Chudjakow, Tatjana: On Knightian uncertainty models : optimal behavior in presence of model uncertainty. 2010
Inhalt
- General Introduction
- A Best Choice Problem under Ambiguity
- Exercise Strategies for American Exotic Options under Ambiguity
- Introduction
- Financial Markets and Optimal Stopping under Ambiguity in discrete Time
- Stochastic Structure
- The Market Model
- The Decision Problem
- The Solution Method
- Options with Monotone Payoffs
- Barrier Options
- Multiple Expiry Options
- Quasi-convex Payoffs
- Conclusion
- Ambiguity Aversion and Overpricing
- Introduction
- The Model
- Comparison with Miller
- Comparative Statics and Sensitivity Analysis
- Extensions and Robustness Checks
- Uncertainty about volatility
- N ambiguous independent assets
- Different distribution of preferences
- Market Crashes and Panics
- Discussion and Conclusion
- Concluding Remarks
- Proofs for Chapter 2
- Proofs for Chapter 3
- Proofs for Chapter 4