Copertina

Solving optimal stopping problems with Deep Q-Learning

Fuente: arXiv

Salvato in:

Dettagli Bibliografici
Autori principali:	Ery, John, Michel, Loris
Natura:	Preprint
Pubblicazione:	2021
Soggetti:	Pricing of Securities Machine Learning 91G20
Accesso online:	Acceder al recurso
Tags:	Aggiungi Tag Nessun Tag, puoi essere il primo ad aggiungerne!!

Documenti analoghi

Reinforcement Learning for Option Hedging: Static Implied-Volatility Fit versus Shortfall-Aware Performance
di: Chen, Ziheng, et al.
Pubblicazione: (2026)

Equity Protection Swaps: A New Type of Investment Insurance for Holders of Superannuation Accounts
di: Xu, Huansang, et al.
Pubblicazione: (2023)

Deep g-Pricing for CSI 300 Index Options with Volatility Trajectories and Market Sentiment
di: Zhang, Yilun, et al.
Pubblicazione: (2026)

Improved model-free bounds for multi-asset options using option-implied information and deep learning
di: Dragazi, Evangelia, et al.
Pubblicazione: (2024)

A framework for the valuation of insurance liabilities by production cost
di: Moehr, Christoph
Pubblicazione: (2023)

No Fear of Discounting How to Manage the Transition from EONIA to ESTR
di: Bianchetti, Marco, et al.
Pubblicazione: (2025)

Analytical valuation of vulnerable derivative claims with bilateral cash flows under credit, funding and wrong-way risk
di: Miguelez, Juan Jose Francisco, et al.
Pubblicazione: (2023)

Filtration Reduction and Completeness in Jump-Diffusion Models
di: Grigorian, Karen, et al.
Pubblicazione: (2023)

Signature volatility models: pricing and hedging with Fourier
di: Jaber, Eduardo Abi, et al.
Pubblicazione: (2024)

Functional quantization of rough volatility and applications to volatility derivatives
di: Bonesini, Ofelia, et al.
Pubblicazione: (2021)

Bitcoin option pricing: A market attention approach
di: Julia, Alvaro Guinea, et al.
Pubblicazione: (2021)

When defaults cannot be hedged: an actuarial approach to xVA calculations via local risk-minimization
di: Biagini, Francesca, et al.
Pubblicazione: (2025)

Tighter 'uniform bounds for Black-Scholes implied volatility' and the applications to root-finding
di: Choi, Jaehyuk, et al.
Pubblicazione: (2023)

From Arbitrage Removal to Density Extraction: A Model-Free Framework for Short-Dated Options
di: Wizman, Aaron, et al.
Pubblicazione: (2026)

Consistent asset modelling with random coefficients and switches between regimes
di: Wolf, Felix L., et al.
Pubblicazione: (2024)

Jump risk premia in the presence of clustered jumps
di: Liu, Francis, et al.
Pubblicazione: (2025)

The Black-Scholes-Merton dual equation
di: Guo, Shuxin, et al.
Pubblicazione: (2019)

On the Guyon-Lekeufack Volatility Model
di: Nutz, Marcel, et al.
Pubblicazione: (2023)

The fundamental representation of pricing adjustments
di: Burnett, Benedict, et al.
Pubblicazione: (2025)

Optimal strategy and deep hedging for share repurchase programs
di: Corti, Stefano, et al.
Pubblicazione: (2026)

Portfolios Generated by Contingent Claim Functions, with Applications to Option Pricing
di: Fernholz, Ricardo T., et al.
Pubblicazione: (2023)

Rough volatility dynamics in commodity markets
di: Daluiso, Roberto, et al.
Pubblicazione: (2026)

Machine-learning regression methods for American-style path-dependent contracts
di: Gambara, Matteo, et al.
Pubblicazione: (2023)

Pricing Quanto and Composite Contracts with Local-Correlation Models
di: Pallavicini, Andrea
Pubblicazione: (2025)

Black-Scholes-Merton Option Pricing Revisited: Did we Find a Fatal Flaw?
di: Mink, Mark, et al.
Pubblicazione: (2022)

A functional variational approach to pricing path dependent insurance policies
di: Baños, David R., et al.
Pubblicazione: (2024)

At-the-money short-time call-price asymptotics for new classes of exponential Lévy models
di: Hoffmeyer, Allen, et al.
Pubblicazione: (2026)

Valuation of Exotic Options and Counterparty Games Based on Conditional Diffusion
di: Zhao, Helin, et al.
Pubblicazione: (2025)

Pricing and delta computation in jump-diffusion models with stochastic intensity by Malliavin calculus
di: Ahmadi, Ayub, et al.
Pubblicazione: (2024)

Pricing with Passion: The Local Occupied Volatility (LOV) Model
di: Tissot-Daguette, Valentin
Pubblicazione: (2026)

Smile asymptotics for Bachelier implied volatility
di: Baviera, Roberto, et al.
Pubblicazione: (2025)

Pricing and calibration in the 4-factor path-dependent volatility model
di: Gazzani, Guido, et al.
Pubblicazione: (2024)

Efficient approximations for utility-based pricing
di: Carassus, Laurence, et al.
Pubblicazione: (2021)

Finite Element Solution of the Two-Dimensional Bates Model for Option Pricing Under Stochastic Volatility and Jumps
di: Renani, Neda Bagheri, et al.
Pubblicazione: (2026)

Pricing Derivatives under Self-Exciting Dynamics: A Finite-Difference and Transform Approach
di: Ahmed, Aqib, et al.
Pubblicazione: (2026)

Multifactor Quadratic Hobson and Rogers models
di: Foschi, Paolo
Pubblicazione: (2025)

Calibration and Option Pricing with Stochastic Volatility and Double Exponential Jumps
di: Agazzotti, Gaetano, et al.
Pubblicazione: (2025)

Risk-Neutral Pricing of Random-Expiry Options Using Trinomial Trees
di: Bossu, Sebastien, et al.
Pubblicazione: (2025)

Everything You Always Wanted to Know About XVA Model Risk but Were Afraid to Ask
di: Silotto, Lorenzo, et al.
Pubblicazione: (2021)

Interest rate convexity in a Gaussian framework
di: Jacquier, Antoine, et al.
Pubblicazione: (2023)