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

DOI10.1007/S10479-013-1524-ZMaRDI QIDQ338909zbMATHOpenAlexFDO

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

zbMATH Keywords

risk aversioncredit riskheterogeneous beliefsindifference pricingtrading volume

Mathematics Subject Classification ID

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

Recommendations

• Default and systemic risk in equilibrium
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Cites work

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

Cited in

(3)

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

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