BOUNDS ON MULTI-ASSET DERIVATIVES VIA NEURAL NETWORKS

DOI10.1142/S0219024920500508zbMath1457.91371arXiv1911.05523OpenAlexW3095404925MaRDI QIDQ5854317

Luca De Gennaro Aquino, Carole Bernard

Publication date: 16 March 2021

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1911.05523

zbMATH Keywords

neural networksoptimal transportarbitrage boundsmultivariate options

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

On intermediate marginals in martingale optimal transportation ⋮ Model-Free Price Bounds Under Dynamic Option Trading

Uses Software

• QRM
• Adam

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the Monge-Kantorovich problem with additional linear constraints
• On a problem of optimal transport under marginal martingale constraints
• Model-independent bounds for option prices -- a mass transport approach
• Static-arbitrage optimal subreplicating strategies for basket options
• Static super-replicating strategies for a class of exotic options
• Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
• Pricing of arithmetic basket options by conditioning.
• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
• Complete duality for martingale optimal transport on the line
• Multilayer feedforward networks are universal approximators
• Uncertainty, risk-neutral measures and security price booms and crashes
• Risk aggregation with dependence uncertainty
• Computation of sharp bounds on the distribution of a function of dependent risks
• A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
• Static arbitrage bounds on basket option prices
• The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
• Static-arbitrage lower bounds on the prices of basket options via linear programming
• Static-arbitrage upper bounds for the prices of basket options
• Approximated moment-matching dynamics for basket-options pricing
• General closed-form basket option pricing bounds
• The multivariate Variance Gamma model: basket option pricing and calibration
• Optimal Approximation with Sparsely Connected Deep Neural Networks
• Tightening robust price bounds for exotic derivatives
• Deep hedging
• Universal features of price formation in financial markets: perspectives from deep learning
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• The Existence of Probability Measures with Given Marginals
• Sharp Upper and Lower Bounds for Basket Options
• Robust risk aggregation with neural networks
• Optimal Transport

This page was built for publication: BOUNDS ON MULTI-ASSET DERIVATIVES VIA NEURAL NETWORKS