SSRN-Coarse Thinking, Implied Volatility, and the Price of Call and Put Options by Hammad Siddiqi

SSRN-Coarse Thinking, Implied Volatility, and the Price of Call and Put Options by Hammad Siddiqi: "We derive a new option pricing formula based on the notion that the market consists of coarse thinkers as well as rational investors. The new formula, called the behavioral option pricing formula is a generalization of the Black-Scholes formula. The new formula not only provides explanations for