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Deep learning for quadratic hedging in incomplete jump market
Nacira Agram, Bernt Karsten Øksendal, Jan Rems
Izvirni znanstveni članek
Oznake: option pricing;incomplete market;equivalent martingale measure;Merton model;deep learning;LSTM;
We propose a deep learning approach to study the minimal variance pricing and hedging problem in an incomplete jump diffusion market. It is based on a rigorous stochastic calculus derivation of the optimal hedging portfolio, optimal option price, and the corresponding equivalent martingale measure t ...
Leto: 2024 Vir: Fakulteta za matematiko in fiziko (UL FMF)
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