{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,1,18]],"date-time":"2026-01-18T07:10:23Z","timestamp":1768720223749,"version":"3.49.0"},"reference-count":80,"publisher":"Springer Science and Business Media LLC","issue":"2","license":[{"start":{"date-parts":[[2015,12,19]],"date-time":"2015-12-19T00:00:00Z","timestamp":1450483200000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Ann Oper Res"],"published-print":{"date-parts":[[2018,3]]},"DOI":"10.1007\/s10479-015-2079-y","type":"journal-article","created":{"date-parts":[[2015,12,19]],"date-time":"2015-12-19T15:27:52Z","timestamp":1450538872000},"page":"463-491","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":34,"title":["Option implied ambiguity and its information content: Evidence from the subprime crisis"],"prefix":"10.1007","volume":"262","author":[{"given":"Tarik","family":"Driouchi","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Lenos","family":"Trigeorgis","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Raymond H. Y.","family":"So","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2015,12,19]]},"reference":[{"key":"2079_CR1","doi-asserted-by":"crossref","first-page":"2793","DOI":"10.1016\/j.econmod.2011.08.015","volume":"28","author":"E Agliardi","year":"2011","unstructured":"Agliardi, E., & Sereno, L. (2011). The effect of environment taxes and quotas on the optimal timing of emission reductions under Choquet-Brownian uncertainty. Economic Modelling, 28, 2793\u20132802.","journal-title":"Economic Modelling"},{"key":"2079_CR2","doi-asserted-by":"crossref","first-page":"233","DOI":"10.1016\/j.jfineco.2008.11.001","volume":"94","author":"EW Anderson","year":"2009","unstructured":"Anderson, E. W., Ghysels, E., & Juergens, J. L. (2009). The impact of risk and uncertainty on expected returns. Journal of Financial Economics, 94, 233\u2013263.","journal-title":"Journal of Financial Economics"},{"key":"2079_CR3","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1007\/s00199-011-0660-4","volume":"49","author":"A Araujo","year":"2012","unstructured":"Araujo, A., Chateauneuf, A., & Faro, J. H. (2012). Pricing rules and Arrow\u2013Debreu ambiguous valuation. Economic Theory, 49, 1\u201335.","journal-title":"Economic Theory"},{"key":"2079_CR4","doi-asserted-by":"crossref","first-page":"1185","DOI":"10.1002\/fut.21645","volume":"34","author":"MA Ayadi","year":"2014","unstructured":"Ayadi, M. A., Ben-Ameur, H., Kirillov, T., & Welch, R. (2014). A stochastic dynamic program for valuing options on futures. Journal of Futures Markets, 34, 1185\u20131201.","journal-title":"Journal of Futures Markets"},{"key":"2079_CR5","doi-asserted-by":"crossref","first-page":"2291","DOI":"10.1016\/j.jedc.2007.09.020","volume":"32","author":"DS Bates","year":"2008","unstructured":"Bates, D. S. (2008). The market for crash risk. Journal of Economic Dynamics and Control, 32, 2291\u20132321.","journal-title":"Journal of Economic Dynamics and Control"},{"key":"2079_CR6","doi-asserted-by":"crossref","first-page":"415","DOI":"10.1016\/j.jfineco.2010.07.001","volume":"98","author":"A Beber","year":"2010","unstructured":"Beber, A., Breedon, F., & Buraschi, A. (2010). Differences in beliefs and currency risk premiums. Journal of Financial Economics, 98, 415\u2013438.","journal-title":"Journal of Financial Economics"},{"key":"2079_CR7","doi-asserted-by":"crossref","first-page":"89","DOI":"10.1016\/j.econmod.2012.12.005","volume":"34","author":"H Ben Ameur","year":"2013","unstructured":"Ben Ameur, H., & Prigent, J. L. (2013). Optimal portfolio positioning under ambiguity. Economic Modelling, 34, 89\u201397.","journal-title":"Economic