Advanced Search
MyIDEAS: Login to save this article or follow this journal

State-price densities under heterogeneous beliefs, the smile effect, and implied risk aversion

Contents:

Author Info

  • Ziegler, Alexandre
Registered author(s):

    Abstract

    No abstract is available for this item.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.sciencedirect.com/science/article/B6V64-44HXD1S-2/2/95e929fbecc0abb8268cfbabbebe765c
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Elsevier in its journal European Economic Review.

    Volume (Year): 46 (2002)
    Issue (Month): 8 (September)
    Pages: 1539-1557

    as in new window
    Handle: RePEc:eee:eecrev:v:46:y:2002:i:8:p:1539-1557

    Contact details of provider:
    Web page: http://www.elsevier.com/locate/eer

    Related research

    Keywords:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Hellwig, Martin F., 1980. "On the aggregation of information in competitive markets," Journal of Economic Theory, Elsevier, Elsevier, vol. 22(3), pages 477-498, June.
    2. Yacine Aït-Sahalia & Andrew W. Lo, 1998. "Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices," Journal of Finance, American Finance Association, American Finance Association, vol. 53(2), pages 499-547, 04.
    3. repec:att:wimass:9621 is not listed on IDEAS
    4. Cox, John C. & Huang, Chi-fu, 1989. "Optimal consumption and portfolio policies when asset prices follow a diffusion process," Journal of Economic Theory, Elsevier, Elsevier, vol. 49(1), pages 33-83, October.
    5. David, Alexander, 1997. "Fluctuating Confidence in Stock Markets: Implications for Returns and Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 32(04), pages 427-462, December.
    6. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 22(8-9), pages 1235-1274, August.
    7. Dothan, Michael U & Feldman, David, 1986. " Equilibrium Interest Rates and Multiperiod Bonds in a Partially Observable Economy," Journal of Finance, American Finance Association, American Finance Association, vol. 41(2), pages 369-82, June.
    8. Williams, Joseph T., 1977. "Capital asset prices with heterogeneous beliefs," Journal of Financial Economics, Elsevier, Elsevier, vol. 5(2), pages 219-239, November.
    9. Handa, Puneet & Linn, Scott C., 1991. "Equilibrium Factor Pricing with Heterogeneous Beliefs," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 26(01), pages 11-22, March.
    10. Rubinstein, Mark, 1974. "An aggregation theorem for securities markets," Journal of Financial Economics, Elsevier, Elsevier, vol. 1(3), pages 225-244, September.
    11. Jens Carsten Jackwerth, 1998. "Recovering Risk Aversion from Option Prices and Realized Returns," Finance, EconWPA 9803002, EconWPA.
    12. Detemple Jerome & Murthy Shashidhar, 1994. "Intertemporal Asset Pricing with Heterogeneous Beliefs," Journal of Economic Theory, Elsevier, Elsevier, vol. 62(2), pages 294-320, April.
    13. Ait-Sahalia, Yacine & Lo, Andrew W., 2000. "Nonparametric risk management and implied risk aversion," Journal of Econometrics, Elsevier, Elsevier, vol. 94(1-2), pages 9-51.
    14. Gennotte, Gerard, 1986. " Optimal Portfolio Choice under Incomplete Information," Journal of Finance, American Finance Association, American Finance Association, vol. 41(3), pages 733-46, July.
    15. Detemple, Jerome B, 1986. " Asset Pricing in a Production Economy with Incomplete Information," Journal of Finance, American Finance Association, American Finance Association, vol. 41(2), pages 383-91, June.
    16. Alexander David & Pietro Varonesi, 1999. "Option prices with uncertain fundamentals theory and evidence on the dynamics of implied volatilities," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 1999-47, Board of Governors of the Federal Reserve System (U.S.).
    17. Dumas, Bernard, 1989. "Two-Person Dynamic Equilibrium in the Capital Market," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 2(2), pages 157-88.
    18. Feldman, David, 1992. "Logarithmic Preferences, Myopic Decisions, and Incomplete Information," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 27(04), pages 619-629, December.
    19. Guo, Chen, 1998. "Option Pricing with Heterogeneous Expectations," The Financial Review, Eastern Finance Association, Eastern Finance Association, vol. 33(4), pages 81-92, November.
    20. Jackwerth, Jens Carsten & Rubinstein, Mark, 1996. " Recovering Probability Distributions from Option Prices," Journal of Finance, American Finance Association, American Finance Association, vol. 51(5), pages 1611-32, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Cees Diks & Roy van der Weide, 2003. "Heterogeneity as a Natural Source of Randomness," Tinbergen Institute Discussion Papers 03-073/1, Tinbergen Institute.
    2. De Santis, Roberto A. & Ehling, Paul, 2007. "Do international portfolio investors follow firms’ foreign investment decisions?," Working Paper Series, European Central Bank 0815, European Central Bank.
    3. Hwai-Chung Ho & Chien-Chih Lin, 2012. "How do Heterogeneous Beliefs Influence Asset Volatility?," Pacific Economic Review, Wiley Blackwell, Wiley Blackwell, vol. 17(4), pages 601-616, October.
    4. Filippo Taddei, 2007. "Equity Premium: Interaction of Belief Heterogeneity and Distribution of Wealth?," Carlo Alberto Notebooks, Collegio Carlo Alberto 67, Collegio Carlo Alberto.
    5. Vagnani, Gianluca, 2009. "The Black-Scholes model as a determinant of the implied volatility smile: A simulation study," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 72(1), pages 103-118, October.
    6. Diks, C.G.H. & Weide, R. van der, 2003. "Heterogeneity as a natural source of randomness," CeNDEF Working Papers 03-05, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:eee:eecrev:v:46:y:2002:i:8:p:1539-1557. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.