Deep hedging under rough volatility
Year of publication: |
2021
|
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Authors: | Horvath, Blanka Nora ; Teichmann, Josef ; Žuric̆, Žan |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 9.2021, 7, Art.-No. 138, p. 1-20
|
Subject: | deep learning | rough volatility | hedging | Volatilität | Volatility | Hedging | Theorie | Theory |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks9070138 [DOI] hdl:10419/258222 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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