The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model
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Other versions of this item:
- Frank Niehaus, 2001. "The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model," Computing in Economics and Finance 2001 60, Society for Computational Economics.
- Niehaus, Frank, 2001. "The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model," Hannover Economic Papers (HEP) dp-234, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
References listed on IDEAS
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- Guenter Franke & Richard C. Stapleton & Marti G. Subrahmanyam, 1999. "When are Options Overpriced? The Black-Scholes Model and Alternative Characterisations of the Pricing Kernel," Finance 9904004, EconWPA.
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- Bosi, Gianni & Herden, Gerhard, 2012. "Continuous multi-utility representations of preorders," Journal of Mathematical Economics, Elsevier, vol. 48(4), pages 212-218.
- Sabrina Ecca & Michele Marchesi & Alessio Setzu, 2008. "Modeling and Simulation of an Artificial Stock Option Market," Computational Economics, Springer;Society for Computational Economics, vol. 32(1), pages 37-53, September.
More about this item
KeywordsAsset pricing; Incomplete markets; Option pricing; Heterogeneous agents;
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
- D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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