{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,12,18]],"date-time":"2025-12-18T13:58:42Z","timestamp":1766066322147},"reference-count":23,"publisher":"Springer Science and Business Media LLC","issue":"1-2","license":[{"start":{"date-parts":[[2014,1,7]],"date-time":"2014-01-07T00:00:00Z","timestamp":1389052800000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Ann Oper Res"],"published-print":{"date-parts":[[2016,8]]},"DOI":"10.1007\/s10479-013-1524-z","type":"journal-article","created":{"date-parts":[[2014,1,6]],"date-time":"2014-01-06T06:53:56Z","timestamp":1388991236000},"page":"117-146","source":"Crossref","is-referenced-by-count":5,"title":["Impact of risk aversion and belief heterogeneity on trading of defaultable claims"],"prefix":"10.1007","volume":"243","author":[{"given":"Jinbeom","family":"Kim","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Tim","family":"Leung","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2014,1,7]]},"reference":[{"issue":"1","key":"1524_CR1","doi-asserted-by":"crossref","first-page":"7","DOI":"10.1023\/A:1009639211414","volume":"4","author":"S. Benninga","year":"2000","unstructured":"Benninga, S., & Mayshar, J. (2000). Heterogeneity and option pricing. Review of Derivatives Research, 4(1), 7\u201327.","journal-title":"Review of Derivatives Research"},{"key":"1524_CR2","volume-title":"Indifference pricing","author":"T. Bielecki","year":"2006","unstructured":"Bielecki, T., & Jeanblanc, M. (2006). Indifference pricing of defaultable claims. In R. Carmona (Ed.), Indifference pricing. Princeton: Princeton University Press."},{"key":"1524_CR3","doi-asserted-by":"crossref","first-page":"19","DOI":"10.1080\/713665549","volume":"1","author":"P. Carr","year":"2001","unstructured":"Carr, P., & Madan, D. (2001). Optimal positioning in derivative securities. Quantitative Finance, 1, 19\u201337.","journal-title":"Quantitative Finance"},{"issue":"2","key":"1524_CR4","doi-asserted-by":"crossref","first-page":"153","DOI":"10.1023\/A:1016583612942","volume":"5","author":"M. A. Cassano","year":"2002","unstructured":"Cassano, M. A. (2002). Disagreement and equilibrium option trading volume. Review of Derivatives Research, 5(2), 153\u2013179.","journal-title":"Review of Derivatives Research"},{"key":"1524_CR5","doi-asserted-by":"crossref","unstructured":"Chabakauri, G. (2010). Asset pricing with heterogeneous investors and portfolio constraints. Working paper, London School of Economics and Political Science.","DOI":"10.2139\/ssrn.1571526"},{"issue":"1","key":"1524_CR6","doi-asserted-by":"crossref","first-page":"285","DOI":"10.1093\/rof\/rfr018","volume":"16","author":"J. Cvitani\u0107","year":"2012","unstructured":"Cvitani\u0107, J., Jouini, E., Malamud, S., & Napp, C. (2012). Financial markets equilibrium with heterogeneous agents. Review of Finance, 16(1), 285\u2013321.","journal-title":"Review of Finance"},{"issue":"10","key":"1524_CR7","doi-asserted-by":"crossref","first-page":"4259","DOI":"10.1093\/rfs\/hhp005","volume":"22","author":"N. Garleanu","year":"2009","unstructured":"Garleanu, N., Pedersen, L. H., & Poteshman, A. M. (2009). Demand-based option pricing. The Review of Financial Studies, 22(10), 4259\u20134299.","journal-title":"The Review of Financial Studies"},{"issue":"4","key":"1524_CR8","doi-asserted-by":"crossref","first-page":"287","DOI":"10.1007\/s11579-011-0041-6","volume":"4","author":"D. German","year":"2011","unstructured":"German, D. (2011). Pricing in an equilibrium based model for a large investor. Mathematics and Financial Economics, 4(4), 287\u2013297.","journal-title":"Mathematics and Financial Economics"},{"issue":"1","key":"1524_CR9","doi-asserted-by":"crossref","first-page":"71","DOI":"10.1016\/0304-405X(85)90044-3","volume":"14","author":"L. R. Glosten","year":"1985","unstructured":"Glosten, L. R., & Milgrom, P. R. (1985). Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. Journal of Financial Economics, 14(1), 71\u2013100.","journal-title":"Journal of Financial Economics"},{"issue":"1","key":"1524_CR10","doi-asserted-by":"crossref","first-page":"415","DOI":"10.1093\/rfs\/hhm063","volume":"21","author":"F. Gomes","year":"2008","unstructured":"Gomes, F., & Michaelides, A. (2008). Asset pricing with limited risk sharing and heterogeneous agents. The Review of Financial Studies, 21(1), 415\u2013448.","journal-title":"The Review of Financial Studies"},{"key":"1524_CR11","doi-asserted-by":"crossref","first-page":"359","DOI":"10.1111\/j.1467-9965.2006.00275.x","volume":"16","author":"A. \u0130lhan","year":"2005","unstructured":"\u0130lhan, A., & Sircar, R. (2005). Optimal static-dynamic hedges for barrier options. Mathematical Finance, 16, 359\u2013385.","journal-title":"Mathematical