Event Risk

Uncertainty & Ambiguity in Finance featured image

Uncertainty & Ambiguity in Finance

Measuring, pricing, and hedging the fact that investors do not know the true distribution of returns.

Stochastic Event-Outcome Probabilities and the Pricing of Scheduled Event Risk featured image

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: …

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