Neural network approximation for superhedging prices
Year of publication: |
2022
|
---|---|
Authors: | Biagini, Francesca ; Gonon, Lukas ; Reitsam, Thomas |
Published in: |
Mathematical Finance. - Hoboken, NJ : Wiley, ISSN 1467-9965. - Vol. 33.2022, 1, p. 146-184
|
Publisher: |
Hoboken, NJ : Wiley |
Subject: | deep learning | quantile hedging | superhedging |
-
Neural network approximation for superhedging prices
Biagini, Francesca, (2023)
-
Dudenhausen, Antje, (2002)
-
When are Static Superhedging Strategies Optimal?
Branger, Nicole, (2004)
- More ...
-
Neural network approximation for superhedging prices
Biagini, Francesca, (2023)
-
Asset pricing with general transaction costs : Theory and numerics
Gonon, Lukas, (2021)
-
Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models
Gonon, Lukas, (2021)
- More ...