Robust Risk-Aware Option Hedging

DOI10.1080/1350486X.2023.2301354WikidataQ129088167 ScholiaQ129088167MaRDI QIDQ6490769FDOQ6490769

Authors: David Teng Wu, Sebastian Jaimungal 

Publication date: 23 April 2024

Published in: Applied Mathematical Finance (Search for Journal in Brave)

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Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Practical augmented Lagrangian methods for constrained optimization
• The pricing of options and corporate liabilities
• Coherent measures of risk
• Optimal transport for applied mathematicians. Calculus of variations, PDEs, and modeling
• The Dual Theory of Choice under Risk
• Title not available (Why is that?)
• An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
• Efficient option replication in the presence of transactions costs
• Optimal static-dynamic hedges for exotic options under convex risk measures
• Nonparametric kernel density estimation and its computational aspects
• Deep hedging
• Robust deep hedging
• Robust risk-aware reinforcement learning

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