Robust pricing and hedging via neural stochastic differential equations
Patrick Gierjatowicz, Marc Sabate-Vidales, David Šiška, Łukasz Szpruch and Žan Žurič
| Year of publication: |
2022
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|---|---|
| Authors: | Gierjatowicz, Patrick ; Sabate-Vidales, Marc ; Siska, David ; Szpruch, Łukasz ; Žurič, Žan |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 26.2022, 3, p. 1-32
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| Subject: | stochastic differential equations (SDEs) | deep neural network | derivative pricing | stochastic gradient descent (SGD) | neural stochastic differential equations | Stochastischer Prozess | Stochastic process | Neuronale Netze | Neural networks | Analysis | Mathematical analysis | Hedging | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Mathematische Optimierung | Mathematical programming |