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- W3146036397 abstract "The traditional valuation formulae for options are usually based on the non-arbitrage principle in markets with complete asset structures. In this paper, these assumptions are dropped. Only shares of a stock and European call options written on the stock are available in the market and as well continuously trading is impossible. If in such a case the construction of a riskless hedge-portfolio is unfeasible, the pricing of options and underlying assets becomes a simultaneous valuation problem. This paper uses a discrete model of an economy with heterogeneous agents in order to derive the relationship between prices of stocks and options. It investigates the dynamics in the model which are driven by the agents differing in their attitude towards risk.By means of numerical analysis, it can be found that- in contrast to the results of the Black-Scholes-Merton theory - individual preferences have a major impact on the dynamics of option prices." @default.
- W3146036397 created "2021-04-13" @default.
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- W3146036397 date "2000-07-05" @default.
- W3146036397 modified "2023-09-27" @default.
- W3146036397 title "A SIMPLE OPTION PRICING MODEL WITH HETEROGENEOUS AGENTS" @default.
- W3146036397 hasPublicationYear "2000" @default.
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