An options premium model with heterogeneous expectations

Material type: 文書・図像類

Author: 岩田, 暁一

Publisher: Keio Economic Observatory

Publication date: 1994-08

Material Format: Digital

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Note (General)：: type:textThis paper presents a theory which explains the determination of the option premiumallowing for heterogeneity in opinion among investors . Th...

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Material Type: 文書・図像類
Title: An options premium model with heterogeneous expectations
Author/Editor: 岩田, 暁一
Author Heading: 岩田, 暁一
Publication, Distribution, etc.: Keio Economic Observatory
Publication Date: 1994-08
Publication Date (W3CDTF): 1994-08
Periodical title: KEO discussion paper
No. or year of volume/issue: 36
Volume: 36
Text Language Code: eng
Target Audience: 一般
Note (General): type:text
This paper presents a theory which explains the determination of the option premiumallowing for heterogeneity in opinion among investors . The price movement subjectivelyanticipated by investors is described by a stochastic differential equation which includestwo independent Brownian motion processes , Z and W. Here, Z produces differencesin opinion among investors and W produces the subjective uncertainty . From this thestochastic differential equation is obtained for the derivative assets. Together with themarket equilibrium condition, this gives the partial differential equations for futures andoptions. The particular solution provides an option premium formula , which has threeparameters; inter-individual volatility g, standard subjective volatility v0 and a deviatingparameter a. It has the same form as the Black-Scholes formula if a=0, except that theB-S volatility is replaced by (数式). This formula has been validated using the Nikkei225 stock index options data.
DOI: 10.14991/004.00000036-0001
Access Restrictions: 限定公開
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 慶應義塾大学 : 慶應義塾大学学術情報リポジトリ