Decision-making in incomplete markets with ambiguity—a case study of a gas field acquisition
From MaRDI portal
Publication:4555179
DOI10.1080/14697688.2017.1307509zbMath1402.91884OpenAlexW2227718730MaRDI QIDQ4555179
Lin Zhao, Sweder van Wijnbergen
Publication date: 19 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2017.1307509
incomplete marketoption pricingmodel ambiguityenergy marketreal option valuationleast squares Monte Carlostrategic decision-making
Stochastic programming (90C15) Dynamic programming (90C39) Corporate finance (dividends, real options, etc.) (91G50)
Cites Work
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Incomplete markets, ambiguity, and irreversible investment
- The worst case for real options
- Preference and belief: ambibiguity and competence in choice under uncertainty
- Maxmin expected utility with non-unique prior
- Recent developments in modeling preferences: Uncertainty and ambiguity
- Maximum likelihood estimates for positive valued dynamic score models; the DySco package
- Optimal stopping under ambiguity in continuous time
- Irreversible investment and Knightian uncertainty
- Ambiguity Aversion and Incompleteness of Financial Markets
- Valuing Oil Properties: Integrating Option Pricing and Decision Analysis Approaches
- Dynamic Models for Volatility and Heavy Tails
- THE GARCH OPTION PRICING MODEL
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Valuing Risky Projects: Option Pricing Theory and Decision Analysis
- Robust Portfolio Choice and Indifference Valuation
- Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Ambiguity, Risk, and Asset Returns in Continuous Time
This page was built for publication: Decision-making in incomplete markets with ambiguity—a case study of a gas field acquisition
