Vorbrink, Jörg: Valuation of financial contingent claims in the presence of model uncertainty. 2011
Inhalt
- General introduction
- Ambiguity/Knightian uncertainty
- Ambiguity and financial markets
- Scientific work on ambiguity in financial markets
- Content of the thesis
- American options with multiple priors in discrete time
- Introduction
- Financial markets and optimal stopping
- The stochastic structure
- The market model
- The decision problem
- The solution method
- Options with monotone payoffs
- Barrier options
- Multiple expiry options
- Quasi-convex payoffs
- Conclusion
- American options with multiple priors in continuous time
- Financial markets with volatility uncertainty
- Proofs and supplementary material