Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures
Saeed Marzban, Erick Delage and Jonathan Yu-Meng Li
| Year of publication: |
2023
|
|---|---|
| Authors: | Marzban, Saeed ; Delage, Erick ; Li, Jonathan Yu-Meng |
| Subject: | Deep reinforcement learning | Derivative pricing | Expectile risk measures | Incomplete market | Risk hedging | Hedging | Risikomaß | Risk measure | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Unvollkommener Markt | Algorithmus | Algorithm | Risiko | Risk |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2023.2244531 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014419168