Learning sequential option hedging models from market data
Ke Nian, Thomas F. Coleman, Yuying Li
| Year of publication: |
2021
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|---|---|
| Authors: | Nian Ke ; Coleman, Thomas F. ; Li, Yuying |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 133.2021, p. 1-14
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| Subject: | Data-Driven model | Discrete hedging | Feature extraction | Feature selection | Machine learning | Option | Recurrent neural network | Hedging | Neuronale Netze | Neural networks | Optionspreistheorie | Option pricing theory | Künstliche Intelligenz | Artificial intelligence | Lernprozess | Learning process | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2021.106277 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013256585