Data-driven hedging of stock index options via deep learning

DOI10.1016/j.orl.2023.05.007zbMath1525.91170arXiv2111.03477OpenAlexW3214419585MaRDI QIDQ6047693

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Publication date: 12 September 2023

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2111.03477

zbMATH Keywords

hedgingdeep learningindex optionsdata-drivenmarket sentiment

Mathematics Subject Classification ID

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

Cites Work

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• Deep learning for limit order books
• Deep hedging
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• A two-step framework for arbitrage-free prediction of the implied volatility surface
• A data-driven deep learning approach for options market making

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