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Estimating risks of European option books using neural stochastic differential equation market models
Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng - In: The journal of computational finance 26 (2022) 3, pp. 33-72
Persistent link: https://www.econbiz.de/10014314556
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Hedging option books using neural-sde market models
Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng - In: Applied mathematical finance 29 (2022) 5, pp. 366-401
Persistent link: https://www.econbiz.de/10014323483
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Arbitrage-free neural-SDE market models
Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng - In: Applied mathematical finance 30 (2023) 1, pp. 1-46
Persistent link: https://www.econbiz.de/10014390284