Results 1 to 10 of about 543 (147)
Gamma and vega hedging using deep distributional reinforcement learning [PDF]
Frontiers in Artificial Intelligence, 2023 We show how reinforcement learning can be used in conjunction with quantile regression to develop a hedging strategy for a trader responsible for derivatives that arrive stochastically and depend on a single underlying asset.
Jay Cao +6 more
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Delta–Gamma hedging of mortality and interest rate risk
Insurance: Mathematics and Economics, 2012 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Elisa Luciano, Luca Regis
exaly +4 more sources
European Option Pricing under Sub-Fractional Brownian Motion Regime in Discrete Time
Fractal and Fractional, 2023 In this paper, the approximate stationarity of the second-order moment increments of the sub-fractional Brownian motion is given. Based on this, the pricing model for European options under the sub-fractional Brownian regime in discrete time is ...
Zhidong Guo, Yang Liu, Linsong Dai
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Changes in Effectiveness of Delta Hedging Using Options on the WIG20
Problemy Zarządzania, 2021 Purpose: Based on the research carried out by the author in 2007 and 2015, an increase in the effectiveness of delta hedging with the use of options on the WIG20 was found.
Ryszard Węgrzyn
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Managing investment and liquidity risks for derivatives within a market impact perspective [PDF]
Insurance Markets and Companies, 2017 The recent period has experienced many instances when market volatility suddenly increased even when there were no well-known fundamental catalysts, as illustrated by the short-lived but sharp transitions from low volatility to high volatility, as many ...
Aymeric Kalife
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Finance and Society, 2023 This article explores the quantitative and qualitative dimensions of volatility and their implications for cultural analysis in a range of fields. From quantitative finance, it takes the notion of ‘delta-hedging’, the suspension or neutralization of ...
Benjamin Lee
doaj +1 more source
Delta Hedging Bitcoin Options with a Smile
SSRN Electronic Journal, 2022 Nous analysons la couverture dynamique robuste du delta des options bitcoin à l'aide d'un ensemble de deltas à sourire implicite et d'autres deltas à sourire ajusté qui sont soit sans modèle, en ce sens qu'ils sont les mêmes pour tous les modèles stochastiques et/ou de volatilité locale invariants à l'échelle, soit ils sont basés sur de simples ...
Carol Alexander, Arben Imeraj
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Deep Reinforcement Learning for Dynamic Stock Option Hedging: A Review
Mathematics, 2023 This paper reviews 17 studies addressing dynamic option hedging in frictional markets through Deep Reinforcement Learning (DRL). Specifically, this work analyzes the DRL models, state and action spaces, reward formulations, data generation processes and ...
Reilly Pickard, Yuri Lawryshyn
doaj +1 more source
A Model-Free Approach to Delta Hedging [PDF]
SSRN Electronic Journal, 2010 We utilize the existence of trends for financial time series (Fliess M., Join C.: A Mathematical Proof of the Existence of Trends in Financial Time Series, http://ssrn.com/abstract=1459662) in order to propose a model-free setting for delta hedging. It avoids most of the shortcomings encountered with the now classic Black-Scholes framework.
Michel Fliess, Cédric Join
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Options Delta Hedging with No Options at All [PDF]
SSRN Electronic Journal, 2014 The adjustment speed of delta hedged options exposure depends on the market realized and implied volatility. We observe that by consistently hedging long and short positions in options we can eventually end up with pure exposure to volatility without any options in the portfolio at all.
Juliusz Jabłecki +4 more
openaire +1 more source