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Indifference pricing of a GLWB option in variable annuities
Choi, Jungmin - In: North American actuarial journal 21 (2017) 2, pp. 281-296
Persistent link: https://www.econbiz.de/10011858037
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Option valuation under no-arbitrage constraints with neural networks
Cao, Yi; Liu, Xiaoquan; Zhai, Jia - In: European journal of operational research : EJOR 293 (2021) 1, pp. 361-374
Persistent link: https://www.econbiz.de/10012502485
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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
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Pricing and hedging short sterling options using neural networks
Chen, Fei; Sutcliffe, Charles M. S. - 2011
Persistent link: https://www.econbiz.de/10009375461
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Pricing and hedging short sterling options using neural networks
Chen, Fei; Sutcliffe, Charles M. S. - In: Intelligent systems in accounting finance and … 19 (2012) 2, pp. 128-149
Persistent link: https://www.econbiz.de/10009571598
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Simultaneous Upper and Lower Bounds of American Option Prices with Hedging Via Neural Networks
Guo, Ivan; Langrené, Nicolas; Wu, Jiahao - 2023
provided numerical experiments. As a by-product, these methods also derive a hedging strategy for the option, which can also be …
Persistent link: https://www.econbiz.de/10014351165
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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
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Deep stochastic optimization in finance
Reppen, A. Max; Soner, Halil Mete; Tissot-Daguette, Valentin - In: Digital finance : smart data analytics, investment … 5 (2023) 1, pp. 91-111
Persistent link: https://www.econbiz.de/10014251569
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Learning sequential option hedging models from market data
Nian Ke; Coleman, Thomas F.; Li, Yuying - In: Journal of banking & finance 133 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10013256585
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Pricing and Hedging Short Sterling Options Using Neural Networks
Sutcliffe, Charles M. S. - 2011
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 …
Persistent link: https://www.econbiz.de/10013120396