Heterogeneity and option pricing
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Publication:375315
DOI10.1023/A:1009639211414zbMATH Open1274.91198MaRDI QIDQ375315FDOQ375315
Publication date: 29 October 2013
Published in: Review of Derivatives Research (Search for Journal in Brave)
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Cited In (24)
- Existence and uniqueness of solutions to a quasilinear parabolic equation with quadratic gradients in financial markets
- On volatility smile and an investment strategy with out-of-the-money calls
- Impact of divergent consumer confidence on option prices
- Option prices under generalized pricing kernels
- Fuzzy options with application to default risk analysis for municipal bonds in China
- Long run forward rates and long yields of bonds and options in heterogeneous equilibria
- HETEROGENEITY IN RISK PREFERENCES LEADS TO STOCHASTIC VOLATILITY
- Universal bounds for asset prices in heterogeneous economies
- RELAXED UTILITY MAXIMIZATION IN COMPLETE MARKETS
- How suboptimal are linear sharing rules?
- Asset pricing under information with stochastic volatility
- Behavioral heterogeneity in the option market
- Abstract, classic, and explicit turnpikes
- GENERAL PROPERTIES OF ISOELASTIC UTILITY ECONOMIES
- Two-dimensional risk-neutral valuation relationships for the pricing of options
- Impact of risk aversion and belief heterogeneity on trading of defaultable claims
- Equilibrium open interest
- Investor heterogeneity, asset pricing and volatility dynamics
- Risk Preferences Heterogeneity: Evidence from Asset Markets
- Instability of financial markets and preference heterogeneity
- Nonmyopic optimal portfolios in viable markets
- Title not available (Why is that?)
- Representative consumer's risk aversion and efficient risk-sharing rules
- Heterogeneous expectations, currency options and the euro/dollar
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