Option valuation and hedging using asymmetric risk function: asymptotic optimality through fully nonlinear Partial Differential Equations
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- Simon F'ecamp & Joseph Mikael & Xavier Warin, 2019. "Risk management with machine-learning-based algorithms," Papers 1902.05287, arXiv.org, revised Aug 2020.
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More about this item
Keywords
hedging; asymmetric risk; fully nonlinear parabolic PDE; regression Monte Carlo;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2018-04-30 (Risk Management)
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