Evaluation of Deep Learning Algorithms for Quadratic Hedging.
We solve the quadratic hedging problem by deep learning in discrete time. We consider
three deep learning algorithms corresponding to three architectures of neural network …
three deep learning algorithms corresponding to three architectures of neural network …
Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson–Siegel model
F Godin, R Eghbalzadeh, P Gaillardetz - Review of Derivatives Research, 2023 - Springer
The paper outlines pricing procedures for several interest rate derivatives under the discrete-
time arbitrage-free Nelson–Siegel (DTAFNS) model of Eghbalzadeh et al.(The discrete-time …
time arbitrage-free Nelson–Siegel (DTAFNS) model of Eghbalzadeh et al.(The discrete-time …
Efficient Implementation of Tree-Based Option Pricing and Hedging Algorithms under GARCH Models.
Z Guo, M Augustyniak, A Badescu - Journal of Derivatives, 2024 - search.ebscohost.com
This article explores the use of lattice-based approximation schemes for pricing and hedging
financial derivatives under GARCH models. The explosion problem and the computational …
financial derivatives under GARCH models. The explosion problem and the computational …
Global Hedging using Options
B Zamanlooy - 2018 - spectrum.library.concordia.ca
The classical global hedging approach presented in the literature (see Schweizer [1995])
involves using only the underlying asset to hedge a given contingent claim. The current …
involves using only the underlying asset to hedge a given contingent claim. The current …