Impact of risk aversion and belief heterogeneity on trading of defaultable claims

DOI10.1007/S10479-013-1524-ZzbMATH Open1348.91271OpenAlexW2039173064MaRDI QIDQ338909FDOQ338909

Authors: Jinbeom Kim, Tim Leung 

Publication date: 7 November 2016

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-013-1524-z

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zbMATH Keywords

risk aversioncredit riskheterogeneous beliefsindifference pricingtrading volume

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

• Nonlinear systems.
• Heterogeneity and option pricing
• Pricing in an equilibrium based model for a large investor
• Financial markets equilibrium with heterogeneous agents
• Optimal positioning in derivative securities
• Disagreement and equilibrium option trading volume
• Accounting for risk aversion in derivatives purchase timing
• Optimal investment with derivative securities
• Credit derivatives and risk aversion
• INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT
• Utility valuation of multi-name credit derivatives and application to CDOs
• OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS

Cited In (3)

• Option implied ambiguity and its information content: evidence from the subprime crisis
• Optimal tranching with diverse beliefs
• Indifference pricing of credit default swaps in a multi-period model

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