Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures (Q6063319): Difference between revisions

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Latest revision as of 11:48, 3 August 2024

scientific article; zbMATH DE number 7761999
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English
Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures
scientific article; zbMATH DE number 7761999

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    Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures (English)
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    7 November 2023
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    deep reinforcement learning
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    derivative pricing
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    risk hedging
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    expectile risk measures
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    incomplete market
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