Risk, Uncertainty, and Option Exercise
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- Miao, Jianjun & Wang, Neng, 2011. "Risk, uncertainty, and option exercise," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 442-461, April.
- Jianjun Miao & Neng Wang, 2007. "Risk, Uncertainty, and Option Exercise," Boston University - Department of Economics - Working Papers Series WP2007-016, Boston University - Department of Economics.
- Jianjun Miao, 2004. "Risk, uncertainty and option exercise," Finance 0410013, EconWPA.
- Jianjun Miao & Neng Wang, 2010. "Risk, uncertainty,and option exercise," Boston University - Department of Economics - Working Papers Series WP2010-029, Boston University - Department of Economics.
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More about this item
Keywords
Knightian undertainty; multiple-priors utility; real options; optimal stopping problem;JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2006-05-06 (All new papers)
- NEP-FMK-2006-05-06 (Financial Markets)
- NEP-UPT-2006-05-06 (Utility Models & Prospect Theory)
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