Robust deep hedging

DOI10.1080/14697688.2022.2056073zbMath1497.91311arXiv2106.10024OpenAlexW4283387019MaRDI QIDQ5092659

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Publication date: 22 July 2022

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

Full work available at URL: https://arxiv.org/abs/2106.10024

zbMATH Keywords

robust hedgingKolmogorov equationKnightian uncertaintyaffine processesdeep learning

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Markov decision processes under model uncertainty ⋮ Hedging error as generalized timing risk

Cites Work

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