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

@@ Property / cites work @@
+Pricing rules and Arrow-Debreu ambiguous valuation
+Normal rank
@@ Property / cites work @@
+The market for crash risk
@@ Property / cites work: The market for crash risk / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS
+Normal rank
@@ Property / cites work @@
+Conditioning capacities and Choquet integrals: the role of comonotony
+Normal rank
@@ Property / cites work @@
+Choice under uncertainty with the best and worst in mind: Neo-additive capacities
+Normal rank
@@ Property / cites work @@
+Fuzzy measures and asset prices: accounting for information ambiguity
+Normal rank
@@ Property / cites work @@
+Modelling credit spreads with time volatility, skewness, and kurtosis
+Normal rank
@@ Property / cites work @@
+Q4794153
@@ Property / cites work: Q4794153 / rank @@
+Normal rank
@@ Property / cites work @@
+On equilibria when agents have multiple priors
@@ Property / cites work: On equilibria when agents have multiple priors / rank @@
+Normal rank
@@ Property / cites work @@
+Nonmonotonic Choquet integrals
@@ Property / cites work: Nonmonotonic Choquet integrals / rank @@
+Normal rank
@@ Property / cites work @@
+Choquet pricing and equilibrium.
@@ Property / cites work: Choquet pricing and equilibrium. / rank @@
+Normal rank
@@ Property / cites work @@
+Q5822308
@@ Property / cites work: Q5822308 / rank @@
+Normal rank
@@ Property / cites work @@
+Choquet-based European option pricing with stochastic (and fixed) strikes
+Normal rank
@@ Property / cites work @@
+\(E\)-capacities and the Ellsberg paradox
@@ Property / cites work: \(E\)-capacities and the Ellsberg paradox / rank @@
+Normal rank
@@ Property / cites work @@
+Using equity options to imply credit information
@@ Property / cites work: Using equity options to imply credit information / rank @@
+Normal rank
@@ Property / cites work @@
+The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices
+Normal rank
@@ Property / cites work @@
+A closed-form solution for options with ambiguity about stochastic volatility
+Normal rank
@@ Property / cites work @@
+Incomplete information equilibria: separation theorems and other myths
+Normal rank
@@ Property / cites work @@
+Information and ambiguity: herd and contrarian behaviour in financial markets
+Normal rank
@@ Property / cites work @@
+When are Options Overpriced? The Black—Scholes Model and Alternative Characterisations of the Pricing Kernel
+Normal rank
@@ Property / cites work @@
+Maxmin expected utility with non-unique prior
@@ Property / cites work: Maxmin expected utility with non-unique prior / rank @@
+Normal rank
@@ Property / cites work @@
+Additive representations of non-additive measures and the Choquet integral
+Normal rank
@@ Property / cites work @@
+Discounting with fat-tailed economic growth
@@ Property / cites work: Discounting with fat-tailed economic growth / rank @@
+Normal rank
@@ Property / cites work @@
+Ambiguity in asset pricing and portfolio choice: a review of the literature
+Normal rank
@@ Property / cites work @@
+Martingales and arbitrage in multiperiod securities markets
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+The descriptive and predictive adequacy of theories of decision making under uncertainty/ambiguity
+Normal rank
@@ Property / cites work @@
+INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT
+Normal rank
@@ Property / cites work @@
+A new rank dependent utility approach to model risk averse preferences in portfolio optimization
+Normal rank
@@ 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
+Normal rank
@@ Property / cites work @@
+Impact of risk aversion and belief heterogeneity on trading of defaultable claims
+Normal rank
@@ Property / cites work @@
+Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy
+Normal rank
@@ Property / cites work @@
+Developing a multi-period robust optimization model considering American style options
+Normal rank
@@ Property / cites work @@
+Interest rate options valuation under incomplete information
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+Effects of uncertainty aversion on the call option market
+Normal rank
@@ Property / cites work @@
+A multiperiod binomial model for pricing options in a vague world
+Normal rank
@@ Property / cites work @@
+A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
+Normal rank
@@ Property / cites work @@
+On some claims related to Choquet integral risk measures
+Normal rank
@@ Property / cites work @@
+Irreversible investment and Knightian uncertainty
@@ Property / cites work: Irreversible investment and Knightian uncertainty / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Stopping With Multiple Priors
@@ Property / cites work: Optimal Stopping With Multiple Priors / rank @@
+Normal rank
@@ Property / cites work @@
+Subjective Probability and Expected Utility without Additivity
+Normal rank
@@ Property / cites work @@
+Robustness and Ambiguity Aversion in General Equilibrium *
+Normal rank
@@ Property / cites work @@
+Advances in prospect theory: cumulative representation of uncertainty
+Normal rank
@@ Property / cites work @@
+Testing and Characterizing Properties of Nonadditive Measures Through Violations of the Sure-Thing Principle
+Normal rank
@@ Property / cites work @@
+Stochastic dominance of portfolio insurance strategies OBPI versus CPPI
+Normal rank