Computational aspects of robust optimized certainty equivalents and option pricing

Keyphrases

• Computational Aspects 100%
• Option Pricing 100%
• Optimized Certainty Equivalent 100%
• At-risk 50%
• Risk Management 25%
• Optimization Problem 25%
• Model Uncertainty 25%
• Finite-dimensional 25%
• European Options 25%
• Dual Representation 25%
• Wasserstein Distance 25%
• Nonlinear Expectation 25%
• Baseline Distribution 25%
• Infinite-dimensional Optimization 25%
• Shortfall Risk Measures 25%
• Optimal Transport Distance 25%

Mathematics

• Option Pricing 100%
• Value at Risk 100%
• Computational Aspects 100%
• Dimensional Problem 50%
• Risk Measure 50%
• Optimal Transport 50%
• Wasserstein Distance 50%
• Shortfall 50%

Economics, Econometrics and Finance

• Pricing 100%
• Risk Management 33%
• Option Trading 33%