Model Uncertainty and Option Markets with Heterogeneous Beliefs
研究异质投资者面临模型不确定性且对预期收益有不同信念时的期权定价与成交量，用S&P500指数期权数据检验发现考虑信息异质性的模型比随机波动简化模型更能解释期权成交量动态和微笑现象。
ABSTRACT This paper provides option pricing and volume implications for an economy with heterogeneous agents who face model uncertainty and have different beliefs on expected returns. Market incompleteness makes options nonredundant, while heterogeneity creates a link between differences in beliefs and option volumes. We solve for both option prices and volumes and test the joint empirical implications using S&P500 index option data. Specifically, we use survey data to build an Index of Dispersion in Beliefs and find that a model that takes information heterogeneity into account can explain the dynamics of option volume and the smile better than can reduced‐form models with stochastic volatility.