Option implied ambiguity and its information content: evidence from the subprime crisis
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Publication:1615807
DOI10.1007/s10479-015-2079-yzbMath1416.91372OpenAlexW2216409167MaRDI QIDQ1615807
Raymond H. Y. So, Lenos Trigeorgis, Tarik Driouchi
Publication date: 31 October 2018
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-015-2079-y
uncertaintyimplied volatilityrealized volatilityChoquet utilitymultiple-priorsoption implied ambiguity
Related Items (7)
Put-call parity and generalized neo-additive pricing rules ⋮ Individual antecedents of real options appraisal: the role of national culture and ambiguity ⋮ Ambiguous price formation ⋮ Asymmetric Choquet random walks and ambiguity aversion or seeking ⋮ Optimal investment under ambiguous technology shocks ⋮ Dutch book rationality conditions for conditional preferences under ambiguity ⋮ Portfolio allocation problems between risky and ambiguous assets
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