Heterogeneity and option pricing

DOI10.1023/A:1009639211414zbMath1274.91198MaRDI QIDQ375315

Joram Mayshar, Simon Benninga

Publication date: 29 October 2013

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

Mathematics Subject Classification ID

Related Items (21)

How suboptimal are linear sharing rules? ⋮ Impact of risk aversion and belief heterogeneity on trading of defaultable claims ⋮ Equilibrium open interest ⋮ Behavioral heterogeneity in the option market ⋮ Instability of financial markets and preference heterogeneity ⋮ Abstract, classic, and explicit turnpikes ⋮ Long run forward rates and long yields of bonds and options in heterogeneous equilibria ⋮ Two-dimensional risk-neutral valuation relationships for the pricing of options ⋮ Representative consumer's risk aversion and efficient risk-sharing rules ⋮ Heterogeneous expectations, currency options and the euro/dollar ⋮ Nonmyopic optimal portfolios in viable markets ⋮ Existence and uniqueness of solutions to a quasilinear parabolic equation with quadratic gradients in financial markets ⋮ GENERAL PROPERTIES OF ISOELASTIC UTILITY ECONOMIES ⋮ HETEROGENEITY IN RISK PREFERENCES LEADS TO STOCHASTIC VOLATILITY ⋮ Fuzzy options with application to default risk analysis for municipal bonds in China ⋮ Universal bounds for asset prices in heterogeneous economies ⋮ RELAXED UTILITY MAXIMIZATION IN COMPLETE MARKETS ⋮ Asset pricing under information with stochastic volatility ⋮ Investor heterogeneity, asset pricing and volatility dynamics ⋮ Option prices under generalized pricing kernels ⋮ On volatility smile and an investment strategy with out-of-the-money calls

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