American options with multiple priors in continuous time
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References listed on IDEAS
- Epstein, Larry G. & Miao, Jianjun, 2003. "A two-person dynamic equilibrium under ambiguity," Journal of Economic Dynamics and Control, Elsevier, vol. 27(7), pages 1253-1288, May.
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KeywordsOptimal stopping for exotic American options; uncertainty aversion; ultiple priors; robustness; (reflected) BSDEs;
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