Guo, Ivan; Langrené, Nicolas; Loeper, Grégoire; Ning, Wei Robust utility maximization under model uncertainty via a penalization approach. (English) Zbl 1484.91421 Math. Financ. Econ. 16, No. 1, 51-88 (2022). MSC: 91G10 91A15 91A05 49N70 49L25 PDFBibTeX XMLCite \textit{I. Guo} et al., Math. Financ. Econ. 16, No. 1, 51--88 (2022; Zbl 1484.91421) Full Text: DOI arXiv
Guo, Ivan; Loeper, Gregoire Pricing bounds for volatility derivatives via duality and least squares Monte Carlo. (English) Zbl 1418.91599 J. Optim. Theory Appl. 179, No. 2, 598-617 (2018). MSC: 91G60 91G20 65C05 PDFBibTeX XMLCite \textit{I. Guo} and \textit{G. Loeper}, J. Optim. Theory Appl. 179, No. 2, 598--617 (2018; Zbl 1418.91599) Full Text: DOI arXiv