Lv, Wujun; Pang, Tao; Xia, Xiaobao; Yan, Jingzhou - In: Financial innovation : FIN 9 (2023) 1, pp. 1-28
problem in a semi-closed form by integrating price diffusion ambiguity, volatility diffusion ambiguity, and jump ambiguity … conclusions in both markets: first, price diffusion and jump ambiguity mainly determine detection-error probability; second …, optimal choice is more significantly affected by price diffusion ambiguity than by jump ambiguity, and trivially affected by …