Work

Robust Pricing and Hedging via Neural SDEs

Year: 2020

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.3646241

Authors: Patryk Gierjatowicz, Marc Sabate-Vidales, David Siska, Lukasz Szpruch, Zan Zuric

Institutions: University of Edinburgh, Imperial College London

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: Engineering and Physical Sciences Research Council

Awards: G1633672591, G444630160, The Alan Turing Institute

OpenAlex ID: W3041196930

Cites: 45

Cited by: 24

Related to: 10