Thesis (M.S.)--Springfield College, 2003. / Includes bibliographical references.

Thesis (M.S.)--Springfield College, 2003. / Includes bibliographical references.

Thesis (M.S.)--Oregon State University, 2004. / Includes bibliographical references.

Thesis (M.S.)--Oregon State University, 2007. / Printout. Includes bibliographical references (leaves 77-81). Also available on the World Wide Web.

Thesis (M.E.)--University of Canterbury, 2006. / Typescript (photocopy). Includes bibliographical references (p. 108-112). Also available via the World Wide Web.

Thesis (Ph. D.)--University of Oregon, 2006. / Includes vita and abstract. Includes bibliographical references (leaves 127-135).

Thesis (Ph.D.)--Lehigh University, 1994. / Adviser: Michael R. Notis. Includes bibliographical references.

Thesis (Ph. D.)--University of Oregon, 2006. / Typescript. Includes vita and abstract. Includes bibliographical references (leaves 127-135). Also available for download via the World Wide Web; free to University of Oregon users.

Thesis (Ph. D.)--University of Oregon, 2006. / Includes bibliographical references (leaves 127-135). Also available online (PDF file) by a subscription to the set or by purchasing the individual file.

In this paper, we study the asset pricing implication of imprecise knowledge about rare events. Modeling rare events as jumps in the aggregate endowment, we explicitly solve the equilibrium asset prices in a pure-exchange economy with a representative agent who is averse not only to risk but also to model uncertainty with respect to rare events. Our results show that there are three components in the equity premium: the diffusive-risk premium, the jump-risk premium, and the "rare event premium." While the first two premia are generated by risk aversion, the last one is driven exclusively by uncertainty aversion. To dis-entangle the "rare event premium" from the standard risk-based premia, we examine the equilibrium prices of options with varying degree of moneyness. We consider models with different levels of uncertainty aversion -- including the one with zero uncertainty aversion, and calibrate all models to the same level of equity premium. Although observationally equivalent with respect to the equity market, these models provide distinctly different predictions on the option market. Without incorporating uncertainty aversion, the standard model cannot explain the extent of the premia implicit in options, particularly the prevalent "smirk" patterns documented in the index options market. In contrast, the models incorporating uncertainty aversion can generate significant premia for at-the-money option prices, as well as pronounced "smirk" patterns for options with different degrees of moneyness.