Relationship between deep hedging and delta hedging : leveraging a statistical arbitrage strategy
Hiroaki Horikawa, Kei Nakagawa
| Year of publication: |
2024
|
|---|---|
| Authors: | Horikawa, Hiroaki ; Nakagawa, Kei |
| Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 62.2024, 1, Art.-No. 105101, p. 1-8
|
| Subject: | Deep hedging | Risk measures | Risk neutral delta hedging | Hedging | Theorie | Theory | Risiko | Risk | Portfolio-Management | Portfolio selection | Arbitrage | Risikomaß | Risk measure | Risikomanagement | Risk management | Black-Scholes-Modell | Black-Scholes model | Derivat | Derivative |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2024.105101 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014530849