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," CeNDEF Workshop Papers, January 2001 2A.2, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- 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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- Drees, Burkhard & Eckwert, Bernhard, 1995. " The Risk and Price Volatility of Stock Options in General Equilibrium," Scandinavian Journal of Economics, Wiley Blackwell, vol. 97(3), pages 459-467, September.
- Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters,in: Theory Of Valuation, chapter 8, pages 229-288 World Scientific Publishing Co. Pte. Ltd..
- Guntar Franke & Richard C. Stapleton & Marti G. Subrahmanyam, 1999. "When are Options Overpriced? The Black-Scholes Model and Alternative Characterizations of the Pricing Kernel," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-003, New York University, Leonard N. Stern School of Business-.
- Franke, Gunter & Stapleton, Richard C. & Subrahmanyam, Marti G., 1998. "Who Buys and Who Sells Options: The Role of Options in an Economy with Background Risk," Journal of Economic Theory, Elsevier, vol. 82(1), pages 89-109, September.
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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, University Library of Munich, Germany.
- Kenneth L. Judd, 1998. "Numerical Methods in Economics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262100711, January.
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- Mark Rubinstein, 1976. "The Valuation of Uncertain Income Streams and the Pricing of Options," Bell Journal of Economics, The RAND Corporation, vol. 7(2), pages 407-425, Autumn.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2001-05-02 (All new papers)
- NEP-FIN-2001-05-02 (Finance)
- NEP-FMK-2001-05-02 (Financial Markets)
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