Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market.
PeiLin HsiehRobert JarrowPublished in: Manag. Sci. (2019)
Keyphrases
- stock price
- option pricing
- chinese stock market
- stock market
- stock returns
- financial markets
- uncertain information
- financial crisis
- real option
- bidding strategies
- incomplete knowledge
- stock exchange
- missing data
- uncertain data
- stock trading
- historical data
- missing values
- financial data
- foreign exchange
- exchange rate
- incomplete information
- short term
- non stationary
- expected utility
- missing information
- financial time series
- decision theory
- developed countries
- garch model
- display advertising
- decision making
- stock index futures
- stock data
- budget constraints
- risk aversion
- belief functions
- incomplete data
- multi attribute
- long term
- data streams