A risk-neutral equilibrium leading to uncertain volatility pricing

作者：Muhle Karbe Johannes; Nutz Marcel

来源：Finance and Stochastics, 2018, 22(2): 281-295.

DOI：10.1007/s00780-018-0356-8

• Heterogeneous beliefs
• Equilibrium
• Derivative price bubble
• Uncertain volatility model
• Nonlinear expectation

We study the formation of derivative prices in an equilibrium between risk-neutral agents with heterogeneous beliefs about the dynamics of the underlying. Under the condition that short-selling is limited, we prove the existence of a unique equilibrium price and show that it incorporates the speculative value of possibly reselling the derivative. This value typically leads to a bubble; that is, the price exceeds the autonomous valuation of any given agent. Mathematically, the equilibrium price operator is of the same nonlinear form that is obtained in single-agent settings with worst-case aversion against model uncertainty. Thus, our equilibrium leads to a novel interpretation of this price.

• 出版日期2018-4