We analyze several exotic options of American style in a multiple prior setting and study the optimal exercise strategy from the perspective of an ambiguity averse buyer in a discrete time model of Cox-Ross-Rubinstein style. The multiple prior model relaxes the assumption of a known distribution...

In a recent article, Lyon and Rasmusen (2004) argue that buyer-option contracts are more effective at solving the holdup problem than has been previously recognized. This article examines the robustness of that claim to changes in the bargaining game they analyze and to changes in the nature of...

We study how firm ambiguity---Knightian uncertainty---affects investor trading behavior using the options market as a laboratory. Greater ambiguity in the underlying asset negatively relates to both options open interest and options trading volume. The reduction in options trading activity is...

The art market has seen boom and bust during the last years and, despite the downturn, has received more attention from investors given the low interest environment following the financial crisis. However, participation has been reserved for a few investors and the hedging of exposures remains...