Browsing Duke Faculty Articles by Duke-affiliated Author "Rasiel, Emma"

Now showing items 1-2 of 2

Can prospect theory explain risk-seeking behavior by terminally ill patients?

Rasiel, Emma; Weinfurt, Kevin; Schulman, Kevin (Medical Decision Making, 2005)

Patients with life-threatening conditions sometimes appear to make risky treatment decisions as their condition declines, contradicting the risk-averse behavior predicted by expected utility theory. Prospect theory ...
The performance of alternative valuation models in the OTC currency options market

Bollen, N. P.B; Rasiel, Emma (Journal of International Money and Finance, 2003)

We compare option valuation models based on regime-switching, GARCH, and jump-diffusion processes to a standard “smile” model, in which Black and Scholes (1973) implied volatilities are allowed to vary across strike prices. ...