Deep hedging under rough volatility
Year of publication: |
2021
|
---|---|
Authors: | Horvath, Blanka Nora ; Teichmann, Josef ; Žuric̆, Žan |
Published in: |
Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 9.2021, 7, p. 1-20
|
Publisher: |
Basel : MDPI |
Subject: | deep learning | rough volatility | hedging |
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