Data-driven hedging of stock index options via deep learning
Year of publication: |
2023
|
---|---|
Authors: | Chen, Jie ; Li, Lingfei |
Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 51.2023, 4, p. 408-413
|
Subject: | Data-driven | Deep learning | Hedging | Index options | Market sentiment | Theorie | Theory | Index-Futures | Index futures |
-
Information content of order imbalance in the index options market
Sensoy, Ahmet, (2022)
-
Valuation of stock index futures and their relation to the underlying index : theory and evidence
Junkus, Joan C., (1984)
-
Die Hedgingeffektivität von Aktienindexfutures
Albrecht, Rainer, (1995)
- More ...
-
Chen, Jie, (2017)
-
Chen, Jie, (2022)
-
Optimal stopping in infinite horizon: An eigenfunction expansion approach
Li, Lingfei, (2014)
- More ...