Neural network approximation for superhedging prices

DOI10.1111/mafi.12363zbMath1522.91263arXiv2107.14113OpenAlexW3189077290WikidataQ114079411 ScholiaQ114079411MaRDI QIDQ6054449

Thomas Reitsam, Lukas Gonon, Francesca Biagini

Publication date: 28 September 2023

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

Full work available at URL: https://arxiv.org/abs/2107.14113

zbMATH Keywords

quantile hedgingdeep learningsuperhedging

Mathematics Subject Classification ID

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

Related Items (1)

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Cites Work

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