Uncertainty & Ambiguity in Finance
Measuring, pricing, and hedging the fact that investors do not know the true distribution of returns.
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2 min read
Learning Before Scheduled Events: Prediction Markets, State Prices, and Option Valuation
Options spanning a scheduled event are priced from observed event-clock inputs, with sequential overidentification restrictions tested on the Brexit referendum and on 2024 U.S. …
michael-hanke
Stochastic Event-Outcome Probabilities and the Pricing of Scheduled Event Risk
We analyze event risk premia in an expected utility framework and provide closed-form solutions under both quadratic and power utility for four different cases: …
michael-hanke