Behavioral heterogeneity in the option market
From MaRDI portal
Publication:609834
DOI10.1016/j.jedc.2010.05.009zbMath1201.91193OpenAlexW2127165238MaRDI QIDQ609834
Bart Frijns, Thorsten Lehnert, Remco C. J. Zwinkels
Publication date: 1 December 2010
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2010.05.009
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Heterogeneous agent models (91B69)
Related Items
Heterogeneity in stock prices: a STAR model with multivariate transition function ⋮ Booms, busts and behavioural heterogeneity in stock prices ⋮ Estimation of financial agent-based models with simulated maximum likelihood ⋮ The stock-bond comovements and cross-market trading ⋮ Time-varying arbitrage and dynamic price discovery ⋮ Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment ⋮ The heterogeneous expectations hypothesis: Some evidence from the lab
Cites Work
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Heterogeneity and option pricing
- Heterogeneity of agents, transactions costs and the exchange rate
- The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: a behavioral finance approach
- Behavioral heterogeneity in stock prices
- Estimation of agent-based models: The case of an asymmetric herding model
- Power-law behaviour, heterogeneity, and trend chasing
- Information, trade and common knowledge
- Heterogeneous beliefs and routes to chaos in a simple asset pricing model
- On the structure and diversity of rational beliefs
- Time series properties of an artificial stock market
- Agent-based computational finance: Suggested readings and early research
- Heterogeneous beliefs and the non-linear cobweb model
- Empirical Martingale Simulation for Asset Prices
- THE GARCH OPTION PRICING MODEL
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists
- Heterogeneity, convergence, and autocorrelations
- Continuous Auctions and Insider Trading
- Prospect Theory: An Analysis of Decision under Risk
- A Rational Route to Randomness
- HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER
- VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
- Asset price and wealth dynamics under heterogeneous expectations
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
