Neural network approximation for superhedging prices-Reference-Cited by-同舟云学术

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Neural network approximation for superhedging prices

Published:2022-09-12 Issue:1 Volume:33 Page:146-184
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Biagini Francesca¹^ORCID,Gonon Lukas¹,Reitsam Thomas¹

Affiliation:

1. Workgroup Financial and Insurance Mathematics, Department of Mathematics Ludwig‐Maximilians Universität Munich Germany

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12363

Reference28 articles.

1. Pathwise superhedging on prediction sets

2. Duality for pathwise superhedging in continuous time

3. Deep optimal stopping;Becker S.;Journal of Machine Learning Research,2019

4. Deep hedging

5. Model-free superhedging duality

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1. Option pricing in the Heston model with physics inspired neural networks;Annals of Finance;2024-08-26

2. Valuation of guaranteed minimum accumulation benefits (GMABs) with physics-inspired neural networks;Annals of Actuarial Science;2024-05-13

3. Learning the random variables in Monte Carlo simulations with stochastic gradient descent: Machine learning for parametric PDEs and financial derivative pricing;Mathematical Finance;2023-08-07

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