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Antonio Cosma

Publications and source records attributed to Antonio Cosma.

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Artificial Effort

Real-effort tasks, in which participants perform cognitively costly activities whose outcomes depend on actual performance, are widely used in experimental economics. Their validity, however, rests on the assumption that a human performs them. We study whether this assumption still holds in the era of Artificial Intelligence (AI) and Large Language Models (LLMs). Using 8 canonical real-effort tasks and 23 LLMs from three major providers, we show that most tasks can now be solved accurately and at a negligible cost, while only a few resist automation. Performance improves with each model generation, and midtier models are rapidly closing the gap with frontier ones, broadening the set of widely accessible models that can automate these tasks. Additionally, we show that verbally offering monetary incentives has no effect on LLM performance. Our findings establish a boundary condition for the use of real-effort tasks in unsupervised settings: when participants can cheaply outsource task completion to an LLM, observed performance may no longer reflect genuine human effort.

cs.CY

Early exercise decision in American options with dividends, stochastic volatility and jumps

Using a fast numerical technique, we investigate a large database of investor suboptimal non-exercise of short maturity American call options on dividend-paying stocks listed on the Dow Jones. The correct modelling of the discrete dividend is essential for a correct calculation of the early exercise boundary as confirmed by theoretical insights. Pricing with stochastic volatility and jumps instead of the Black-Scholes-Merton benchmark cuts by a quarter the amount lost by investors through suboptimal exercise. The remaining three quarters are largely unexplained by transaction fees and may be interpreted as an opportunity cost for the investors to monitor optimal exercise.

q-fin.PR