pricing and hedging Short Sterling options. Using high frequency data, standard and hybrid ANNs are trained to generate option … put options. Hedge ratios for hedging Short Sterling options positions using Short Sterling futures are produced using the …

In this paper we introduce a deep learning method for pricing and hedging American-style options. It first computes a … estimate and confidence intervals. Finally, it constructs an approximate dynamic hedging strategy. We test the approach on … different specifications of a Bermudan max-call option. In all cases it produces highly accurate prices and dynamic hedging …

provided numerical experiments. As a by-product, these methods also derive a hedging strategy for the option, which can also be …