Hedging With Linear Regressions and Neural Networks

DOI10.1080/07350015.2021.1931241zbMATH Open1547.62902MaRDI QIDQ6620965

Johannes Ruf, Unnamed Author

Publication date: 17 October 2024

Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Unnamed Item
• Asymptotic analysis of hedging errors in models with jumps
• Pricing and hedging derivative securities with neural networks and a homogeneity hint
• Error bounds for approximations with deep ReLU networks
• Dynamic Hedging of Portfolio Credit Derivatives
• Delta-hedging vega risk?
• Dynamics of implied volatility surfaces
• Uncertain volatility and the risk-free synthesis of derivatives
• Deep hedging
• On the performance of delta hedging strategies in exponential Lévy models

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