Results 31 to 35 of about 235 (35)

Mathematics of Differential Machine Learning in Derivative Pricing and Hedging

This article introduces the groundbreaking concept of the financial differential machine learning algorithm through a rigorous mathematical framework.
Gomes, Pedro Duarte
core  

The Price of Information

When an investor is faced with the option to purchase additional information regarding an asset price, how much should she pay? To address this question, we solve for the indifference price of information in a setting where a trader maximizes her ...
Jaimungal, Sebastian, Shi, Xiaofei
core  

Optimal positioning in derivative securities in incomplete markets

This paper analyzes a problem of optimal static hedging using derivatives in incomplete markets. The investor is assumed to have a risk exposure to two underlying assets.
Leung, Tim, Lorig, Matthew, Shirai, Yoshihiro   +2 more
core  

Generalized measure Black-Scholes equation: Towards option self-similar pricing

In this work, we give a generalized formulation of the Black-Scholes model. The novelty resides in considering the Black-Scholes model to be valid on 'average', but such that the pointwise option price dynamics depends on a measure representing the ...
David, Claire, Riane, Nizar
core  

Deep Penalty Methods: A Class of Deep Learning Algorithms for Solving High Dimensional Optimal Stopping Problems

We propose a deep learning algorithm for high dimensional optimal stopping problems. Our method is inspired by the penalty method for solving free boundary PDEs.
Peng, Yunfei, Wei, Pengyu, Wei, Wei
core