Propensity for hedging and ambiguity aversion

DOI10.1016/j.jmateco.2021.102543zbMath1477.91016OpenAlexW3182117122MaRDI QIDQ2057264

Zaier Aouani, Caroline Ventura, Alain Chateauneuf

Publication date: 9 December 2021

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2021.102543

zbMATH Keywords

ambiguitypseudo-convexanticomonotonicityattraction for certaintypropensity for hedgingproper hedges

Mathematics Subject Classification ID

Decision theory (91B06) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Dynamic bid-ask pricing under Dempster-Shafer uncertainty

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