Finance"},{"issue":"4","key":"1524_CR12","doi-asserted-by":"crossref","first-page":"585","DOI":"10.1007\/s00780-005-0154-y","volume":"9","author":"A. \u0130lhan","year":"2005","unstructured":"\u0130lhan, A., Jonsson, M., & Sircar, R. (2005). Optimal investment with derivative securities. Finance and Stochastics, 9(4), 585\u2013595.","journal-title":"Finance and Stochastics"},{"issue":"2","key":"1524_CR13","doi-asserted-by":"crossref","first-page":"433","DOI":"10.1093\/rfs\/13.2.433","volume":"13","author":"J. Jackwerth","year":"2000","unstructured":"Jackwerth, J. (2000). Recovering risk aversion from option prices and realized returns. The Review of Financial Studies, 13(2), 433\u2013451.","journal-title":"The Review of Financial Studies"},{"issue":"1","key":"1524_CR14","doi-asserted-by":"crossref","first-page":"57","DOI":"10.1111\/j.1467-9965.2010.00457.x","volume":"22","author":"S. Jaimungal","year":"2012","unstructured":"Jaimungal, S., & Sigloch, G. (2012). Incorporating risk and ambiguity aversion into a hybrid model of default. Mathematical Finance, 22(1), 57\u201381.","journal-title":"Mathematical Finance"},{"key":"1524_CR15","volume-title":"Nonlinear systems","author":"H. K. Khalil","year":"2002","unstructured":"Khalil, H. K., & Grizzle, J. W. (2002). Nonlinear systems (Vol.\u00a03). Upper Saddle River: Prentice Hall."},{"issue":"4","key":"1524_CR16","doi-asserted-by":"crossref","first-page":"363","DOI":"10.1007\/s11579-012-0063-8","volume":"6","author":"T. Leung","year":"2012","unstructured":"Leung, T., & Ludkovski, M. (2012). Accounting for risk aversion in derivatives purchase timing. Mathematics and Financial Economics, 6(4), 363\u2013386.","journal-title":"Mathematics and Financial Economics"},{"key":"1524_CR17","first-page":"275","volume-title":"Advances in econometrics","author":"T. Leung","year":"2008","unstructured":"Leung, T., Sircar, R., & Zariphopoulou, T. (2008). Credit derivatives and risk aversion. In T. Fomby, J.-P. Fouque, & K. Solna (Eds.), Advances in econometrics (Vol.\u00a022, pp. 275\u2013291). Amsterdam: Elsevier."},{"issue":"3","key":"1524_CR18","doi-asserted-by":"crossref","first-page":"247","DOI":"10.2307\/1926560","volume":"51","author":"R. C. Merton","year":"1969","unstructured":"Merton, R. C. (1969). Lifetime portfolio selection under uncertainty: the continuous-time case. Review of Economics and Statistics, 51(3), 247\u2013257.","journal-title":"Review of Economics and Statistics"},{"key":"1524_CR19","volume-title":"Modelling single-name and multi-name credit derivatives","author":"D. O\u2019Kane","year":"2011","unstructured":"O\u2019Kane, D. (2011). Modelling single-name and multi-name credit derivatives (Vol.\u00a0573). New York: Wiley."},{"key":"1524_CR20","doi-asserted-by":"crossref","first-page":"1183","DOI":"10.1086\/378531","volume":"111","author":"J. Scheinkman","year":"2003","unstructured":"Scheinkman, J., & Xiong, W. (2003). Overconfidence and speculative bubbles. Journal of Political Economy, 111, 1183\u20131219.","journal-title":"Journal of Political Economy"},{"key":"1524_CR21","unstructured":"Shouda, T. (2006). Utility-based pricing of defaultable bonds and decomposition of credit risk. African Journal of Derivatives Research Papers."},{"issue":"2","key":"1524_CR22","doi-asserted-by":"crossref","first-page":"195","DOI":"10.1080\/14697680902744737","volume":"10","author":"R. Sircar","year":"2010","unstructured":"Sircar, R., & Zariphopoulou, T. (2010). Utility valuation of multiname credit derivatives and application to CDOs. Quantitative Finance, 10(2), 195\u2013208.","journal-title":"Quantitative Finance"},{"issue":"4","key":"1524_CR23","doi-asserted-by":"crossref","first-page":"1433","DOI":"10.1093\/rfs\/hhp091","volume":"23","author":"W. Xiong","year":"2010","unstructured":"Xiong, W., & Yan, H. (2010). Heterogeneous expectations and bond markets. The Review of Financial Studies, 23(4), 1433\u20131466.","journal-title":"The Review of Financial Studies"}],"container-title":["Annals of Operations Research"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-013-1524-z.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s10479-013-1524-z\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-013-1524-z","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,5,29]],"date-time":"2019-05-29T14:09:47Z","timestamp":1559138987000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s10479-013-1524-z"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2014,1,7]]},"references-count":23,"journal-issue":{"issue":"1-2","published-print":{"date-parts":[[2016,8]]}},"alternative-id":["1524"],"URL":"https:\/\/doi.org\/10.1007\/s10479-013-1524-z","relation":{},"ISSN":["0254-5330","1572-9338"],"issn-type":[{"value":"0254-5330","type":"print"},{"value":"1572-9338","type":"electronic"}],"subject":[],"published":{"date-parts":[[2014,1,7]]}}}