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Hedging Option Books Using Neural-SDE Market Models - MaRDI portal

Hedging Option Books Using Neural-SDE Market Models (Q6112769)

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scientific article; zbMATH DE number 7723600
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English
Hedging Option Books Using Neural-SDE Market Models
scientific article; zbMATH DE number 7723600

    Statements

    title
    Hedging Option Books Using Neural-SDE Market Models (English)
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    arXiv ID
    2205.15991
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    author
    Samuel N. Cohen
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    Christoph Reisinger
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    Sheng Wang
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    publication date
    7 August 2023
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    zbMATH DE Number
    7723600
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    zbMATH Keywords
    market models
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    European options
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    market simulators
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    no-arbitrage
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    neural-SDE
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    hedging
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    OpenAlex ID
    W4381510896
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