48 citations · 357 across the 28 of their papers we have counts for
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q-fin.MF2019★ 2 cited
Consistent upper price bounds for exotic options given a finite number of call prices and their convergence
Nicole Bäuerle, Daniel Schmithals
We consider the problem of finding a consistent upper price bound for exotic options whose payoff depends on the stock price at two different predetermined time points (e.g. Asian…
math.OC2019★ 8 cited
Markov Decision Processes under Ambiguity
Nicole Bäuerle, Ulrich Rieder
We consider statistical Markov Decision Processes where the decision maker is risk averse against model ambiguity. The latter is given by an unknown parameter which influences the…
q-fin.RM2019★ 4 cited
Risk Management with Tail Quasi-Linear Means
Nicole Bäuerle, Tomer Shushi
We generalize Quasi-Linear Means by restricting to the tail of the risk distribution and show that this can be a useful quantity in risk management since it comprises in its genera…