HETEROGENEITY IN RISK PREFERENCES LEADS TO STOCHASTIC VOLATILITY

DOI10.1142/S0219024918500358zbMath1416.91397OpenAlexW2810571599MaRDI QIDQ4686503

Dietmar P. J. Leisen

Publication date: 10 October 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024918500358

zbMATH Keywords

stochastic volatilityheterogeneitystate-dependent volatility

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Corporate finance (dividends, real options, etc.) (91G50) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

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• Heterogeneity and option pricing
• Investor heterogeneity, asset pricing and volatility dynamics
• A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets
• Asset Prices in an Exchange Economy
• A Rational Route to Randomness

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