No Good Deals - No Bad Models
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Faced with the problem of pricing complex contingent claims, an investor seeks to make his valuations robust to model uncertainty. We construct a notion of a model- uncertainty-induced utility function and show that model uncertainty increases the investor's eff ective risk aversion. Using the model-uncertainty-induced utility function, we extend the \No Good Deals" methodology of Cochrane and Sa a-Requejo  to compute lower and upper good deal bounds in the presence of model uncertainty. We illustrate the methodology using some numerical examples.