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This paper provides option pricing and volume implications for an economy with heterogeneous agents who face model uncertainty and have dierent dividend growth rate beliefs. Market incom- pleteness makes options non redundant, while heterogeneity creates a link between dierences 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. Specically, we use survey data to build an Index of Dispersion in Beliefs and nd 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.
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向豆丁求助:有没有BELIEFS?