25-022/III - Semiparametric Estimation of Probability Weighting Functions Implicit in Option Prices

• Authors
  H. Peter Boswijk, University of Amsterdam; Jeroen Dalderop, University of Notre Dame; Roger J. A. Laeven, University of Amsterdam; Niels Marijnen, University of Amsterdam
• Publication date
  March 21, 2025

• Keywords
  Semiparametric inference; Probability weighting function; Profile likelihood; Kernel estimation; Options
• JEL
  C14, C58, G13