Learning sequential option hedging models from market data
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DOI: 10.1016/j.jbankfin.2021.106277
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Cited by:
- Chunhui Qiao & Xiangwei Wan, 2024. "Enhancing Black-Scholes Delta Hedging via Deep Learning," Papers 2407.19367, arXiv.org, revised Aug 2024.
- Chuting Sun & Qi Wu & Xing Yan, 2023. "Dynamic CVaR Portfolio Construction with Attention-Powered Generative Factor Learning," Papers 2301.07318, arXiv.org, revised Jan 2024.
- Sun, Chuting & Wu, Qi & Yan, Xing, 2024. "Dynamic CVaR portfolio construction with attention-powered generative factor learning," Journal of Economic Dynamics and Control, Elsevier, vol. 160(C).
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More about this item
Keywords
Option; Discrete hedging; Data-Driven model; Feature selection; Feature extraction; Machine learning; Recurrent neural network;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C81 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Microeconomic Data; Data Access
Statistics
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