Copertina

Data-driven Approach for Static Hedging of Exchange Traded Options

Fuente: arXiv

Salvato in:

Dettagli Bibliografici
Autori principali:	Dhandapani, Vikranth Lokeshwar, Jain, Shashi
Natura:	Preprint
Pubblicazione:	2023
Soggetti:	Computational Finance Risk Management
Accesso online:	Acceder al recurso
Tags:	Aggiungi Tag Nessun Tag, puoi essere il primo ad aggiungerne!!

Documenti analoghi

Neural Networks for Portfolio-Level Risk Management: Portfolio Compression, Static Hedging, Counterparty Credit Risk Exposures and Impact on Capital Requirement
di: Dhandapani, Vikranth Lokeshwar, et al.
Pubblicazione: (2024)

Optimizing Neural Networks for Bermudan Option Pricing: Convergence Acceleration, Future Exposure Evaluation and Interpolation in Counterparty Credit Risk
di: Dhandapani, Vikranth Lokeshwar, et al.
Pubblicazione: (2024)

Enhancing Deep Hedging of Options with Implied Volatility Surface Feedback Information
di: François, Pascal, et al.
Pubblicazione: (2024)

Robust Hedging of path-dependent options using a min-max algorithm
di: Banerjee, Purba, et al.
Pubblicazione: (2025)

Semi-Static Variance-Optimal Hedging of Covariance Risk in Multi-Asset Derivatives
di: Chatziandreou, Konstantinos, et al.
Pubblicazione: (2026)

Hedge Error Analysis In Black Scholes Option Pricing Model: An Asymptotic Approach Towards Finite Difference
di: Rakshit, Agni, et al.
Pubblicazione: (2024)

The Recalibration Conundrum: Hedging Valuation Adjustment for Callable Claims
di: Bénézet, Cyril, et al.
Pubblicazione: (2023)

Fast Deep Hedging with Second-Order Optimization
di: Mueller, Konrad, et al.
Pubblicazione: (2024)

Deep Hedging of Green PPAs in Electricity Markets
di: Biegler-König, Richard, et al.
Pubblicazione: (2025)

Pool Value Replication (CPM) and Impermanent Loss Hedging
di: Gonzalez, Agustin Muñoz, et al.
Pubblicazione: (2025)

Risk-Adjusted Performance of Random Forest Models in High-Frequency Trading
di: Deep, Akash, et al.
Pubblicazione: (2024)

Optimizing Deep Reinforcement Learning for American Put Option Hedging
di: Pickard, Reilly, et al.
Pubblicazione: (2024)

Bridging Stochastic Control and Deep Hedging: Structural Priors for No-Transaction Band Networks
di: Arzel, Jules, et al.
Pubblicazione: (2026)

What Does Deep Hedging Actually Learn? Delta Corrections, Regime Fragility, and Symbolic Distillation
di: Zernikov, Kirill
Pubblicazione: (2026)

Counterexamples for FX Options Interpolations -- Part I
di: Healy, Jherek
Pubblicazione: (2025)

Informative Risk Measures in the Banking Industry: A Proposal based on the Magnitude-Propensity Approach
di: Bonollo, Michele, et al.
Pubblicazione: (2025)

Implied Probabilities and Volatility in Credit Risk: A Merton-Based Approach with Binomial Trees
di: Gnawali, Jagdish, et al.
Pubblicazione: (2025)

If Not Now, Then When? Model Risk in the Optimal Exercise of American Options
di: Rigby, Luna, et al.
Pubblicazione: (2026)

Empirical Analysis of the Model-Free Valuation Approach: Hedging Gaps, Conservatism, and Trading Opportunities
di: Chen, Zixing, et al.
Pubblicazione: (2025)

Marking-Aware Sequential VaR Recalibration for Standardized Option Books
di: Zhong, Tenghan, et al.
Pubblicazione: (2026)

Multimodal Insights into Credit Risk Modelling: Integrating Climate and Text Data for Default Prediction
di: Wu, Zongxiao, et al.
Pubblicazione: (2026)

Potential Customer Lifetime Value in Financial Institutions: The Usage Of Open Banking Data to Improve CLV Estimation
di: de Brito, João B. G., et al.
Pubblicazione: (2025)

Model-free Analysis of Dynamic Trading Strategies
di: Ananova, Anna, et al.
Pubblicazione: (2020)

EX-DRL: Hedging Against Heavy Losses with EXtreme Distributional Reinforcement Learning
di: Malekzadeh, Parvin, et al.
Pubblicazione: (2024)

Liquidity Jump, Liquidity Diffusion, and Crypto Wash Trading
di: Deng, Qi, et al.
Pubblicazione: (2024)

The FRTB-IMA computational challenge for Equity Autocallables
di: Zeron, Mariano, et al.
Pubblicazione: (2023)

Replication of Reference-Dependent Preferences and the Risk-Return Trade-Off in the Chinese Market
di: Xu, Penggan
Pubblicazione: (2025)

An Asymptotic CVaR Measure of Risk for Markov Chains
di: Patel, Shivam, et al.
Pubblicazione: (2024)

Numerical methods for lambda quantiles: robust evaluation and portfolio optimisation
di: Peri, Ilaria, et al.
Pubblicazione: (2026)

Navigating Market Turbulence: Insights from Causal Network Contagion Value at Risk
di: Rigana, Katerina, et al.
Pubblicazione: (2024)

Is the difference between deep hedging and delta hedging a statistical arbitrage?
di: François, Pascal, et al.
Pubblicazione: (2024)

Tracing Positional Bias in Financial Decision-Making: Mechanistic Insights from Qwen2.5
di: Dimino, Fabrizio, et al.
Pubblicazione: (2025)

Autonomous Money Supply Strategy Utilizing Control Theory
di: Boneh, Yuval
Pubblicazione: (2024)

Environmental CVA with K-Robust Wrong-Way Risk
di: Sakuma, Takayuki
Pubblicazione: (2026)

On Deep Learning for computing the Dynamic Initial Margin and Margin Value Adjustment
di: Villarino, Joel P., et al.
Pubblicazione: (2024)

Unleashing the power of text for credit default prediction: Comparing human-written and generative AI-refined texts
di: Wu, Zongxiao, et al.
Pubblicazione: (2025)

Adaptive Money Market Interest Rate Strategy Utilizing Control Theory
di: Boneh, Yuval
Pubblicazione: (2024)

LLM as a Risk Manager: LLM Semantic Filtering for Lead-Lag Trading in Prediction Markets
di: Kim, Sumin, et al.
Pubblicazione: (2026)

DeFi Liquidation Risk Modeling Using Geometric Brownian Motion
di: Belenko, Timofei, et al.
Pubblicazione: (2025)

Workplace sustainability or financial resilience? Composite-financial resilience index
di: Daadmehr, Elham
Pubblicazione: (2024)