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Computational aspects of robust optimized certainty equivalents and option pricing

Computational aspects of robust optimized certainty equivalents and option pricing

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BARTL, Daniel, Samuel DRAPEAU, Ludovic TANGPI, 2020. Computational aspects of robust optimized certainty equivalents and option pricing. In: Mathematical Finance. Wiley. 30(1), pp. 287-309. ISSN 0960-1627. eISSN 1467-9965. Available under: doi: 10.1111/mafi.12203

@article{Bartl2020-01Compu-48304, title={Computational aspects of robust optimized certainty equivalents and option pricing}, year={2020}, doi={10.1111/mafi.12203}, number={1}, volume={30}, issn={0960-1627}, journal={Mathematical Finance}, pages={287--309}, author={Bartl, Daniel and Drapeau, Samuel and Tangpi, Ludovic} }

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