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Robust Pricing and Hedging via Neural SDEs · Study

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PreprintRobust Pricing and Hedging via Neural SDEs

Patryk Gierjatowicz2020

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Preprintgreen2020

Robust Pricing and Hedging via Neural SDEs

Patryk Gierjatowicz · Marc Sabate‐Vidales · David Šiška · Łukasz Szpruch · Žan Žurič

24 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Model Reduction and Neural Networks Risk and Portfolio Optimization

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2007Brownian Motion and Stochastic Calculus 1999Applications of Malliavin calculus to Monte Carlo methods in finance 2010Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients 2012Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients 2016MODEL-INDEPENDENT BOUNDS FOR OPTION PRICES: A MASS TRANSPORT APPROACH 1998Robust hedging of the lookback option 2006The Little Heston Trap

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Details

Year2020

Typepreprint

Published2020-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations24

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.3646241

openalex_workW3041196930

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