Long run forward rates and long yields of bonds andoptions in heterogeneous equilibria

We prove that, in a heterogeneous economy with scale invariantutilities, the yield of a long term bond is determined by the agent with maximalexpected marginal utility.We also prove that the same result holds for the longterm forward rates.Furthermore, we apply Cramer’s large deviations theorem to calculate theyield of a long term European call option. It turns out that there is a thresholdrisk aversion such that the option yield is independent of the risk aversion whenrisk aversion is above the threshold.[...]