A service provider sells to homogenous risk-averse consumers through a two-part tariff. The consumers have uncertain tastes toward the service. They subscribe the service before the uncertainty resolves. In contrast with the common view that a monpolist's optimal two-part tariff for homogeneous...

This paper develops an option pricing model that admits probability measure ambiguity. It formulates a piecewise risk-ambiguity-neutral probability density function and derives analytical pricing formula. Options and their underlying assets are exposed to different scopes of ambiguity that...

We formulate a tractable continuous-time rational expectations model in which the agent is ambiguity averse and would like to robustify asset return specification. Ambiguity affects the portfolio rule and asset pricing both individually and collectively with risk. Independently existing...