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Effects of Uncertainty Aversion on the Call Option Market
Theory and Decision (2008)
  • Aldo Montesano
This article examines the effects of uncertainty aversion in competitive call option markets using a partial equilibrium model with the Choquet-expected utility setup. We find that the trading volume of a call option is negatively affected by uncertainty aversion, whereas the price of the call is practically independent of it.
  • Uncertainty,
  • Ambiguity,
  • Call option
Publication Date
Citation Information
Aldo Montesano. "Effects of Uncertainty Aversion on the Call Option Market" Theory and Decision Vol. 65 Iss. 2 (2008)
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