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Building on some insights first suggested by \\textit{J. M. Harrison} and \\textit{D. M. Kreps} [Q. J. Econ. 92, 323--336 (1978; Zbl 0395.90017)] and \\textit{J. Scheinkman} and \\textit{W. Xiong} [``Overconfidence and speculative bubbles'', J. Polit. Econ. 111, 1183--1219 (2003; \\url{doi:10.1086/378531})], the nonlinearity in the pricing rule comes as a consequence of the resale option in the presence of heterogeneous beliefs. This means that agents take into account the possibility of reselling the derivative to a more optimistic agent at a future time. Therefore, in equilibrium the pricing rule always reflects the views of the most optimistic agent. In the model, agents are risk-neutral, there exists a frictionless market for the underlying asset, the derivative is available in fixed supply and the agents are subject to short-selling constraints. The agents have heterogeneous beliefs in the sense that they believe that the value of the underlying asset follows different local volatility models. The equilibrium price is characterized as the solution to a nonlinear PDE and results to be higher than each agent's fundamental value, corresponding to a speculative bubble. 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