Deep equal risk pricing of financial derivatives with non-translation invariant risk measures
Year of publication: |
2023
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Authors: | Carbonneau, Alexandre ; Godin, Frédéric |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 11.2023, 8, Art.-No. 140, p. 1-27
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Subject: | finance | option pricing | hedging | reinforcement learning | deep learning | Derivat | Derivative | Hedging | Optionspreistheorie | Option pricing theory | Lernprozess | Learning process | Risiko | Risk | CAPM | Stochastischer Prozess | Stochastic process |
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