Modelling"},{"key":"2079_CR8","doi-asserted-by":"crossref","first-page":"637","DOI":"10.1086\/260062","volume":"81","author":"F Black","year":"1973","unstructured":"Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81, 637\u2013654.","journal-title":"Journal of Political Economy"},{"key":"2079_CR9","doi-asserted-by":"crossref","first-page":"493","DOI":"10.1016\/j.jmoneco.2012.04.002","volume":"59","author":"N Boyarchenko","year":"2012","unstructured":"Boyarchenko, N. (2012). Ambiguity shifts and the 2007\u20132008 crisis. Journal of Monetary Economics, 59, 493\u2013507.","journal-title":"Journal of Monetary Economics"},{"key":"2079_CR10","doi-asserted-by":"crossref","first-page":"2841","DOI":"10.1111\/j.1540-6261.2006.01006.x","volume":"61","author":"A Buraschi","year":"2006","unstructured":"Buraschi, A., & Jiltsov, A. (2006). Model uncertainty and option markets with heterogeneous beliefs. Journal of Finance, 61, 2841\u20132897.","journal-title":"Journal of Finance"},{"key":"2079_CR11","doi-asserted-by":"crossref","first-page":"323","DOI":"10.1111\/j.1467-9965.1996.tb00119.x","volume":"6","author":"A Chateauneuf","year":"1996","unstructured":"Chateauneuf, A., Kast, R., & Lapied, A. (1996). Choquet pricing for financial markets with frictions. Mathematical Finance, 6, 323\u2013330.","journal-title":"Mathematical Finance"},{"key":"2079_CR12","doi-asserted-by":"crossref","first-page":"367","DOI":"10.1023\/A:1015567329595","volume":"51","author":"A Chateauneuf","year":"2001","unstructured":"Chateauneuf, A., Kast, R., & Lapied, A. (2001). Conditioning capacities and Choquet integrals: The role of comonotony. Theory and Decision, 51, 367\u2013386.","journal-title":"Theory and Decision"},{"key":"2079_CR13","doi-asserted-by":"crossref","first-page":"538","DOI":"10.1016\/j.jet.2007.01.017","volume":"51","author":"A Chateauneuf","year":"2007","unstructured":"Chateauneuf, A., Eichberger, J., & Grant, S. (2007). Choice under uncertainty with the best and worst in mind: Neo-additive capacities. Journal of Economic Theory, 51, 538\u2013567.","journal-title":"Journal of Economic Theory"},{"key":"2079_CR14","doi-asserted-by":"crossref","first-page":"135","DOI":"10.1080\/135048697334773","volume":"4","author":"U Cherubini","year":"1997","unstructured":"Cherubini, U. (1997). Fuzzy measures and asset prices: accounting for information ambiguity. Applied Mathematical Finance, 4, 135\u2013149.","journal-title":"Applied Mathematical Finance"},{"key":"2079_CR15","doi-asserted-by":"crossref","first-page":"125","DOI":"10.1016\/S0304-405X(98)00034-8","volume":"50","author":"BJ Christensen","year":"1998","unstructured":"Christensen, B. J., & Prabhala, N. R. (1998). The relation between implied and realized volatility. Journal of Financial Economics, 50, 125\u2013150.","journal-title":"Journal of Financial Economics"},{"key":"2079_CR16","doi-asserted-by":"crossref","DOI":"10.5040\/9798400613968","volume-title":"Arbitrage, hedging and speculation","author":"E Clark","year":"2004","unstructured":"Clark, E., & Gosh, D. K. (2004). Arbitrage, hedging and speculation. Westport, CT: Praeger Publishers."},{"key":"2079_CR17","doi-asserted-by":"publisher","unstructured":"Clark, E., & S. Baccar. (2015). Modelling credit spreads with time volatility, skewness, and kurtosis. Annals of Operations Research, 1\u201331. doi: 10.1007\/s10479-015-1975-5 .","DOI":"10.1007\/s10479-015-1975-5"},{"key":"2079_CR18","volume-title":"Asset pricing","author":"JH Cochrane","year":"2001","unstructured":"Cochrane, J. H. (2001). Asset pricing. Princeton, NJ: Princeton University press."