Kang, Byung Jin; Kim, Tong Suk; Lee, Hyo Seob - In: Journal of Futures Markets 34 (2014) 6, pp. 498-515
<section xml:id="fut21660-sec-0001"> We present a theoretical model of option‐implied preferences with model uncertainty. An option‐implied risk aversion function with model uncertainty has a higher and a steeper level of risk aversion than an investor without model uncertainty. Based on the theoretical model, we try to...</section>