Robust Risk-Aware Option Hedging
From MaRDI portal
Publication:6490769
DOI10.1080/1350486X.2023.2301354WikidataQ129088167 ScholiaQ129088167MaRDI QIDQ6490769
David Teng Wu, Sebastian Jaimungal
Publication date: 23 April 2024
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Learning and adaptive systems in artificial intelligence (68T05) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Efficient option replication in the presence of transactions costs
- Optimal static-dynamic hedges for exotic options under convex risk measures
- Optimal transport for applied mathematicians. Calculus of variations, PDEs, and modeling
- Coherent Measures of Risk
- An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
- Nonparametric Kernel Density Estimation and Its Computational Aspects
- The Dual Theory of Choice under Risk
- Robust Risk-Aware Reinforcement Learning
- Robust deep hedging
- Deep hedging
- Practical Augmented Lagrangian Methods for Constrained Optimization
This page was built for publication: Robust Risk-Aware Option Hedging
