Risk, uncertainty, and option exercise

doi:10.1016/j.jedc.2010.11.005

CORC > 上海财经大学 > 上海财经大学

	Risk, uncertainty, and option exercise
	Miao, Jianjun 2,4; Wang, Neng 1,5
刊名	JOURNAL OF ECONOMIC DYNAMICS & CONTROL
	2011-04
卷号	35 期号:4 页码:442-461
关键词	Ambiguity Multiple-priors utility Real options Optimal stopping problem
ISSN号	0165-1889
DOI	10.1016/j.jedc.2010.11.005
英文摘要	Many economic decisions can be described as an option exercise or optimal stopping problem under uncertainty. Motivated by experimental evidence such as the Ellsberg Paradox, we follow Knight (1921) and distinguish risk from uncertainty. To capture this distinction, we adopt the multiple-priors utility model. We show that the impact of ambiguity on the option exercise decision depends on the relative degrees of ambiguity about continuation payoffs and termination payoffs. Consequently, ambiguity may accelerate or delay option exercise. We apply our results to investment and exit problems, and show that the myopic NPV rule can be optimal for an agent having an extremely high degree of ambiguity aversion. (C) 2010 Elsevier B.V. All rights reserved.
WOS研究方向	Business & Economics
语种	英语
出版者	ELSEVIER SCIENCE BV
WOS记录号	WOS:000287566400003
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/2288]
专题	上海财经大学
通讯作者	Wang, Neng
作者单位	1.NBER, Columbia Business Sch, New York, NY 10027 USA; 2.Cent Univ Finance & Econ, CEMA, Beijing, Peoples R China; 3.Boston Univ, Dept Econ, Boston, MA 02215 USA; 4.Zhongnan Univ Econ & Law, Xinhua Sch Finance & Insurance, Wuhan, Peoples R China; 5.Shanghai Univ Finance & Econ, Shanghai, Peoples R China
推荐引用方式 GB/T 7714	Miao, Jianjun,Wang, Neng. Risk, uncertainty, and option exercise[J]. JOURNAL OF ECONOMIC DYNAMICS & CONTROL,2011,35(4):442-461.
APA	Miao, Jianjun,&Wang, Neng.(2011).Risk, uncertainty, and option exercise.JOURNAL OF ECONOMIC DYNAMICS & CONTROL,35(4),442-461.
MLA	Miao, Jianjun,et al."Risk, uncertainty, and option exercise".JOURNAL OF ECONOMIC DYNAMICS & CONTROL 35.4(2011):442-461.