Hou, Songyan; Krabichler, Thomas; Wunsch, Marcus - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-5
Using techniques from deep learning, we show that neural networks can be trained successfully to replicate the modified payoff functions that were first derived in the context of partial hedging by Föllmer and Leukert. Not only does this approach better accommodate the realistic setting of...