Equal risk pricing of derivatives with deep hedging (Q5014191)
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scientific article; zbMATH DE number 7436788
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| default for all languages | No label defined |
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| English | Equal risk pricing of derivatives with deep hedging |
scientific article; zbMATH DE number 7436788 |
Statements
Equal risk pricing of derivatives with deep hedging (English)
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1 December 2021
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reinforcement learning
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deep learning
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option pricing
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hedging
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convex risk measures
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0.826121985912323
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0.7861270308494568
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0.7726123929023743
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0.7564740777015686
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