},{"key":"2079_CR19","doi-asserted-by":"crossref","first-page":"1599","DOI":"10.1111\/j.1538-4616.2008.00176.x","volume":"40","author":"T Cogley","year":"2008","unstructured":"Cogley, T., Colacitto, R., Hansen, L. P., & Sargent, T. J. (2008). Robustness and US monetary policy experimentation. Journal of Money, Credit and Banking, 40, 1599\u20131623.","journal-title":"Journal of Money, Credit and Banking"},{"key":"2079_CR20","doi-asserted-by":"crossref","first-page":"105","DOI":"10.1023\/A:1021006118400","volume":"114","author":"R Dana","year":"2002","unstructured":"Dana, R. (2002). On equilibria when agents have multiple priors. Annals of Operations Research, 114, 105\u2013115.","journal-title":"Annals of Operations Research"},{"key":"2079_CR21","doi-asserted-by":"crossref","first-page":"557","DOI":"10.1111\/j.1540-6261.1987.tb04569.x","volume":"42","author":"W Bondt De","year":"1987","unstructured":"De Bondt, W., & Thaler, R. (1987). Further evidence on investor overreaction and stock market seasonality. Journal of Finance, 42, 557\u2013581.","journal-title":"Journal of Finance"},{"key":"2079_CR22","doi-asserted-by":"crossref","first-page":"269","DOI":"10.1007\/s11002-008-9047-0","volume":"19","author":"A Palma De","year":"2008","unstructured":"De Palma, A., Ben-Akiva, M., Brownstone, D., Holt, C., Magnac, T., McFadden, D., et al. (2008). Risk, uncertainty and discrete choice models. Marketing Letters, 19, 269\u2013285.","journal-title":"Marketing Letters"},{"key":"2079_CR23","doi-asserted-by":"crossref","first-page":"45","DOI":"10.1016\/S0304-4068(01)00064-7","volume":"36","author":"A Waegenaere De","year":"2001","unstructured":"De Waegenaere, A., & Wakker, P. (2001). Nonmonotonic Choquet integrals. Journal of Mathematical Economics, 36, 45\u201360.","journal-title":"Journal of Mathematical Economics"},{"key":"2079_CR24","first-page":"359","volume":"32","author":"A Waegenaere De","year":"2003","unstructured":"De Waegenaere, A., Kast, R., & Lapied, A. (2003). Choquet pricing and equilibrium. Insurance: Mathematics and Economics, 32, 359\u2013370.","journal-title":"Insurance: Mathematics and Economics"},{"key":"2079_CR25","volume-title":"Stochastic processes","author":"JL Doob","year":"1953","unstructured":"Doob, J. L. (1953). Stochastic processes. Hoboken: Wiley."},{"key":"2079_CR26","doi-asserted-by":"crossref","first-page":"1843","DOI":"10.1111\/jofi.12068","volume":"68","author":"I Drechsler","year":"2013","unstructured":"Drechsler, I. (2013). Uncertainty, time-varying fear and asset prices. Journal of Finance, 68, 1843\u20131889.","journal-title":"Journal of Finance"},{"key":"2079_CR27","doi-asserted-by":"crossref","first-page":"787","DOI":"10.1007\/s00291-014-0378-3","volume":"37","author":"T Driouchi","year":"2015","unstructured":"Driouchi, T., Trigeorgis, L., & Gao, Y. L. (2015). Choquet-based European option pricing with stochastic (and fixed) strikes. Operations Research Spectrum, 37, 787\u2013802.","journal-title":"Operations Research Spectrum"},{"key":"2079_CR28","doi-asserted-by":"crossref","first-page":"107","DOI":"10.1023\/A:1004994630014","volume":"46","author":"J Eichberger","year":"1999","unstructured":"Eichberger, J., & Kelsey, D. (1999). E-capacities and the Ellsberg paradox. Theory and Decision, 46, 107\u2013140.","journal-title":"Theory and Decision"},{"key":"2079_CR29","doi-asserted-by":"crossref","first-page":"45","DOI":"10.1007\/s10479-009-0627-z","volume":"185","author":"A Elkhodiry","year":"2011","unstructured":"Elkhodiry, A., Paradi, J., & Seco, L. (2011). Using equity options to imply credit information. Annals of Operations Research, 185, 45\u201373.","journal-title":"Annals of Operations