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Consumption of durable goods under ambiguity
Moreno, Othón M. - 2014
The focus of this paper is to analyze the effect that ambiguity will have on the buyer's reservation price and the … neutral and ambiguity averse. The problem is formulated as an optimal stopping problem with multiple priors in continuous time … ambiguity. …
Persistent link: https://www.econbiz.de/10010243419
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Consumption of Durable Goods under Ambiguity
Moreno, Othón M. - Banco de México - 2014
The focus of this paper is to analyze the effect that ambiguity will have on the buyer's reservation price and the … neutral and ambiguity averse. The problem is formulated as an optimal stopping problem with multiple priors in continuous time … ambiguity. …
Persistent link: https://www.econbiz.de/10010784784
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A theory of endogenous time preference, and discounted utility anomalies
Boyarchenko, Svetlana; Levendorskii, Sergei - EconWPA - 2005
We explain essentially all known discounted utility anomalies as artefacts of the optimizing behavior of an individual with a time- separable utility function, who perceives a good as a source of a stochastic consumption stream, and believes that she can wait for an optimal moment to buy or sell...
Persistent link: https://www.econbiz.de/10005135046
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Prolonged learning and hasty stopping : the Wald problem with ambiguity
Auster, Sarah; Che, Yeon-Koo; Mierendorff, Konrad - 2022
This paper studies sequential information acquisition by an ambiguity-averse decision maker (DM), who decides how long … updates prior by prior. We show that the consideration of ambiguity gives rise to rich dynamics: compared to the Bayesian DM …
Persistent link: https://www.econbiz.de/10013365655
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Optimal stopping under ambiguity in continuous time
Riedel, Frank - 2010
We develop a theory of optimal stopping problems under ambiguity in continuous time. Using results from (backward … from the agent's ambiguity aversion. We show how to use these general results for search problems and American Options. …
Persistent link: https://www.econbiz.de/10010272549
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Optimal stopping under ambiguity
Riedel, Frank - 2007
We consider optimal stopping problems for ambiguity averse decision makers with multiple priors. In general, backward …
Persistent link: https://www.econbiz.de/10010272620
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Ambiguous Jump-Diffusions and Optimal Stopping
Boyarchenko, Svetlana; Levendorskii, Sergei - Department of Economics, University of Texas-Austin - 2014
An ambiguity averse decision-maker contemplates investment of a fixed size capital into a project with a stochastic …
Persistent link: https://www.econbiz.de/10010944717
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Optimal stopping under ambiguity
Riedel, Frank - Institut für Mathematische Wirtschaftsforschung, … - 2007
We consider optimal stopping problems for ambiguity averse decision makers with multiple priors. In general, backward …
Persistent link: https://www.econbiz.de/10005687745
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Optimal Stopping Under Ambiguity in Continuous Time
Cheng, Xue; Riedel, Frank - Institut für Mathematische Wirtschaftsforschung, … - 2010
We develop a theory of optimal stopping problems under ambiguity in continuous time. Using results from (backward … from the agent's ambiguity aversion. We show how to use these general results for search problems and American Options. …
Persistent link: https://www.econbiz.de/10008498363
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Exercise Strategies for American Exotic Options under Ambiguity
Chudjakow, Tatjana; Vorbrink, Jörg - Institut für Mathematische Wirtschaftsforschung, … - 2009
from the perspective of an ambiguity averse buyer in a discrete time model of Cox–Ross–Rubinstein style. The multiple prior … maker needs to solve a stopping problem. Unlike the classical approach ambiguity averse decision maker uses a class of …
Persistent link: https://www.econbiz.de/10008528580