Option hedging using LSTM-RNN : an empirical analysis
Junhuan Zhang and Wenjun Huang
| Year of publication: |
2021
|
|---|---|
| Authors: | Zhang, Junhuan ; Huang, Wenjun |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 10, p. 1753-1772
|
| Subject: | Deep learning | Option hedging | Portfolio optimization | Risk management | Experiment | Hedging | Portfolio-Management | Portfolio selection | Risikomanagement | Optionspreistheorie | Option pricing theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2021.1905171 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012653710