Biagini, Francesca; Gonon, Lukas; Reitsam, Thomas - In: Mathematical Finance 33 (2022) 1, pp. 146-184
discrete time market model. First we prove that the α‐quantile hedging price converges to the superhedging price at time 0 for … α tending to 1, and show that the α‐quantile hedging price can be approximated by a neural network‐based price. This …
