Roubaud, David; Lapied, André; Kast, Robert - LAboratoire Montpelliérain d'Économie Théorique et … - 2010
Real options models characterized by the presence of “ambiguity” (or “Knightian uncertainty”) have been recently proposed. But based on recursive multiple-priors preferences, they typically describe ambiguity through a range of Geometric Brownian motions and solve it by application of a...