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Numerical construction of a hedging strategy against the multi-asset European claim

Milʹstejn, Grigorij N. (contributor); … - 1999 - [Elektronische Ressource]

For evaluating a hedging strategy we have to know at every instant the solution of the Cauchy problem for a parabolic equation (the value of the hedging portfolio) and its derivatives (the deltas). We suggest to find these magnitudes by Monte Carlo simulation of the corresponding system of...

Persistent link: https://www.econbiz.de/10001544443

Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes

Krasin, Vladislav Y.; Smirnov, Ivan; Melʹnikov, … - In: Annals of finance 14 (2018) 2, pp. 195-209

Persistent link: https://www.econbiz.de/10011945591

Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions

Chen, Yangang; Wan, Justin W. L. - In: Quantitative finance 21 (2021) 1, pp. 45-67

Persistent link: https://www.econbiz.de/10012424632

Efficient pricing and hedging of high-dimensional American options using deep recurrent networks

Na, Andrew S.; Wan, Justin W. L. - In: Quantitative finance 23 (2023) 4, pp. 631-651

Persistent link: https://www.econbiz.de/10014304288