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Robust pricing and hedging via neural stochastic differential equations

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Persistent link: https://www.econbiz.de/10014314540

Comparison theorems for finite state backward stochastic differential equations

Cohen, Samuel N.; Elliott, Robert J. - In: Contemporary quantitative finance : essays in honour of …, (pp. 135-158). 2010

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Stochastic processes, finance and control : a Festschrift in honor of Robert J. Elliott

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Estimating risks of European option books using neural stochastic differential equation market models

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