Research"},{"key":"2079_CR30","doi-asserted-by":"crossref","first-page":"507","DOI":"10.1007\/s10436-012-0197-y","volume":"8","author":"G Faria","year":"2012","unstructured":"Faria, G., & Correia-da-Silva, J. (2012). The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices. Annals of Finance, 8, 507\u2013531.","journal-title":"Annals of Finance"},{"key":"2079_CR31","doi-asserted-by":"crossref","first-page":"125","DOI":"10.1007\/s11147-014-9097-9","volume":"17","author":"G Faria","year":"2014","unstructured":"Faria, G., & Correia-da-Silva, J. (2014). A closed-form solution for options with ambiguity about stochastic volatility. Review of Derivatives Research, 17, 125\u2013159.","journal-title":"Review of Derivatives Research"},{"key":"2079_CR32","doi-asserted-by":"crossref","first-page":"119","DOI":"10.1007\/s10479-006-0119-3","volume":"151","author":"D Feldman","year":"2007","unstructured":"Feldman, D. (2007). Incomplete information equilibria: Separation theorems and other myths. Annals of Operations Research, 151, 119\u2013149.","journal-title":"Annals of Operations Research"},{"key":"2079_CR33","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1007\/s11238-012-9334-3","volume":"75","author":"J Ford","year":"2014","unstructured":"Ford, J., Kelsey, D., & Pang, W. (2014). Information and ambiguity: Herd and contrarian behaviour in financial markets. Theory and Decision, 75, 1\u201315.","journal-title":"Theory and Decision"},{"key":"2079_CR34","doi-asserted-by":"crossref","first-page":"79","DOI":"10.1023\/A:1009834122099","volume":"3","author":"G Franke","year":"1999","unstructured":"Franke, G., Stapleton, R. C., & Subrahmanyam, M. G. (1999). When are options overpriced? The Black\u2013Scholes model and alternative characterisations of the pricing kernel. Review of Finance, 3, 79\u2013102.","journal-title":"Review of Finance"},{"key":"2079_CR35","doi-asserted-by":"crossref","first-page":"555","DOI":"10.1002\/fut.20259","volume":"27","author":"JKW Fung","year":"2007","unstructured":"Fung, J. K. W. (2007). The information content of option implied volatility surrounding the 1997 Hong Kong stock market crash. Journal of Futures Markets, 27, 555\u2013574.","journal-title":"Journal of Futures Markets"},{"key":"2079_CR36","doi-asserted-by":"crossref","first-page":"141","DOI":"10.1016\/0304-4068(89)90018-9","volume":"18","author":"I Gilboa","year":"1989","unstructured":"Gilboa, I., & Schmeidler, D. (1989). Maxmin expected utility with a nonunique prior. Journal of Mathematical Economics, 18, 141\u2013153.","journal-title":"Journal of Mathematical Economics"},{"key":"2079_CR37","doi-asserted-by":"crossref","first-page":"43","DOI":"10.1007\/BF02032160","volume":"52","author":"I Gilboa","year":"1994","unstructured":"Gilboa, I., & Schmeidler, D. (1994). Additive representations of non-additive measures and the choquet integral. Annals of Operations Research, 52, 43\u201365.","journal-title":"Annals of Operations Research"},{"key":"2079_CR38","doi-asserted-by":"crossref","first-page":"171","DOI":"10.1007\/s11166-008-9050-0","volume":"37","author":"C Gollier","year":"2008","unstructured":"Gollier, C. (2008). Discounting with fat-tailed economic growth. Journal of Risk and Uncertainty, 37, 171\u2013186.","journal-title":"Journal of Risk and Uncertainty"},{"key":"2079_CR39","doi-asserted-by":"crossref","first-page":"871","DOI":"10.1111\/j.1542-4774.2011.01034.x","volume":"9","author":"C Gollier","year":"2011","unstructured":"Gollier, C., & Schlee, E. (2011). Information and the equity premium. Journal of the European Economic Association, 9, 871\u2013902.","journal-title":"Journal of the