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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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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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Pricing and hedging American-style options with deep learning
Becker, Sebastian; Cheridito, Patrick; Jentzen, Arnulf - In: Journal of risk and financial management : JRFM 13 (2020) 7/158, pp. 1-12
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 …
Persistent link: https://www.econbiz.de/10012309362
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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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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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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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Four contributions to quantitative financial risk management
Detering, Nils - 2014
Persistent link: https://www.econbiz.de/10010403476
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Quantile hedging in a defaultable market with life insurance applications
Glazyrina, Anna; Melʹnikov, Aleksandr V. - In: Scandinavian actuarial journal 2021 (2021) 3, pp. 248-265
Persistent link: https://www.econbiz.de/10012500262
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Bachelier model with stopping time and its insurance application
Glazyrina, Anna; Melʹnikov, Aleksandr V. - In: Insurance / Mathematics & economics 93 (2020), pp. 156-167
Persistent link: https://www.econbiz.de/10012294092