Lehnert, Thorsten; Frijns, Bart; Zwinkels, Remco - Luxembourg School of Finance, Faculté de droit, … - 2012
heterogeneous agent s option pricing model developed in Frijns et al. (2010), where our agents have different beliefs about the … incorporate market sentiment into their beliefs. Our option valuation framework is similar to a stochastic volatility model and is … implemented using a filtered historical simulation approach. We find that sentimentalists play an important role in option markets …