European Economic Association"},{"key":"2079_CR40","doi-asserted-by":"crossref","first-page":"183","DOI":"10.1007\/s11238-012-9343-2","volume":"74","author":"M Guidolin","year":"2013","unstructured":"Guidolin, M., & Rinaldi, F. (2013). Ambiguity in asset pricing and portfolio choice: A review of the literature. Theory and Decision, 74, 183\u2013217.","journal-title":"Theory and Decision"},{"key":"2079_CR41","doi-asserted-by":"crossref","first-page":"387","DOI":"10.1093\/rfs\/hhm071","volume":"21","author":"B Han","year":"2008","unstructured":"Han, B. (2008). Investor sentiment and option prices. Review of Financial Studies, 21, 387\u2013414.","journal-title":"Review of Financial Studies"},{"key":"2079_CR42","doi-asserted-by":"crossref","first-page":"381","DOI":"10.1016\/0022-0531(79)90043-7","volume":"20","author":"JM Harrison","year":"1979","unstructured":"Harrison, J. M., & Kreps, D. M. (1979). Martingale and arbitrage in multiperiod securities markets. Journal of Economic Theory, 20, 381\u2013408.","journal-title":"Journal of Economic Theory"},{"key":"2079_CR43","doi-asserted-by":"crossref","first-page":"327","DOI":"10.1093\/rfs\/6.2.327","volume":"6","author":"SL Heston","year":"1993","unstructured":"Heston, S. L. (1993). A closed-form solution for options with stochastic volatility with applications to bond and currency options. Review of Financial Studies, 6, 327\u2013343.","journal-title":"Review of Financial Studies"},{"key":"2079_CR44","doi-asserted-by":"crossref","first-page":"81","DOI":"10.1007\/s11166-010-9102-0","volume":"41","author":"JD Hey","year":"2010","unstructured":"Hey, J. D., Lotito, G., & Maffioletti, A. (2010). The descriptive and predictive adequacy of theories of decision-making under uncertainty\/ambiguity. Journal of Risk and Uncertainty, 41, 81\u2013111.","journal-title":"Journal of Risk and Uncertainty"},{"key":"2079_CR45","doi-asserted-by":"crossref","first-page":"433","DOI":"10.1093\/rfs\/13.2.433","volume":"13","author":"JC Jackwerth","year":"2000","unstructured":"Jackwerth, J. C. (2000). Recovering risk aversion from option prices and realized returns. Review of Financial Studies, 13, 433\u2013451.","journal-title":"Review of Financial Studies"},{"key":"2079_CR46","doi-asserted-by":"publisher","unstructured":"Jahan-Parvar, M. R., Liu, H. (2014). Ambiguity aversion and asset prices in production economies. Review of Financial Studies. doi: 10.1093\/rfs\/hhu037 .","DOI":"10.1093\/rfs\/hhu037"},{"key":"2079_CR47","doi-asserted-by":"crossref","first-page":"57","DOI":"10.1111\/j.1467-9965.2010.00457.x","volume":"22","author":"S Jaimungal","year":"2012","unstructured":"Jaimungal, S., & Sigloch, G. (2012). Incorporating risk and ambiguity aversion into a hybrid model of default. Mathematical Finance, 22, 57\u201381.","journal-title":"Mathematical Finance"},{"key":"2079_CR48","doi-asserted-by":"publisher","unstructured":"Javanmardi, L., Lawryshyn, Y. (2015). A new rank dependent utility approach to model risk averse preferences in portfolio optimization. Annals of Operations Research, 1\u201316. doi: 10.1007\/s10479-014-1761-9 .","DOI":"10.1007\/s10479-014-1761-9"},{"key":"2079_CR49","doi-asserted-by":"crossref","first-page":"27","DOI":"10.1007\/s11238-008-9107-1","volume":"69","author":"R Kast","year":"2010","unstructured":"Kast, R., & Lapied, A. (2010). Valuing future cash flows with non separable discount factors and non additive subjective measures: Conditional Choquet capacities on time and on uncertainty. Theory and Decision, 69, 27\u201353.","journal-title":"Theory and Decision"},{"key":"2079_CR50","doi-asserted-by":"crossref","first-page":"495","DOI":"10.1016\/j.econmod.2014.01.007","volume":"38","author":"R