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Effects of Uncertainty Aversion on the Call Option Market

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  • Aldo Montesano

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File URL: http://hdl.handle.net/10.1007/s11238-007-9095-6
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Bibliographic Info

Article provided by Springer in its journal Theory and Decision.

Volume (Year): 65 (2008)
Issue (Month): 2 (September)
Pages: 97-123

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Handle: RePEc:kap:theord:v:65:y:2008:i:2:p:97-123

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Web page: http://www.springerlink.com/link.asp?id=100341

Related research

Keywords: uncertainty; ambiguity; call option; D81; G12;

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References

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  1. Mukerji, Sujoy & Tallon, Jean-Marc, 2001. "Ambiguity Aversion and Incompleteness of Financial Markets," Review of Economic Studies, Wiley Blackwell, vol. 68(4), pages 883-904, October.
  2. Tallon, Jean-Marc & Dana, Rose-Anne & Chateauneuf, Alain, 2000. "Optimal risk-sharing rules and equilibria with Choquet-expected-utility," Economics Papers from University Paris Dauphine 123456789/5461, Paris Dauphine University.
  3. P. Carr & D. Madan, 2001. "Optimal positioning in derivative securities," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 19-37.
  4. Kelsey, D. & Milne, F., 1990. "The Arbitrage Pricing Theorem with non Expected Utility Preferences," Papers 217, Australian National University - Department of Economics.
  5. Dekel, Eddie, 1989. "Asset Demands without the Independence Axiom," Econometrica, Econometric Society, vol. 57(1), pages 163-69, January.
  6. David Schmeidler, 1989. "Subjective Probability and Expected Utility without Additivity," Levine's Working Paper Archive 7662, David K. Levine.
  7. Ghirardato, Paolo & Marinacci, Massimo, 2002. "Ambiguity Made Precise: A Comparative Foundation," Journal of Economic Theory, Elsevier, vol. 102(2), pages 251-289, February.
  8. Epstein, Larry G & Wang, Tan, 1994. "Intertemporal Asset Pricing Under Knightian Uncertainty," Econometrica, Econometric Society, vol. 62(2), pages 283-322, March.
  9. repec:hal:cesptp:halshs-00451997 is not listed on IDEAS
  10. Gilboa, Itzhak, 1987. "Expected utility with purely subjective non-additive probabilities," Journal of Mathematical Economics, Elsevier, vol. 16(1), pages 65-88, February.
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Cited by:
  1. V. Yukalov & D. Sornette, 2011. "Decision theory with prospect interference and entanglement," Theory and Decision, Springer, vol. 70(3), pages 283-328, March.
  2. Massimo Guidolin & Francesca Rinaldi, 2013. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Theory and Decision, Springer, vol. 74(2), pages 183-217, February.

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