No Good Deals - No Bad Models

Abstract

Faced with the problem of pricing complex contingent claims, an investor seeks to make his valuations robust to model uncertainty. We construct a notion of a modeluncertainty-induced utility function and show that model uncertainty increases the investor’s effective risk aversion. Using the model-uncertainty-induced utility function, we extend the “No Good… (More)

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Cite this paper

@inproceedings{Boyarchenko2012NoGD, title={No Good Deals - No Bad Models}, author={Nina Boyarchenko and Mario Cerrato and John Crosby and Stewart Hodges}, year={2012} }