</Subscript> should be hedged and its uncertainty priced, with this price containing risk and ambiguity components. Ambiguity … <Subscript>2</Subscript>, and the interest rate. With ambiguity, the equilibrium price of uncertainty associated with Y … can be used to obtain a closed-form solution for option pricing with ambiguity about stochastic variance. Copyright …

only possible if all discounted net trades of the equilibrium allocation are mean ambiguity-free. …

only possible if all discounted net trades of the equilibrium allocation are mean ambiguity-free. …

only possible if all discounted net trades of the equilibrium allocation are mean ambiguity-free. …

When ambiguity averse investors process news of uncertain quality, they act as if they take a worst-case assessment of … returns, increase price volatility and induce ambiguity premia that depend on idiosyncratic risk in fundamentals. Moreover …

When ambiguity averse investors process news of uncertain quality, they act as if they take a worst-case assessment of … induce ambiguity premia that depend on idiosyncratic risk in fundamentals. Moreover, shocks to information quality can have …

We develop a continuous time general equilibrium yield curve model under ambiguity aversion. A moderate level of … ‘aggregate ambiguity’ affects significantly the term structure and can drive the prices of common interest rate derivatives …, with random factors unpriced under the ‘standard’ paradigm that pay a premium for ambiguity. We provide explicit …

We derive a closed-form solution for the price of a European call option in the presence of ambiguity about the … a particular case of ours, corresponding to the case in which there is no ambiguity (uncertainty is exclusively risk …). In the presence of ambiguity, the variance uncertainty price becomes either a convex or a concave function of the …