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- W3125635799 abstract "We study the formation of derivative prices in equilibrium between risk-neutral agents with heterogeneous beliefs about the dynamics of the underlying. Under the condition that the derivative cannot be shorted, we prove the existence of a unique equilibrium price and show that it incorporates the speculative value of possibly reselling the derivative. This value typically leads to a bubble; that is, the price exceeds the autonomous valuation of any given agent. Mathematically, the equilibrium price operator is of the same nonlinear form that is obtained in single-agent settings with strong aversion against model uncertainty. Thus, our equilibrium leads to a novel interpretation of this price." @default.
- W3125635799 created "2021-02-01" @default.
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- W3125635799 date "2016-12-01" @default.
- W3125635799 modified "2023-09-27" @default.
- W3125635799 title "A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing" @default.
- W3125635799 hasPublicationYear "2016" @default.
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