Estimating risks of European option books using neural stochastic differential equation market models
Samuel N. Cohen, Christoph Reisinger and Sheng Wang
| Year of publication: |
2022
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|---|---|
| Authors: | Cohen, Samuel N. ; Reisinger, Christoph ; Wang, Sheng |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 26.2022, 3, p. 33-72
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| Subject: | market models | European options | risk measures | market simulators | no-arbitrage | stochastic differential equation (SDE) | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Analysis | Mathematical analysis | Optionsgeschäft | Option trading | Risiko | Risk | Simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2022.028 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014314556