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14-149/VI - Decision Making in Incomplete Markets with Ambiguity -- A Case Study of a Gas Field Acquisition


  • Authors
    Lin Zhao, University of Amsterdam; Sweder van Wijnbergen, University of Amsterdam
  • Publication date
    December 1, 2014
  • Keywords
    real options, time varying volatility and fat tails, GAS models, model ambiguity, decision making in incomplete markets, utility indifference pricing
  • JEL
    C61, D81, G01, G31, G34, Q40