Deep learning for quadratic hedging in incomplete jump market

Nacira Agram, Bernt Øksendal, Jan Rems

Year of publication:	2024
Authors:	Agram, Nacira ; Øksendal, Bernt K. ; Rems, Jan
Published in:	Digital finance : smart data analytics, investment innovation, and financial technology. - [Cham] : Springer Nature Switzerland AG, ISSN 2524-6186, ZDB-ID 2947479-6. - Vol. 6.2024, 3, p. 463-499
Subject:	Deep learning \| Equivalent martingale measure \| Incomplete market \| LSTM \| Merton model \| Option pricing \| Unvollkommener Markt \| Optionspreistheorie \| Option pricing theory \| Hedging \| Martingal \| Martingale \| CAPM \| Stochastischer Prozess \| Stochastic process \| Portfolio-Management \| Portfolio selection

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