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Computational aspects of robust optimized certainty equivalents and option pricing

Citations

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Cited by:

  1. Kim, Sojung & Weber, Stefan, 2022. "Simulation methods for robust risk assessment and the distorted mix approach," European Journal of Operational Research, Elsevier, vol. 298(1), pages 380-398.
  2. Chung I Lu & Julian Sester & Aijia Zhang, 2025. "Distributionally Robust Deep Q-Learning," Papers 2505.19058, arXiv.org.
  3. Michael Kupper & Max Nendel & Alessandro Sgarabottolo, 2023. "Risk measures based on weak optimal transport," Papers 2312.05973, arXiv.org.
  4. Bingyan Han, 2022. "Distributionally robust risk evaluation with a causality constraint and structural information," Papers 2203.10571, arXiv.org, revised Jun 2025.
  5. Blessing, Jonas & Kupper, Michael & Sgarabottolo, Alessandro, 2025. "Discrete approximation of risk-based prices under volatility uncertainty," Center for Mathematical Economics Working Papers 742, Center for Mathematical Economics, Bielefeld University.
  6. Nendel, Max & Sgarabottolo, Alessandro, 2025. "A parametric approach to the estimation of convex risk functionals based on Wasserstein distance," Center for Mathematical Economics Working Papers 724, Center for Mathematical Economics, Bielefeld University.
  7. Yu Feng & Ralph Rudd & Christopher Baker & Qaphela Mashalaba & Melusi Mavuso & Erik Schlögl, 2021. "Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models," Risks, MDPI, vol. 9(1), pages 1-20, January.
  8. Kupper, Michael & Nendel, Max & Sgarabottolo, Alessandro, 2025. "Hopf-Lax approximation for value functions of L´evy optimal control problems," Center for Mathematical Economics Working Papers 747, Center for Mathematical Economics, Bielefeld University.
  9. Weiwei Li & Dejian Tian, 2023. "Robust optimized certainty equivalents and quantiles for loss positions with distribution uncertainty," Papers 2304.04396, arXiv.org.
  10. Haktanır, Elif & Kahraman, Cengiz, 2023. "Intuitionistic fuzzy risk adjusted discount rate and certainty equivalent methods for risky projects," International Journal of Production Economics, Elsevier, vol. 257(C).
  11. Max Nendel & Alessandro Sgarabottolo, 2022. "A parametric approach to the estimation of convex risk functionals based on Wasserstein distance," Papers 2210.14340, arXiv.org, revised Aug 2024.
  12. Carole Bernard & Silvana M. Pesenti & Steven Vanduffel, 2024. "Robust distortion risk measures," Mathematical Finance, Wiley Blackwell, vol. 34(3), pages 774-818, July.
  13. Anders Max Reppen & Halil Mete Soner, 2023. "Deep empirical risk minimization in finance: Looking into the future," Mathematical Finance, Wiley Blackwell, vol. 33(1), pages 116-145, January.
  14. Ruslan Mirmominov & Johannes Wiesel, 2024. "A dynamic programming principle for multiperiod control problems with bicausal constraints," Papers 2410.23927, arXiv.org.
  15. Daniel Bartl & Stephan Eckstein & Michael Kupper, 2020. "Limits of random walks with distributionally robust transition probabilities," Papers 2007.08815, arXiv.org, revised Apr 2021.
  16. Daniel Bartl & Ludovic Tangpi, 2020. "Non-asymptotic convergence rates for the plug-in estimation of risk measures," Papers 2003.10479, arXiv.org, revised Oct 2022.
  17. Fuhrmann, Sven & Kupper, Michael & Nendel, Max, 2021. "Wasserstein Perturbations of Markovian Transition Semigroups," Center for Mathematical Economics Working Papers 649, Center for Mathematical Economics, Bielefeld University.
  18. Guanyu Jin & Roger J. A. Laeven & Dick den Hertog & Aharon Ben-Tal, 2024. "Constructing Uncertainty Sets for Robust Risk Measures: A Composition of $\phi$-Divergences Approach to Combat Tail Uncertainty," Papers 2412.05234, arXiv.org.
  19. Zhi Chen & Weijun Xie, 2021. "Sharing the value‐at‐risk under distributional ambiguity," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 531-559, January.
  20. Jiarui Chu & Ludovic Tangpi, 2021. "Non-asymptotic estimation of risk measures using stochastic gradient Langevin dynamics," Papers 2111.12248, arXiv.org, revised Feb 2023.
  21. Yuxin Du & Dejian Tian & Hui Zhang, 2025. "Robust distortion risk measures with linear penalty under distribution uncertainty," Papers 2503.15824, arXiv.org.
  22. Sojung Kim & Stefan Weber, 2020. "Simulation Methods for Robust Risk Assessment and the Distorted Mix Approach," Papers 2009.03653, arXiv.org, revised Jan 2022.
  23. Kupper, Michael & Nendel, Max & Sgarabottolo, Alessandro, 2025. "Risk measures based on weak optimal transport," Center for Mathematical Economics Working Papers 734, Center for Mathematical Economics, Bielefeld University.
  24. Jonas Blessing & Michael Kupper & Alessandro Sgarabottolo, 2024. "Discrete approximation of risk-based prices under volatility uncertainty," Papers 2411.00713, arXiv.org.
  25. Junichi Imai, 2022. "A Numerical Method for Hedging Bermudan Options under Model Uncertainty," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 893-916, June.
  26. Marcelo Righi & Fernanda Muller, 2024. "A note on robust convex risk measures," Papers 2406.12999, arXiv.org, revised Jul 2025.
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