Learning minimum variance discrete hedging directly from the market

DOI10.1080/14697688.2017.1413245zbMath1400.91606OpenAlexW2792554359MaRDI QIDQ4554484

Ke Nian, Thomas F. Coleman, Yuying Li

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2017.1413245

zbMATH Keywords

kernelsmachine learningrisk managementdynamic hedgingregularized network

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Data-driven hedging of stock index options via deep learning ⋮ A neural network approach to understanding implied volatility movements

Cites Work

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