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Deep hedging under rough volatility

Horvath, Blanka Nora; Teichmann, Josef; Zuric, Zan - 2021

We investigate the performance of the Deep Hedging framework under training paths beyond the (finite dimensional) Markovian setup. In particular we analyse the hedging performance of the original architecture under rough volatility models with view to existing theoretical results for those....

Persistent link: https://www.econbiz.de/10012800441