Deep hedging
Author:
Affiliation:
1. J.P. Morgan, London, UK
2. Eidgenössische Technische Hochschule Zürich, Zürich, Switzerland
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2019.1571683
Reference29 articles.
1. Model-free hedge ratios and scale-invariant models
2. Hedging with temporary price impact
3. Option pricing with transaction costs and a nonlinear Black-Scholes equation
4. Hedging the smirk
5. AN OLD-NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
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