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substantial impact on the ex ante cost of capital, trading volume, and investor welfare. In a model with exponential utility … the investor welfare are both higher than in the incomplete market setting, but they are independent of the …
Persistent link: https://www.econbiz.de/10010851221
In an incomplete market setting with heterogeneous prior beliefs, I show that public information and strike price of option have substantial infl?uence on asset pricing in option markets, by investigating an absolute option pricing model with negative exponential utility investors and normally...
Persistent link: https://www.econbiz.de/10010851283
In a framework of heterogeneous beliefs, I investigate a two-date consumption model with continuous trading over the interval [0; T], in which information on the aggregate consumption at time T is revealed by an Ornstein-Uhlenbeck Bridge. This information structure allows investors to speculate...
Persistent link: https://www.econbiz.de/10010851297