We study option pricing and hedging with uncertainty about a Black-Scholes reference model which is dynamically … option, delta-vega hedging is asymptotically optimal in the limit for small uncertainty aversion. The corresponding …

We study the pricing and hedging of derivative securities with uncertainty about the volatility of the underlying asset … "distance" to a reference local volatility model. In the limit for small uncertainty aversion, this leads to explicit formulas …

We study a two-stage R&D project with an abandonment option. Two types of uncertainty influence the decision to start R …&D. Demand uncertainty is modelled as a lottery between a proportional increase and decrease in demand. Technical uncertainty is … modelled as a lottery between a decrease and increase in the cost to continue R&D. We relate differences in uncertainty to …

fundamental uncertainty. This new context has features from prediction markets that have been shown previously to mitigate price …

uncertainty and other effects that are particularly manifest in cognitive processes, which makes it well suited for the study of …

their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty. …