Effects of Uncertainty Aversion on the Call Option MarketTheory and Decision (2008)
AbstractThis 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.
- Call option
Citation InformationAldo Montesano. "Effects of Uncertainty Aversion on the Call Option Market" Theory and Decision Vol. 65 Iss. 2 (2008)
Available at: http://works.bepress.com/aldo_montesano/32/