Kast","year":"2014","unstructured":"Kast, R., Lapied, A., & Roubaud, D. (2014). Modelling under ambiguity with dynamically consistent Choquet random walks and Choquet-Brownian motions. Economic Modelling, 38, 495\u2013503.","journal-title":"Economic Modelling"},{"key":"2079_CR51","doi-asserted-by":"crossref","first-page":"603","DOI":"10.1093\/rof\/rfq021","volume":"15","author":"D Kelsey","year":"2011","unstructured":"Kelsey, D., Kozhan, R., & Pang, W. (2011). Asymmetric momentum effects under uncertainty. Review of Finance, 15, 603\u2013631.","journal-title":"Review of Finance"},{"key":"2079_CR52","volume-title":"The general theory of employment, interest and money","author":"JM Keynes","year":"1936","unstructured":"Keynes, J. M. (1936). The general theory of employment, interest and money. Cambridge: Cambridge University Press."},{"key":"2079_CR53","doi-asserted-by":"publisher","unstructured":"Kim, J., Leung, T. (2014). Impact of risk aversion and belief heterogeneity on trading of defaultable claims. Annals of Operations Research, 1\u201330. doi: 10.1007\/s10479-013-1524-z .","DOI":"10.1007\/s10479-013-1524-z"},{"key":"2079_CR54","volume-title":"Risk, uncertainty and profit","author":"FH Knight","year":"1921","unstructured":"Knight, F. H. (1921). Risk, uncertainty and profit. Boston, MA: Houghton Mifflin."},{"key":"2079_CR55","doi-asserted-by":"crossref","first-page":"1697","DOI":"10.1016\/j.jedc.2006.06.003","volume":"31","author":"T Li","year":"2007","unstructured":"Li, T. (2007). Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy. Journal of Economic Dynamics and Control, 31, 1697\u20131727.","journal-title":"Journal of Economic Dynamics and Control"},{"key":"2079_CR56","doi-asserted-by":"crossref","first-page":"131","DOI":"10.1093\/rfs\/hhi011","volume":"18","author":"J Liu","year":"2005","unstructured":"Liu, J., Pan, J., & Wang, T. (2005). An equilibrium model of rare event premia and its implications for option smirks. Review of Financial Studies, 18, 131\u2013164.","journal-title":"Review of Financial Studies"},{"key":"2079_CR57","volume-title":"The (mis)behavior of markets: A fractal view of financial turbulence","author":"B Mandelbrot","year":"2008","unstructured":"Mandelbrot, B., & Hudson, R. L. (2008). The (mis)behavior of markets: A fractal view of financial turbulence. New York: Basic Books."},{"key":"2079_CR58","doi-asserted-by":"crossref","first-page":"305","DOI":"10.1007\/s10479-013-1461-x","volume":"233","author":"S Marzban","year":"2015","unstructured":"Marzban, S., Mahootchi, M., & Khamseh, A. A. (2015). Developing a multi-period robust optimization model considering American style options. Annals of Operations Research, 233, 305\u2013320.","journal-title":"Annals of Operations Research"},{"key":"2079_CR59","doi-asserted-by":"crossref","first-page":"99","DOI":"10.1007\/s10479-006-0128-2","volume":"151","author":"M Mellios","year":"2007","unstructured":"Mellios, M. (2007). Interest rate options valuation under incomplete information. Annals of Operations Research, 151, 99\u2013117.","journal-title":"Annals of Operations Research"},{"key":"2079_CR60","doi-asserted-by":"crossref","first-page":"141","DOI":"10.2307\/3003143","volume":"4","author":"RC Merton","year":"1973","unstructured":"Merton, R. C. (1973). Theory of rational option pricing. Bell Journal of Economics and Management Science, 4, 141\u2013183.","journal-title":"Bell Journal of Economics and Management Science"},{"key":"2079_CR61","doi-asserted-by":"crossref","first-page":"97","DOI":"10.1007\/s11238-007-9095-6","volume":"65","author":"A