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~person:"Basturk, Nalan"
~person:"Delage, Erick"
~subject:"Option pricing theory"
~subject:"Robustes Verfahren"
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Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures
Marzban, Saeed
;
Delage, Erick
;
Li, Jonathan Yumeng
-
2022
-
Revised: August 2022
Persistent link: https://www.econbiz.de/10013433493
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Data-driven optimization with distributionally robust secondorder stochastic dominance constraints
Peng, Chun
;
Delage, Erick
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2021
Persistent link: https://www.econbiz.de/10012939420
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3
The r package MitISEM : mixture of student-t distributions using importance sampling weighted expectation maximization for efficient and robust simulation
Basturk, Nalan
;
Hoogerheide, Lennart
;
Opschoor, Anne
; …
-
2012
Persistent link: https://www.econbiz.de/10009722972
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