Model Uncertainty and Option Markets with Heterogeneous Beliefs

By Andrea Buraschi, Alexei Jiltsov. 2006

321 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f00497dbe25cb6b894c4970dba7d901535086fe4

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Citations in the corpus

Learning from Prices and the Dispersion in Beliefs (2011, background): “…in which disagreement arises endogenously as a result of heterogeneous information, may be different than those of a model in which the disagreement is modeled essentially as an exogenous process (e.g., Detemple and Murthy (1994), Zapatero (1998), Basak (2000), and Buraschi and Jiltsov (2006)).”
Limited Arbitrage between Equity and Credit Markets (2012, unknown): “The last four specifications, [11] to [14], estimate an encompassing regression, including a proxy each for equity and credit market liquidity, respectively, along with idiosyncratic risk.”
Investor Attention and FX Market Volatility (2015, unknown): “…this puzzle draw on explanations such as Bayesian learning (Brennan and Xia, 2001) or adaptive learning (Adam et al., 2009) on the part of homogeneous investors, di ﬀ erences of opinions (Scheinkman and Xiong, 2003; Buraschi and Jiltsov, 2006), and Knightian uncertainty (Cagetti et al., 2002).”
Understanding Index Option Returns (2009, background): “Buraschi and Jiltsov (2006) price options in a model with heterogeneous beliefs. the previous paragraph, if we assume that high (σ = 20”
Rare Disasters and Risk Sharing with Heterogeneous Beliefs (2011, background): “The few exceptions include Dieckmann and Gallmeyer (2005), Bates (2008), and Dieckmann (2009).”
Heterogeneous Expectations and Bond Markets (2010, background): “As we will show later, the expected instantaneous return of the technology ft, after adjusted for risk, determines the equilibrium short rate, because this risky technology represents an alternative investment to investing in the short term bond.”
Investor Sentiment and Option Prices (2008, unknown): “The significance of the relation between the sentiment proxies and index riskneutral skewness is also confirmed after controlling for the dispersion of beliefs among investors.13 Buraschi and Jiltsov (2006) estimate a heterogeneous-belief model using index option prices and option trading volume.”
Asset Prices with Heterogeneity in Preferences and Beliefs (2014, unknown): “…of papers using such models of incomplete information include Basak (2000), Beber, Buraschi, and Breedon (2009), Berrada (2006), Borovička (2012), Buraschi and Jiltsov (2006), Buraschi, Trojani, and Vedolin (2009, 2010), Cecchetti, Lam, and Mark (2000), David (2008), David and Veronesi (2002),…”