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