Abstract
This article 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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Montesano, A. Effects of Uncertainty Aversion on the Call Option Market. Theory Decis 65, 97–123 (2008). https://doi.org/10.1007/s11238-007-9095-6
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DOI: https://doi.org/10.1007/s11238-007-9095-6