Computational aspects of robust optimized certainty equivalents and option pricing (Q5109990)
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scientific article; zbMATH DE number 7200958
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Computational aspects of robust optimized certainty equivalents and option pricing |
scientific article; zbMATH DE number 7200958 |
Statements
Computational aspects of robust optimized certainty equivalents and option pricing (English)
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14 May 2020
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average value-at-risk
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convex duality
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distribution uncertainty
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optimized certainty equivalent
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optimal transport
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penalization
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robust option pricing
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Wasserstein distance
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