Computational aspects of robust optimized certainty equivalents and option pricing

DOI10.1111/mafi.12203OpenAlexW2963786320WikidataQ128229862 ScholiaQ128229862MaRDI QIDQ5109990

Ludovic Tangpi, Daniel Bartl, Samuel Drapeau

Publication date: 14 May 2020

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1706.10186

zbMATH Keywords

penalizationconvex dualityWasserstein distanceoptimal transportaverage value-at-riskdistribution uncertaintyoptimized certainty equivalentrobust option pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

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A numerical method for hedging Bermudan options under model uncertainty ⋮ Stochastic Control of Optimized Certainty Equivalents ⋮ Sharing the value‐at‐risk under distributional ambiguity ⋮ Deep empirical risk minimization in finance: Looking into the future ⋮ Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance ⋮ Wasserstein perturbations of Markovian transition semigroups ⋮ Efficient hedging under ambiguity in continuous time ⋮ Exponential utility maximization under model uncertainty for unbounded endowments ⋮ Robust arbitrage conditions for financial markets ⋮ Extended Laplace principle for empirical measures of a Markov chain ⋮ Representation of increasing convex functionals with countably additive measures ⋮ Limits of random walks with distributionally robust transition probabilities ⋮ Simulation methods for robust risk assessment and the distorted mix approach

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