Equal risk pricing of derivatives with deep hedging

DOI10.1080/14697688.2020.1806343zbMath1476.91177arXiv2002.08492OpenAlexW3084037690MaRDI QIDQ5014191

Alexandre Carbonneau, Frédéric Godin

Publication date: 1 December 2021

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

Full work available at URL: https://arxiv.org/abs/2002.08492

zbMATH Keywords

hedgingoption pricingreinforcement learningconvex risk measuresdeep learning

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Artificial neural networks and deep learning (68T07) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (10)

INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH ⋮ Equal risk pricing and hedging of financial derivatives with convex risk measures ⋮ Robust deep hedging ⋮ Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures ⋮ Recent advances in reinforcement learning in finance ⋮ A data-driven deep learning approach for options market making ⋮ Optimal liquidation through a limit order book: a neural network and simulation approach ⋮ Designing universal causal deep learning models: The geometric (Hyper)transformer ⋮ Deep hedging of long-term financial derivatives ⋮ VALUATION OF GENERAL CONTINGENT CLAIMS WITH SHORT SELLING BANS: AN EQUAL-RISK PRICING APPROACH

Uses Software

• Adam

Cites Work

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