Option implied ambiguity and its information content: evidence from the subprime crisis (Q1615807): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
Normalize DOI.
 
(2 intermediate revisions by 2 users not shown)
Property / DOI
 
Property / DOI: 10.1007/s10479-015-2079-y / rank
Normal rank
 
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1007/s10479-015-2079-y / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2216409167 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing rules and Arrow-Debreu ambiguous valuation / rank
 
Normal rank
Property / cites work
 
Property / cites work: The market for crash risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Pricing of Options and Corporate Liabilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conditioning capacities and Choquet integrals: the role of comonotony / rank
 
Normal rank
Property / cites work
 
Property / cites work: Choice under uncertainty with the best and worst in mind: Neo-additive capacities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fuzzy measures and asset prices: accounting for information ambiguity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modelling credit spreads with time volatility, skewness, and kurtosis / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4794153 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On equilibria when agents have multiple priors / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonmonotonic Choquet integrals / rank
 
Normal rank
Property / cites work
 
Property / cites work: Choquet pricing and equilibrium. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5822308 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Choquet-based European option pricing with stochastic (and fixed) strikes / rank
 
Normal rank
Property / cites work
 
Property / cites work: \(E\)-capacities and the Ellsberg paradox / rank
 
Normal rank
Property / cites work
 
Property / cites work: Using equity options to imply credit information / rank
 
Normal rank
Property / cites work
 
Property / cites work: The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices / rank
 
Normal rank
Property / cites work
 
Property / cites work: A closed-form solution for options with ambiguity about stochastic volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Incomplete information equilibria: separation theorems and other myths / rank
 
Normal rank
Property / cites work
 
Property / cites work: Information and ambiguity: herd and contrarian behaviour in financial markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: When are Options Overpriced? The Black—Scholes Model and Alternative Characterisations of the Pricing Kernel / rank
 
Normal rank
Property / cites work
 
Property / cites work: Maxmin expected utility with non-unique prior / rank
 
Normal rank
Property / cites work
 
Property / cites work: Additive representations of non-additive measures and the Choquet integral / rank
 
Normal rank
Property / cites work
 
Property / cites work: Discounting with fat-tailed economic growth / rank
 
Normal rank
Property / cites work
 
Property / cites work: Ambiguity in asset pricing and portfolio choice: a review of the literature / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingales and arbitrage in multiperiod securities markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: The descriptive and predictive adequacy of theories of decision making under uncertainty/ambiguity / rank
 
Normal rank
Property / cites work
 
Property / cites work: INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT / rank
 
Normal rank
Property / cites work
 
Property / cites work: A new rank dependent utility approach to model risk averse preferences in portfolio optimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Valuing future cash flows with non separable discount factors and non additive subjective measures: conditional Choquet capacities on time and on uncertainty / rank
 
Normal rank
Property / cites work
 
Property / cites work: Impact of risk aversion and belief heterogeneity on trading of defaultable claims / rank
 
Normal rank
Property / cites work
 
Property / cites work: Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy / rank
 
Normal rank
Property / cites work
 
Property / cites work: Developing a multi-period robust optimization model considering American style options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Interest rate options valuation under incomplete information / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4905685 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Effects of uncertainty aversion on the call option market / rank
 
Normal rank
Property / cites work
 
Property / cites work: A multiperiod binomial model for pricing options in a vague world / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix / rank
 
Normal rank
Property / cites work
 
Property / cites work: On some claims related to Choquet integral risk measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Irreversible investment and Knightian uncertainty / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Stopping With Multiple Priors / rank
 
Normal rank
Property / cites work
 
Property / cites work: Subjective Probability and Expected Utility without Additivity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robustness and Ambiguity Aversion in General Equilibrium * / rank
 
Normal rank
Property / cites work
 
Property / cites work: Advances in prospect theory: cumulative representation of uncertainty / rank
 
Normal rank
Property / cites work
 
Property / cites work: Testing and Characterizing Properties of Nonadditive Measures Through Violations of the Sure-Thing Principle / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic dominance of portfolio insurance strategies OBPI versus CPPI / rank
 
Normal rank
Property / DOI
 
Property / DOI: 10.1007/S10479-015-2079-Y / rank
 
Normal rank

Latest revision as of 22:43, 10 December 2024

scientific article
Language Label Description Also known as
English
Option implied ambiguity and its information content: evidence from the subprime crisis
scientific article

    Statements

    Option implied ambiguity and its information content: evidence from the subprime crisis (English)
    0 references
    0 references
    0 references
    0 references
    31 October 2018
    0 references
    Choquet utility
    0 references
    multiple-priors
    0 references
    option implied ambiguity
    0 references
    implied volatility
    0 references
    realized volatility
    0 references
    uncertainty
    0 references
    0 references
    0 references
    0 references

    Identifiers