A risk-neutral equilibrium leading to uncertain volatility pricing

Muhle-Karbe, J; Nutz, M

Muhle-Karbe, J (reprint author), Carnegie Mellon Univ, Dept Math Sci, 5000 Forbes Ave, Pittsburgh, PA 15213 USA.

FINANCE AND STOCHASTICS, 2018; 22 (2): 281

Abstract

We study the formation of derivative prices in an equilibrium between risk-neutral agents with heterogeneous beliefs about the dynamics of the underly......

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