Deep Equal Risk Pricing of Financial Derivatives with Non-Translation Invariant Risk Measures
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Cited by:
- Ariel Neufeld & Julian Sester, 2024. "Non-concave distributionally robust stochastic control in a discrete time finite horizon setting," Papers 2404.05230, arXiv.org.
- Pascal Franc{c}ois & Genevi`eve Gauthier & Fr'ed'eric Godin & Carlos Octavio P'erez Mendoza, 2024. "Is the difference between deep hedging and delta hedging a statistical arbitrage?," Papers 2407.14736, arXiv.org, revised Oct 2024.
- Pascal Franc{c}ois & Genevi`eve Gauthier & Fr'ed'eric Godin & Carlos Octavio P'erez Mendoza, 2024. "Enhancing Deep Hedging of Options with Implied Volatility Surface Feedback Information," Papers 2407.21138, arXiv.org.
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Keywords
finance; option pricing; hedging; reinforcement learning; deep learning;All these keywords.
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