Implications of Parameter Uncertainty on Option Prices
Financial markets are complex processes where investors interact to set prices. We present a framework for option valuation under imperfect information, taking risk neutral parameter uncertainty into account. The framework is a direct generalization of the existing valuation methodology. Many invest...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Asia University
2010-01-01
|
| Series: | Advances in Decision Sciences |
| Online Access: | http://dx.doi.org/10.1155/2010/598103 |