Lin Zhao

University of Amsterdam

Spui 21

Amsterdam, 1018 WB

Netherlands

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Decision Making in Incomplete Markets with Ambiguity -- A Case Study of a Gas Field Acquisition

Tinbergen Institute Discussion Paper 14-149/VI
Number of pages: 52 Posted: 02 Dec 2014
Lin Zhao and Sweder van Wijnbergen
University of Amsterdam and Universiteit van Amsterdam
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Abstract:

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real options, time varying volatility and fat tails, GAS models, model ambiguity, decision making in incomplete markets, utility indifference pricing