Ludovic Tangpi

Princeton University

22 Chambers Street

Princeton, NJ 08544-0708

United States

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Computational Aspects of Robust Optimized Certainty Equivalents and Option Pricing

Mathematical Finance, Vol. 30, Issue 1, pp. 287-309, 2020
Number of pages: 23 Posted: 29 May 2020
Daniel Bartl, Samuel Drapeau and Ludovic Tangpi
University of Konstanz, China Academy of Financial Research (SAIF) and School of Mathematical Sciences and Princeton University
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Abstract:

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average value‐at‐risk, convex duality, distribution uncertainty, optimized certainty equivalent, optimal transport, penalization, robust option pricing, Wasserstein distance