Heterogeneous Beliefs, Option Prices, and Volatility Smiles

SSRN Electronic Journal ◽

10.2139/ssrn.890277 ◽

2008 ◽

Cited By ~ 4

Author(s):

Tao Li

Keyword(s):

Heterogeneous Beliefs ◽

Option Prices

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Noisy Chaos in a Large System of Decision-Makers with Heterogeneous Beliefs with Application to Index Option Prices

Systems Research and Behavioral Science ◽

10.1002/sres.2290 ◽

2014 ◽

Vol 31 (4) ◽

pp. 487-501 ◽

Cited By ~ 1

Author(s):

Godfrey Cadogan

Keyword(s):

Large System ◽

Heterogeneous Beliefs ◽

Decision Makers ◽

Option Prices ◽

Index Option ◽

Noisy Chaos

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Estimating the tail shape parameter from option prices

The Journal of Risk ◽

10.21314/jor.2017.366 ◽

2017 ◽

Vol 19 (6) ◽

pp. 85-110 ◽

Cited By ~ 2

Author(s):

Kam Hamidieh

Keyword(s):

Shape Parameter ◽

Option Prices ◽

Tail Shape

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Exercise boundaries and efficient approximations to American option prices and hedge parameters

The Journal of Computational Finance ◽

10.21314/jcf.2001.063 ◽

2001 ◽

Vol 4 (4) ◽

pp. 4-4 ◽

Cited By ~ 19

Author(s):

Farid AitSahlia ◽

Tze Leung Lai

Keyword(s):

American Option ◽

Option Prices

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New Bounds on American Option Prices

SSRN Electronic Journal ◽

10.2139/ssrn.1015681 ◽

2007 ◽

Author(s):

In Joon Kim ◽

Geun Hyuk Chang ◽

Suk-Joon Byun

Keyword(s):

American Option ◽

Option Prices

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Heterogeneous Beliefs and the Term Structure of Interest Rates

SSRN Electronic Journal ◽

10.2139/ssrn.1021406 ◽

2007 ◽

Cited By ~ 1

Author(s):

Lue Wu

Keyword(s):

Interest Rates ◽

Term Structure ◽

Heterogeneous Beliefs

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Asset Pricing in a Monetary Economy with Heterogeneous Beliefs

SSRN Electronic Journal ◽

10.2139/ssrn.1101540 ◽

2007 ◽

Author(s):

Benjamin Croitoru ◽

Lei Lu

Keyword(s):

Asset Pricing ◽

Heterogeneous Beliefs ◽

Monetary Economy

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The Option-iPoD - The Probability of Default Implied by Option Prices Based on Entropy

SSRN Electronic Journal ◽

10.2139/ssrn.1339927 ◽

2009 ◽

Author(s):

Christian Capuano

Keyword(s):

Probability Of Default ◽

Option Prices

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Forecasting Future Volatility from Option Prices under the Stochastic Volatility Model

SSRN Electronic Journal ◽

10.2139/ssrn.1416638 ◽

2009 ◽

Author(s):

Suk-Joon Byun ◽

Sol Kim ◽

Dongwoo Rhee

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Option Prices ◽

Volatility Model

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Option Prices, Takeover Announcements, and Stock Returns

SSRN Electronic Journal ◽

10.2139/ssrn.1737162 ◽

2011 ◽

Author(s):

Edward J. Podolski ◽

Cameron Truong ◽

Madhu Veeraraghavan

Keyword(s):

Stock Returns ◽

Option Prices

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The Evaluation of European Compound Option Prices Under Stochastic Volatility Using Fourier Transform Techniques

SSRN Electronic Journal ◽

10.2139/ssrn.1988578 ◽

2011 ◽

Author(s):

Susanne Griebsch

Keyword(s):

Fourier Transform ◽

Stochastic Volatility ◽

Option Prices

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