  We study the formation of derivative prices in equilibrium between
risk-neutral agents with heterogeneous beliefs about the dynamics of the
underlying. Under the condition that the derivative cannot be shorted, we prove
the existence of a unique equilibrium price and show that it incorporates the
speculative value of possibly reselling the derivative. This value typically
leads to a bubble; that is, the price exceeds the autonomous valuation of any
given agent. Mathematically, the equilibrium price operator is of the same
nonlinear form that is obtained in single-agent settings with strong aversion
against model uncertainty. Thus, our equilibrium leads to a novel
interpretation of this price.
