The paper examines the effects of uncertainty aversion in competitive call option markets using a partial equilibrium model with the Choquet expected utility setup. We find that the trading volume of a call option is negatively affected by uncertainty aversion, whereas the price of the call is practically independent of it.
Effects of Uncertainty Aversion on the Call Option Market
MONTESANO, ALDO MARIA
2008
Abstract
The paper examines the effects of uncertainty aversion in competitive call option markets using a partial equilibrium model with the Choquet expected utility setup. We find that the trading volume of a call option is negatively affected by uncertainty aversion, whereas the price of the call is practically independent of it.
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