Learning minimum variance discrete hedging directly from the market
Year of publication: |
July 2018
|
---|---|
Authors: | Nian Ke ; Coleman, Thomas F. ; Li, Yuying |
Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 7, p. 1115-1128
|
Subject: | Machine learning | Dynamic hedging | Risk management | Kernels | Regularized network | Theorie | Theory | Hedging | Risikomanagement | Lernprozess | Learning process |
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