Shaolin Ji

Shandong University, School of Mathematics

27 Shanda Nanlu

South Rd.

Jinan, Shandong 250100

China

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Scholarly Papers (1)

1.

Ambiguous Volatility and Asset Pricing in Continuous Time

CIRANO - Scientific Publications 2012s-29
Number of pages: 60 Posted: 08 Jan 2013
Larry G. Epstein and Shaolin Ji
Boston University - College of Arts and Sciences and Shandong University, School of Mathematics
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Citation 25

Abstract:

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ambiguity, option pricing, recursive utility, G-Brownian motion, robust stochastic volatility, sentiment, overconfidence, optimism