A model of capacity choice under Knightian uncertainty
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DOI: 10.1016/j.econlet.2018.11.024
Abstract: This paper introduces Knightian uncertainty into the standard model of capacity choice and investigates its impact on the firm’s expansion decision. First, we find Knightian uncertainty reduces both the firm value and marginal value of… read more here.
Keywords: capacity choice; knightian uncertainty; uncertainty; value ... See more keywords
A Knightian irreversible investment problem
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DOI: 10.1016/j.jmaa.2021.125744
Abstract: In this paper, we study an irreversible investment problem under Knightian uncertainty. In a general framework, in which Knightian uncertainty is modeled through a set of multiple priors, we prove existence and uniqueness of the… read more here.
Keywords: problem knightian; investment; investment problem; knightian uncertainty ... See more keywords
A Structural Credit Risk Model Driven by the Lévy Process under Knightian Uncertainty
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DOI: 10.3390/sym14051041
Abstract: The classic credit risk structured model assumes that risky asset values obey geometric Brownian motion. In reality, however, risky asset values are often not a continuous and symmetrical process, but rather they appear to jump… read more here.
Keywords: model; credit risk; uncertainty; knightian uncertainty ... See more keywords