Effects of uncertainty aversion on the call option market

被引：8
|
作者：
Montesano, Aldo [1 ]
机构：
[1] Bocconi Univ, Dept Econ, I-20136 Milan, Italy
来源：
THEORY AND DECISION | 2008年 / 65卷 / 02期
关键词：
uncertainty; ambiguity; call option;
D O I：
10.1007/s11238-007-9095-6
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页码：97 / 123
页数：27
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