pricing models reflect these risks. Averaging across the pool of investors we obtain a market asset pricing model that … investors, that many personally relevant risk considerations can be eliminated from the market asset pricing model. Examples … on asset pricing include a need to focus on identifying and explaining investor specific risk exposures. …

our dynamic stock price model, we develop a two factor general equilibrium model for pricing derivative securities. The … rationally explained and justified in equilibrium. Applying Monte Carlo methods, we examine the pricing of European call options …. We show that option prices depend significantly on the level of overreaction, regardless of prevailing risk preferences …

This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for …

Divergence in investor beliefs is an important driver of the negative relation between option trading volume and future … stock returns. We find a strong negative relation between disagreement-based option trades and future stock returns, and …-based option volume on returns on mispriced stocks concentrates in highly levered options and when it is costly to short the stocks …