Deep Equal Risk Pricing of Financial Derivatives with Multiple Hedging Instruments
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Cited by:
- Saeed Marzban & Erick Delage & Jonathan Yumeng Li, 2021. "Deep Reinforcement Learning for Equal Risk Pricing and Hedging under Dynamic Expectile Risk Measures," Papers 2109.04001, 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.
- Alexandre Carbonneau & Frédéric Godin, 2023. "Deep Equal Risk Pricing of Financial Derivatives with Non-Translation Invariant Risk Measures," Risks, MDPI, vol. 11(8), pages 1-27, August.
- Alexandre Roch, 2023. "Optimal Liquidation Through a Limit Order Book: A Neural Network and Simulation Approach," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-29, March.
- 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.
- Andrei Neagu & Fr'ed'eric Godin & Clarence Simard & Leila Kosseim, 2024. "Deep Hedging with Market Impact," Papers 2402.13326, arXiv.org, revised Feb 2024.
- Horikawa, Hiroaki & Nakagawa, Kei, 2024. "Relationship between deep hedging and delta hedging: Leveraging a statistical arbitrage strategy," Finance Research Letters, Elsevier, vol. 62(PA).
- Ben Hambly & Renyuan Xu & Huining Yang, 2021. "Recent Advances in Reinforcement Learning in Finance," Papers 2112.04553, arXiv.org, revised Feb 2023.
- Alexandre Carbonneau & Fr'ed'eric Godin, 2021. "Deep equal risk pricing of financial derivatives with non-translation invariant risk measures," Papers 2107.11340, arXiv.org.
- Ben Hambly & Renyuan Xu & Huining Yang, 2023. "Recent advances in reinforcement learning in finance," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 437-503, July.
- Nacira Agram & Bernt {O}ksendal & Jan Rems, 2024. "Deep learning for quadratic hedging in incomplete jump market," Papers 2407.13688, arXiv.org.
- Chunhui Qiao & Xiangwei Wan, 2024. "Enhancing Black-Scholes Delta Hedging via Deep Learning," Papers 2407.19367, arXiv.org, revised Aug 2024.
- Carbonneau, Alexandre, 2021. "Deep hedging of long-term financial derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 327-340.
- Parisa Davar & Fr'ed'eric Godin & Jose Garrido, 2024. "Catastrophic-risk-aware reinforcement learning with extreme-value-theory-based policy gradients," Papers 2406.15612, arXiv.org, revised Jun 2024.
- Jay Cao & Jacky Chen & Soroush Farghadani & John Hull & Zissis Poulos & Zeyu Wang & Jun Yuan, 2022. "Gamma and Vega Hedging Using Deep Distributional Reinforcement Learning," Papers 2205.05614, arXiv.org, revised Jan 2023.
- Ajitha Kumari Vijayappan Nair Biju & Ann Susan Thomas & J Thasneem, 2024. "Examining the research taxonomy of artificial intelligence, deep learning & machine learning in the financial sphere—a bibliometric analysis," Quality & Quantity: International Journal of Methodology, Springer, vol. 58(1), pages 849-878, February.
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