英文文献：Heterogeneous Beliefs, Public Information, and Option Markets-异质信念、公共信息和期权市场
英文文献作者：Zhenjiang Qin
英文文献摘要：
In an incomplete market setting with heterogeneous prior beliefs, I show that public information and strike price of option have substantial infl?uence on asset pricing in option markets, by investigating an absolute option pricing model with negative exponential utility investors and normally distributed dividend. I demonstrate that heterogeneous prior variances give rise to the economic value of option markets. In- vestors speculate in option market and public information improves allocational efficiency of markets only when there is heterogeneity in prior variance. Heterogeneity in mean is neither a necessary nor sufficient condition for generating speculations in op- tion markets. With heterogeneous beliefs, options are non-redundant assets which can facilitate side-betting and enable investors to take advantage of the disagreements and the differences in con?dence. This fact leads to a higher growth rate in the investors? certainty equivalents and, thus, a higher equilibrium interest rate. The public infor- mation system facilitates improved dynamic trading opportunities in option markets based on the heterogeneously updated posterior beliefs. With an intermediate signal precision and the option with intermediate strike price, the highest efficiency of side- betting is achieved, re?ected by a unique maximum point of the ex ante equilibrium interest rate. The public signal precision affects ex ante equilibrium risk premium only via its relationship with option.

在具有异质先验信念的不完全市场环境下，研究表明公开信息和期权执行价格具有显著的infl?研究了一个负指数效用投资者和正态股利分配的期权定价模型。我证明了异质先验方差导致了期权市场的经济价值。投资者在期权市场中进行投机，只有在先验方差存在异质性的情况下，公开信息才能提高市场配置效率。均数上的异质性既不是投机行为产生的充分必要条件，也不是投机行为产生的充分必要条件。在持有异质信念的情况下，期权是非冗余资产，可以促进边注，使投资者能够利用不同意见和不同观点。这一事实导致了更高的投资者增长率?确定性等同于更高的均衡利率。公共信息系统促进了期权市场基于异更新后验信念的动态交易机会的改善。采用中间信号精度和中间执行价期权，实现了边注的最高效率。受到事前均衡利率唯一最大值点的影响。公众信号精度仅通过与期权的关系影响事前均衡风险溢价。