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Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures
Work
Year: 2023
Type: article
Abstract: Recently equal risk pricing, a framework for fair derivative pricing, was extended to consider dynamic risk measures. However, all current implementations either employ a static risk measure that viol... more
Source: Quantitative Finance
Authors Saeed Marzban, Erick Delage, Jonathan Yu-Meng Li
Institutions HEC Montréal, Group for Research in Decision Analysis, University of Ottawa
Cites: 33
Cited by: 3
Related to: 10
FWCI: 1.472
Citation percentile (by year/subfield): 83.99
Topic: Stochastic processes and financial applications
Subfield: Finance
Field: Economics, Econometrics and Finance
Domain: Social Sciences
Sustainable Development Goal Peace, justice, and strong institutions
Open Access status: hybrid
Funders Canada Research Chairs, Canada Research Chairs, Natural Sciences and Engineering Research Council of Canada, Natural Sciences and Engineering Research Council of Canada
Grant IDS 950-230057, CRC-2018-00105, RGPIN-2016-05208, RGPIN-2014-05602