Montesano","year":"2008","unstructured":"Montesano, A. (2008). Effects of uncertainty aversion on the call option market. Theory and Decision, 65, 97\u2013123.","journal-title":"Theory and Decision"},{"key":"2079_CR62","doi-asserted-by":"crossref","first-page":"561","DOI":"10.1080\/13518471003640134","volume":"16","author":"S Muzzioli","year":"2010","unstructured":"Muzzioli, S. (2010). Option-based forecasts of volatility: An empirical study in the DAX index options market. European Journal of Finance, 16, 561\u2013586.","journal-title":"European Journal of Finance"},{"key":"2079_CR63","doi-asserted-by":"crossref","first-page":"861","DOI":"10.1016\/S0165-1889(03)00060-5","volume":"28","author":"S Muzzioli","year":"2004","unstructured":"Muzzioli, S., & Torricelli, C. (2004). A multiperiod binomial model for pricing options in a vague world. Journal of Economic Dynamics and Control, 28, 861\u2013887.","journal-title":"Journal of Economic Dynamics and Control"},{"key":"2079_CR64","doi-asserted-by":"crossref","first-page":"703","DOI":"10.2307\/1913610","volume":"55","author":"WK Newey","year":"1987","unstructured":"Newey, W. K., & West, K. D. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55, 703\u2013708.","journal-title":"Econometrica"},{"key":"2079_CR65","doi-asserted-by":"crossref","first-page":"5","DOI":"10.1007\/s10479-011-0848-9","volume":"195","author":"HT Nguyen","year":"2012","unstructured":"Nguyen, H. T., Pham, U. H., & Tran, H. D. (2012). On some claims related to Choquet integral risk measures. Annals of Operations Research, 195, 5\u201331.","journal-title":"Annals of Operations Research"},{"key":"2079_CR66","doi-asserted-by":"crossref","first-page":"668","DOI":"10.1016\/j.jet.2006.10.011","volume":"136","author":"KG Nishimura","year":"2007","unstructured":"Nishimura, K. G., & Ozaki, H. (2007). Irreversible investment and Knightian uncertainty. Journal of Economic Theory, 136, 668\u2013694.","journal-title":"Journal of Economic Theory"},{"key":"2079_CR67","doi-asserted-by":"crossref","first-page":"851","DOI":"10.1111\/0022-1082.00348","volume":"56","author":"A Poteshman","year":"2001","unstructured":"Poteshman, A. (2001). Underreaction, overreaction, and increasing misreaction to information in the option market. Journal of Finance, 56, 851\u2013876.","journal-title":"Journal of Finance"},{"key":"2079_CR68","doi-asserted-by":"crossref","first-page":"857","DOI":"10.3982\/ECTA7594","volume":"77","author":"F Riedel","year":"2009","unstructured":"Riedel, F. (2009). Optimal stopping with multiple priors. Econometrica, 77, 857\u2013908.","journal-title":"Econometrica"},{"key":"2079_CR69","doi-asserted-by":"crossref","first-page":"63","DOI":"10.1016\/j.frl.2012.02.001","volume":"9","author":"MO Rieger","year":"2012","unstructured":"Rieger, M. O., & Wang, M. (2012). Can ambiguity aversion solve the equity premium puzzle? Survey evidence from international data. Finance Research Letters, 9, 63\u201372.","journal-title":"Finance Research Letters"},{"key":"2079_CR70","unstructured":"Roubaud, D., Lapied, A., Kast, R. (2010). Real options under Choquet-Brownian ambiguity. Greqam working paper."},{"key":"2079_CR71","doi-asserted-by":"crossref","first-page":"571","DOI":"10.2307\/1911053","volume":"57","author":"D Schmeidler","year":"1989","unstructured":"Schmeidler, D. (1989). Subjective probability and expected utility without additivity. Econometrica, 57, 571\u2013587.","journal-title":"Econometrica"},{"key":"2079_CR72","volume-title":"A behavioral approach to asset pricing","author":"H Shefrin","year":"2005","unstructured":"Shefrin, H. (2005). A behavioral approach to asset pricing. New York City: Elsevier Academic Press."