Robust risk-aware option hedging
David Wu and Sebastian Jaimungal
| Year of publication: |
2023
|
|---|---|
| Authors: | Wu, David ; Jaimungal, Sebastian |
| Published in: |
Applied mathematical finance. - London : Routledge, ISSN 1466-4313, ZDB-ID 2004159-7. - Vol. 30.2023, 3, p. 153-174
|
| Subject: | option hedging | reinforcement learning | risk measures | robustification | Hedging | Optionspreistheorie | Option pricing theory | Experiment | Risiko | Risk | Derivat | Derivative |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2023.2301354 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015051231