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Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures
Quantitative Finance ( IF 1.3 ) Pub Date : 2023-09-05 , DOI: 10.1080/14697688.2023.2244531
Saeed Marzban 1 , Erick Delage 1 , Jonathan Yu-Meng Li 2
Affiliation  

Recently equal risk pricing, a framework for fair derivative pricing, was extended to consider dynamic risk measures. However, all current implementations either employ a static risk measure that v...

中文翻译:

动态预期风险度量下的期权定价和对冲的深度强化学习

最近,平等风险定价(公平衍生品定价的框架)已扩展到考虑动态风险衡量标准。然而,当前的所有实现要么采用静态风险度量,要么...
更新日期:2023-09-05
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