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Effects of Uncertainty Aversion on the Call Option Market

Author

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  • Aldo Montesano

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Abstract

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Suggested Citation

  • Aldo Montesano, 2008. "Effects of Uncertainty Aversion on the Call Option Market," Theory and Decision, Springer, vol. 65(2), pages 97-123, September.
  • Handle: RePEc:kap:theord:v:65:y:2008:i:2:p:97-123
    DOI: 10.1007/s11238-007-9095-6
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    File URL: http://hdl.handle.net/10.1007/s11238-007-9095-6
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    References listed on IDEAS

    as
    1. Kelsey David & Milne Frank, 1995. "The Arbitrage Pricing Theorem with Non-expected Utility Preferences," Journal of Economic Theory, Elsevier, vol. 65(2), pages 557-574, April.
    2. Dekel, Eddie, 1989. "Asset Demands without the Independence Axiom," Econometrica, Econometric Society, vol. 57(1), pages 163-169, January.
    3. Ghirardato, Paolo & Marinacci, Massimo, 2002. "Ambiguity Made Precise: A Comparative Foundation," Journal of Economic Theory, Elsevier, vol. 102(2), pages 251-289, February.
    4. Sujoy Mukerji & Jean-Marc Tallon, 2001. "Ambiguity Aversion and Incompleteness of Financial Markets," Review of Economic Studies, Oxford University Press, vol. 68(4), pages 883-904.
    5. Chateauneuf, Alain & Dana, Rose-Anne & Tallon, Jean-Marc, 2000. "Optimal risk-sharing rules and equilibria with Choquet-expected-utility," Journal of Mathematical Economics, Elsevier, vol. 34(2), pages 191-214, October.
    6. Epstein, Larry G & Wang, Tan, 1994. "Intertemporal Asset Pricing Under Knightian Uncertainty," Econometrica, Econometric Society, vol. 62(2), pages 283-322, March.
    7. Gilboa, Itzhak, 1987. "Expected utility with purely subjective non-additive probabilities," Journal of Mathematical Economics, Elsevier, vol. 16(1), pages 65-88, February.
    8. Schmeidler, David, 1989. "Subjective Probability and Expected Utility without Additivity," Econometrica, Econometric Society, vol. 57(3), pages 571-587, May.
    9. repec:dau:papers:123456789/5461 is not listed on IDEAS
    10. P. Carr & D. Madan, 2001. "Optimal positioning in derivative securities," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 19-37.
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    Citations

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    Cited by:

    1. 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.
    2. V. I. Yukalov & D. Sornette, 2014. "Manipulating decision making of typical agents," Papers 1409.0636, arXiv.org.
    3. repec:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-015-2079-y is not listed on IDEAS
    4. V. Yukalov & D. Sornette, 2011. "Decision theory with prospect interference and entanglement," Theory and Decision, Springer, vol. 70(3), pages 283-328, March.

    More about this item

    Keywords

    uncertainty; ambiguity; call option; D81; G12;

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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