.
    6. R. Mehra & E. Prescott, 2010. "The equity premium: a puzzle," Levine's Working Paper Archive 1401, David K. Levine.
    7. Baxter, M. & Jermann, U.J., 1993. "The International Diversification Puzzle is Worse than you Think," RCER Working Papers 350, University of Rochester - Center for Economic Research (RCER).
    8. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, Elsevier, vol. 7(3), pages 229-263, September.
    9. Richard H. Thaler, 2008. "Mental Accounting and Consumer Choice," Marketing Science, INFORMS, INFORMS, vol. 27(1), pages 15-25, 01-02.
    10. Shefrin, Hersh & Statman, Meir, 2000. "Behavioral Portfolio Theory," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 35(02), pages 127-151, June.
    11. Niko Canner & N. Gregory Mankiw & David N. Weil, 1994. "An Asset Allocation Puzzle," NBER Working Papers 4857, National Bureau of Economic Research, Inc.
    12. Thaler, Richard, 1980. "Toward a positive theory of consumer choice," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 1(1), pages 39-60, March.
    13. Abbink, Klaus & Abdolkarim Sadrieh, 1995. "RatImage - research Assistance Toolbox for Computer-Aided Human Behavior Experiments," Discussion Paper Serie B 325, University of Bonn, Germany.
    14. Amos Tversky & Daniel Kahneman, 1979. "Prospect Theory: An Analysis of Decision under Risk," Levine's Working Paper Archive 7656, David K. Levine.
    15. Warshawsky, Mark, 1987. "Sensitivity to Market Incentives: The Case of Policy Loans," The Review of Economics and Statistics, MIT Press, vol. 69(2), pages 286-95, May.
    16. Abbink, Klaus & Bettina Kuon, 1996. "An Experimental Investigation of the Option Pricing Approach," Discussion Paper Serie B 376, University of Bonn, Germany.
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    Cited by:
    1. Beatty, Timothy K.M. & Tuttle, Charlotte, 2012. "Expenditure response to increases in in-kind transfers: Evidence from the Supplemental Nutrition Assistance Program," 2012 AAEA/EAAE Food Environment Symposium, May 30-31, Boston, MA, Agricultural and Applied Economics Association 122873, Agricultural and Applied Economics Association.
    2. Siddiqi, Hammad, 2010. "The relevance of coarse thinking for investors' willingness to pay: An experimental study," MPRA Paper 23924, University Library of Munich, Germany.
    3. Siddiqi, Hammad, 2009. "Does Coarse Thinking Matter for Option Pricing? Evidence from an Experiment," MPRA Paper 13515, University Library of Munich, Germany.
    4. Christian Wolff & Thorsten Lehnert & Cokki Versluis, 2009. "A Cumulative Prospect Theory Approach to Option Pricing," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg 09-03, Luxembourg School of Finance, University of Luxembourg.
    5. Lin, Shengle & Rassenti, Stephen, 2012. "Are under- and over-reaction the same matter? Experimental evidence," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 84(1), pages 39-61.
    6. Siddiqi, Hammad, 2009. "Coarse Thinking and Pricing a Financial Option," MPRA Paper 21749, University Library of Munich, Germany.
    7. Siddiqi, Hammad, 2011. "Thinking by analogy, systematic risk, and option prices," MPRA Paper 31316, University Library of Munich, Germany.
    8. Chorvat, Terrence, 2006. "Taxing utility," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, Elsevier, vol. 35(1), pages 1-16, February.
    9. Shengle Lin & Stephen Rassenti, 2010. "Are Under- and Over-reaction the Same Matter? A Price Inertia based Account," Working Papers 10-05, Chapman University, Economic Science Institute.
    10. Siddiqi, Hammad, 2012. "The relevance of thinking-by-analogy for investors’ willingness-to-pay: An experimental study," Journal of Economic Psychology, Elsevier, Elsevier, vol. 33(1), pages 19-29.
    11. Siddiqi, Hammad, 2013. "Analogy Making, Option Prices, and Implied Volatility," MPRA Paper 48862, University Library of Munich, Germany.
    12. Siddiqi, Hammad, 2010. "Coarse thinking, implied volatility, and the valuation of call and put options," MPRA Paper 23261, University Library of Munich, Germany.
    13. Siddiqi, Hammad, 2013. "Mental Accounting: A Closed-Form Alternative to the Black Scholes Model," MPRA Paper 50759, University Library of Munich, Germany.

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