},{"key":"2079_CR73","doi-asserted-by":"crossref","first-page":"591","DOI":"10.1111\/j.1542-4774.2011.01030.x","volume":"9","author":"JE Stiglitz","year":"2011","unstructured":"Stiglitz, J. E. (2011). Rethinking macroeconomics: What failed and how to repair it. Journal of the European Economic Association, 9, 591\u2013645.","journal-title":"Journal of the European Economic Association"},{"key":"2079_CR74","doi-asserted-by":"crossref","first-page":"871","DOI":"10.1016\/j.jbankfin.2009.09.015","volume":"34","author":"SJ Taylor","year":"2010","unstructured":"Taylor, S. J., Yadav, P., & Zhang, Y. (2010). The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks. Journal of Banking and Finance, 34, 871\u2013881.","journal-title":"Journal of Banking and Finance"},{"key":"2079_CR75","doi-asserted-by":"crossref","first-page":"279","DOI":"10.1023\/B:EUFI.0000035193.29969.40","volume":"8","author":"F Trojani","year":"2004","unstructured":"Trojani, F., & Vanini, P. (2004). Robustness and ambiguity aversion in general equilibrium. Review of Finance, 8, 279\u2013324.","journal-title":"Review of Finance"},{"key":"2079_CR76","doi-asserted-by":"crossref","first-page":"297","DOI":"10.1007\/BF00122574","volume":"5","author":"A Tversky","year":"1992","unstructured":"Tversky, A., & Kahneman, D. (1992). Advances in prospect theory: Cumulative representation of uncertainty. Journal of Risk and Uncertainty, 5, 297\u2013323.","journal-title":"Journal of Risk and Uncertainty"},{"key":"2079_CR77","unstructured":"Vorbrink, J. (2011). American options with multiple priors in continuous time. Bielefeld University working paper."},{"key":"2079_CR78","doi-asserted-by":"crossref","first-page":"1039","DOI":"10.1111\/1468-0262.00229","volume":"69","author":"PP Wakker","year":"2001","unstructured":"Wakker, P. P. (2001). Testing and characterizing properties of nonadditive measures through violations of the sure-thing principle. Econometrica, 69, 1039\u20131059.","journal-title":"Econometrica"},{"key":"2079_CR79","doi-asserted-by":"crossref","first-page":"98","DOI":"10.3905\/JPM.2009.35.3.098","volume":"35","author":"RE Whaley","year":"2009","unstructured":"Whaley, R. E. (2009). Understanding the VIX. Journal of Portfolio Management, 35, 98\u2013105.","journal-title":"Journal of Portfolio Management"},{"key":"2079_CR80","doi-asserted-by":"crossref","first-page":"75","DOI":"10.1007\/s10479-009-0549-9","volume":"185","author":"R Zagst","year":"2011","unstructured":"Zagst, R., & Kraus, J. (2011). Stochastic dominance of portfolio insurance strategies. Annals of Operations Research, 185, 75\u2013103.","journal-title":"Annals of Operations Research"}],"container-title":["Annals of Operations Research"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-015-2079-y.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s10479-015-2079-y\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-015-2079-y","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-015-2079-y.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,6,13]],"date-time":"2024-06-13T06:53:36Z","timestamp":1718261616000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s10479-015-2079-y"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2015,12,19]]},"references-count":80,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2018,3]]}},"alternative-id":["2079"],"URL":"https:\/\/doi.org\/10.1007\/s10479-015-2079-y","relation":{},"ISSN":["0254-5330","1572-9338"],"issn-type":[{"value":"0254-5330","type":"print"},{"value":"1572-9338","type":"electronic"}],"subject":[],"published":{"date-parts":[[2015,12,19]]}}}