Learning minimum variance discrete hedging directly from the market

DOI10.1080/14697688.2017.1413245MaRDI QIDQ4554484zbMATH OpenOpenAlexFDO

Authors Ke Nian, Thomas F. Coleman, Yuying Li

Publication date 14 November 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2017.1413245

zbMATH Keywords

dynamic hedgingkernelsmachine learningregularized networkrisk management

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
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• Delta-hedging vega risk?
• Explicit formulas for the minimal variance hedging strategy in a martingale case
• Handbooks in operations research and management science: Financial engineering
• scientific article; zbMATH DE number 45848 (Why is no real title available?)
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• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
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• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Measuring the error of dynamic hedging: a Laplace transform approach
• Numerical comparison of local risk-minimisation and mean-variance hedging
• On Quadratic Cost Criteria for Option Hedging
• Pricing and hedging derivative securities with neural networks and a homogeneity hint
• Reconstructing the unknown local volatility function
• Regularization networks and support vector machines
• Risk minimization in stochastic volatility models: model risk and empirical performance
• The elements of statistical learning. Data mining, inference, and prediction
• The pricing of options and corporate liabilities
• The pricing of options on assets with stochastic volatilities
• Variance-Optimal Hedging in Discrete Time

Cited in

(5)

• Krighedge: Gaussian process surrogates for delta hedging
• A neural network approach to understanding implied volatility movements
• Data-driven hedging of stock index options via deep learning
• Empirical deep hedging
• Hedging Option Books Using Neural-SDE Market Models

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