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pro vyhledávání: '"Li, Jonathan Yumeng"'
Autor:
Marzban, Saeed, Delage, Erick, Li, Jonathan Yumeng, Desgagne-Bouchard, Jeremie, Dussault, Carl
The problem of portfolio management represents an important and challenging class of dynamic decision making problems, where rebalancing decisions need to be made over time with the consideration of many factors such as investors preferences, trading
Externí odkaz:
http://arxiv.org/abs/2109.07005
Deep Reinforcement Learning for Equal Risk Pricing and Hedging under Dynamic Expectile Risk Measures
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 violates time consistency, or are based on traditional
Externí odkaz:
http://arxiv.org/abs/2109.04001
In this paper, we consider the problem of equal risk pricing and hedging in which the fair price of an option is the price that exposes both sides of the contract to the same level of risk. Focusing for the first time on the context where risk is mea
Externí odkaz:
http://arxiv.org/abs/2002.02876