Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures (Q6063319): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set OpenAlex properties. |
||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W4386446647 / rank | |||
Normal rank | |||
Revision as of 10:05, 30 July 2024
scientific article; zbMATH DE number 7761999
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures |
scientific article; zbMATH DE number 7761999 |
Statements
Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures (English)
0 references
7 November 2023
0 references
deep reinforcement learning
0 references
derivative pricing
0 references
risk hedging
0 references
expectile risk measures
0 references
incomplete market
0 references
