Option implied ambiguity and its information content: evidence from the subprime crisis
From MaRDI portal
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
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