KrigHedge : Gaussian process surrogates for Delta hedging
Mike Ludkovski and Yuri Saporito
| Year of publication: |
2021
|
|---|---|
| Authors: | Ludkovski, Mike ; Saporito, Yuri |
| Subject: | data-driven | Gaussian process | Greeks | hedging | local volatility | machine learning | Hedging | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Künstliche Intelligenz | Artificial intelligence | Optionspreistheorie | Option pricing theory | Griechenland | Greece | Black-Scholes-Modell | Black-Scholes model | Gauß-Prozess |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2022.2039250 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013411700