Deep quadratic hedging

DOI10.1287/MOOR.2023.0213MaRDI QIDQ6893683zbMATH OpenFDO

Authors Alessandro Gnoatto, Silvia Lavagnini, Athena Picarelli

Publication date 26 November 2025

Published in Mathematics of Operations Research (Search for Journal in Brave)

zbMATH Keywords

local risk minimizationmean-variance hedgingquadratic hedgingdeep hedgingdeep BSDE solvermultidimensional Heston model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Artificial neural networks and deep learning (68T07) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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