Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures
From MaRDI portal
Publication:6063319
DOI10.1080/14697688.2023.2244531zbMath1530.91572arXiv2109.04001OpenAlexW4386446647MaRDI QIDQ6063319
Saeed Marzban, Erick Delage, Jonathan Y. Li
Publication date: 7 November 2023
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2109.04001
Artificial neural networks and deep learning (68T07) Derivative securities (option pricing, hedging, etc.) (91G20)
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