Behavioral Heterogeneity in the Option Market
نویسندگان
چکیده
منابع مشابه
Behavioral Heterogeneity in the Option Market - Preliminary Draft - March 2008
This paper develops and tests a heterogeneous agents model for the option market. Our agents have differing beliefs about the level of volatility of the underlying stock index and trade accordingly. We consider two types of agents: fundamentalists, who are assumed to expect the conditional volatility to return to the unconditional volatility, and chartists who respond solely to noise from the l...
متن کاملBehavioral Heterogeneity in the Options Market
This paper develops and tests a heterogeneous agents model for the option market. Our agents have differing beliefs about the level of volatility of the underlying stock index and trade accordingly. We consider two types of agents: fundamentalists, who are assumed to expect the conditional volatility to return to the unconditional volatility, and chartists who respond solely to noise from the l...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2007
ISSN: 1556-5068
DOI: 10.2139/ssrn.967264