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The timing and intensity of investment under ambiguity

Ma, Jinrun; Niu, Yingjie - In: The North American journal of economics and finance : a … 49 (2019), pp. 318-330

Persistent link: https://www.econbiz.de/10012269222

Utility maximization under model uncertainty in discrete time

Nutz, Marcel - In: Mathematical finance : an international journal of … 26 (2016) 2, pp. 252-268

Persistent link: https://www.econbiz.de/10011577139

Valuing an investment project using no-arbitrage and the alpha-maxmin criteria : from Knightian uncertainty to risk

Braouezec, Yann; Joliet, Robert - In: Economics letters 178 (2019), pp. 111-115

Persistent link: https://www.econbiz.de/10012121654

Utility maximization with proportional transaction costs under model uncertainty

Deng, Shuoqing; Tan, Xiaolu; Yu, Xiang - In: Mathematics of operations research 45 (2020) 4, pp. 1210-1236

Persistent link: https://www.econbiz.de/10012319659

Pricing interest rate derivatives under volatility uncertainty

Holzermann, Julian - 2020

We study the pricing of contracts in fixed income markets in the presence of volatility uncertainty. We consider an arbitrage-free bond market under volatility uncertainty. The uncertainty about the volatility is modeled by a G-Brownian motion, which drives the forward rate dynamics. The absence...

Persistent link: https://www.econbiz.de/10012175590