Deep hedging of long-term financial derivatives
From MaRDI portal
Publication:2038257
DOI10.1016/j.insmatheco.2021.03.017zbMath1467.91138arXiv2007.15128OpenAlexW3153771038MaRDI QIDQ2038257
Publication date: 6 July 2021
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2007.15128
Artificial neural networks and deep learning (68T07) Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial mathematics (91G05)
Related Items (5)
An accurate and stable numerical method for option hedge parameters ⋮ INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH ⋮ Robust deep hedging ⋮ Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures ⋮ Premium control with reinforcement learning
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Valuing variable annuity guarantees with the multivariate Esscher transform
- Martingales and stochastic integrals in the theory of continuous trading
- Option hedging for semimartingales
- A general version of the fundamental theorem of asset pricing
- Reserving for maturity guarantees: Two approaches
- Pricing and hedging guaranteed annuity options via static option replication.
- Cross-hedging minimum return guarantees: basis and liquidity risks
- Application of data clustering and machine learning in variable annuity valuation
- Hedging guarantees in variable annuities under both equity and interest rate risks
- Optimal hedging when the underlying asset follows a regime-switching Markov process
- What you should know about approximate dynamic programming
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach
- LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK
- Variance-Optimal Hedging in Discrete Time
- Minimizing CVaR in global dynamic hedging with transaction costs
- Equal risk pricing of derivatives with deep hedging
- Deep hedging
- Learning representations by back-propagating errors
- Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk
- Deep optimal stopping
- Optimal hedging in discrete time
- Option pricing when underlying stock returns are discontinuous
- Hedging and Reserving for Single-Premium Segregated Fund Contracts
This page was built for publication: Deep hedging of long-term financial derivatives
