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American options with multiple priors in continuous time

Vorbrink, Jörg - 2011

uncertainty. Using the theory of (reflected) backward stochastic differential equations we are able to solve the optimal stopping …

Persistent link: https://www.econbiz.de/10008990920

Option pricing under time-varying risk-aversion with applications to risk forecasting

Kiesel, Rüdiger; Rahe, Florentin - In: Journal of banking & finance 76 (2017), pp. 120-138

Persistent link: https://www.econbiz.de/10011814247

Explicit representations for utility indifference prices

Hess, Markus - In: Applied mathematical finance 28 (2021) 1, pp. 23-47

Persistent link: https://www.econbiz.de/10012625986

Asset prices and alternative characterizations of the pricing kernel

Lüders, Erik (contributor) - 2002

Persistent link: https://www.econbiz.de/10001701661

Market Prices of Orthogonal Risk and Risk Aversion in Complete Stochastic Volatility Models : Theoretical and Empirical

Han, Qian - 2010

Considering a production economy with an arbitrary von-Neumann Morgenstern utility, this paper derives a general equilibrium relationship between the market prices of risks and market risk aversion under a continuous time stochastic volatility model completed by liquidly traded options....

Persistent link: https://www.econbiz.de/10013136898

The volatility of consumption-based stochastic discount factors and economic cycles

Nieto Domenech, Belen; Rubio, Gonzalo - In: Journal of banking & finance 35 (2011) 9, pp. 2197-2216

Persistent link: https://www.econbiz.de/10009247241

w-MPS risk aversion and continuous-time MV analysis in presence of Lévy jumps

Ma, Chenghu - In: Risk and decision analysis 2 (2010/11) 4, pp. 221-236

Persistent link: https://www.econbiz.de/10009537819

Continuous-time smooth ambiguity preferences

Suzuki, Masataka - In: Journal of economic dynamics & control 90 (2018), pp. 30-44

Persistent link: https://www.econbiz.de/10011974017

Does ambiguity matter? : estimating asset pricing models with a multiple-priors recursive utility

Jeong, Daehee; Kim, Hwagyun; Park, Joon Y. - In: Journal of financial economics 115 (2015) 2, pp. 361-382

Persistent link: https://www.econbiz.de/10011347485

Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility

Yan, Tingjin; Wong, Hoi Ying - In: Insurance / Mathematics & economics 90 (2020), pp. 105-119

Persistent link: https://www.econbiz.de/10012169507