An overreaction implementation of the coherent market hypothesis and option pricing

Inspired by the theory of social imitation (Weidlich 1970) and its adaptation to financial markets by the Coherent Market Hypothesis (Vaga 1990), we present a behavioral model of stock prices that supports the overreaction hypothesis. Using our dynamic stock price model, we develop a two factor general equilibrium model for pricing derivative securities. The two factors of our model are the stock price and a market polarization variable which determines the level of overreaction. We consider three kinds of market scenarios: Risk-neutral investors, representative Bernoulli investors and myopic Bernoulli investors. In case of the latter two, risk premia provide that herding as well as contrarian investor behaviour may be rationally explained and justified in equilibrium. Applying Monte Carlo methods, we examine the pricing of European call options. We show that option prices depend significantly on the level of overreaction, regardless of prevailing risk preferences: Downward overreaction leads to high option prices and upward overreaction results in low option prices

Annick Horiuchi, Les mathématiques japonaises à l'époque d'Edo

Iyanaga Shôkichi. Annick Horiuchi, Les mathématiques japonaises à l'époque d'Edo. In: Ebisu, n°9, 1995. pp. 131-132

Annick Horiuchi, Les mathématiques japonaises à l'époque d'Edo

Iyanaga Shôkichi. Annick Horiuchi, Les mathématiques japonaises à l'époque d'Edo. In: Ebisu, n°9, 1995. pp. 131-132

218. Himorogi

Iwao Seiichi, Sakamato Tarō, Hōgetsu Keigo, Yoshikawa Itsuji, Akiyama Terukazu, Iyanaga Teizō, Iyanaga Shōkichi, Matsubara Hideichi, Kanazawa Shizue. 218. Himorogi. In: Dictionnaire historique du Japon, volume 7, 1981. Lettre H (1) p. 149

219. Hina-matsuri

Iwao Seiichi, Sakamato Tarō, Hōgetsu Keigo, Yoshikawa Itsuji, Akiyama Terukazu, Iyanaga Teizō, Iyanaga Shōkichi, Matsubara Hideichi, Kanazawa Shizue. 219. Hina-matsuri. In: Dictionnaire historique du Japon, volume 7, 1981. Lettre H (1) pp. 149-150

254. Gyokuyō waka-shū

Iwao Seiichi, Sakamato Tarō, Hōgetsu Keigo, Yoshikawa Itsuji, Akiyama Terukazu, Iyanaga Teizō, Iyanaga Shōkichi, Matsubara Hideichi, Kanazawa Shizue. 254. Gyokuyō waka-shū. In: Dictionnaire historique du Japon, volume 6, 1981. Lettre G. p. 146