Option hedging using LSTM-RNN: an empirical analysis-Reference-Cited by-同舟云学术

Option hedging using LSTM-RNN: an empirical analysis

Published:2021-06-24 Issue:10 Volume:21 Page:1753-1772
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Zhang Junhuan¹²^ORCID,Huang Wenjun¹²

Affiliation:

1. School of Economics and Management, Beihang University, Beijing, People's Republic of China

2. Key Laboratory of Complex System Analysis, Management and Decision (Beihang University), Ministry of Education, Beijing, People's Republic of China

Funder

National Natural Science Foundation of China

Beihang University

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2021.1905171

Reference27 articles.

1. Pricing and trading European options by combining artificial neural networks and parametric models with implied parameters

2. Market making and risk management in options markets

3. Option Replication in Discrete Time with Transaction Costs

4. Deep hedging

5. Deep Hedging: Hedging Derivatives Under Generic Market Frictions Using Reinforcement Learning

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