Optimal stopping under model ambiguity: A time‐consistent equilibrium approach
Work
Year: 2021
Type: article
Abstract: An unconventional approach for optimal stopping under model ambiguity is introduced. Besides ambiguity itself, we take into account how ambiguity-averse an agent is. This inclusion of ambiguity attitu... more
Source: Mathematical Finance
Authors Yu‐Jui Huang, Xiang Yu
Cites: 62
Cited by: 26
Related to: 10
FWCI: 3.967
Citation percentile (by year/subfield): 99.99
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Peace, justice, and strong institutions
Open Access status: green
Funders National Science Foundation, Hong Kong Polytechnic University, University of Colorado Boulder
Grant IDS DMS‐1715439, 15304317, 11003573