We present a novel computational approach for quadratic hedging in a high-dimensional incomplete market. This covers … both mean-variance hedging and local risk minimization. In the first case, the solution is linked to a system of BSDEs, one …, we solve high-dimensional quadratic hedging problems, providing the entire hedging strategies paths, which, in …

We propose a deep learning approach to study the minimal variance pricing and hedging problem in an incomplete jump … diffusion market. It is based upon a rigorous stochastic calculus derivation of the optimal hedging portfolio, optimal option …