Impact of divergent consumer confidence on option prices

DOI10.1007/S11147-004-4809-1zbMath1059.91041OpenAlexW1972588403MaRDI QIDQ1417891

James Huang

Publication date: 6 January 2004

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-004-4809-1

zbMATH Keywords

Black-Scholes modelheterogeneous beliefsheterogeneous preferencesmispricing of options

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Consumer behavior, demand theory (91B42)

Related Items (2)

Representative consumer's risk aversion and efficient risk-sharing rules ⋮ Option prices under generalized pricing kernels

Cites Work

• Estimating the dimension of a model
• Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
• A Theory of the Term Structure of Interest Rates
• Pricing Interest-Rate-Derivative Securities
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