State-price densities under heterogeneous beliefs, the smile effect, and implied risk aversion

European Economic Review

Volumn 46, Issue 8, 2002, Pages 1539-1557

  Ziegler, Alexandre ^a  

^a UNIVERSITY OF LAUSANNE   (Switzerland)

Author keywords

Asset pricing; Heterogeneous beliefs; Implied risk aversion; Option pricing; State price density

Indexed keywords

INVESTMENT; PRICE DYNAMICS; THEORETICAL STUDY;

EID: 0036723922     PISSN: 00142921     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0014-2921(01)00200-8     Document Type: Article

References (27)

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