Behavioral heterogeneity in the option market

DOI10.1016/j.jedc.2010.05.009zbMath1201.91193MaRDI 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

zbMATH Keywords

heterogeneous agents; GARCH; chartists; fundamentalists; option markets

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91G70: Statistical methods; risk measures

91G20: Derivative securities (option pricing, hedging, etc.)

91B69: Heterogeneous agent models

Related Items

The heterogeneous expectations hypothesis: Some evidence from the lab

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