Artikel
Pricing and hedging American-style options with deep learning
In this paper we introduce a deep learning method for pricing and hedging American-style options. It first computes a candidate optimal stopping policy. From there it derives a lower bound for the price. Then it calculates an upper bound, a point estimate and confidence intervals. Finally, it constructs an approximate dynamic hedging strategy. We test the approach on different specifications of a Bermudan max-call option. In all cases it produces highly accurate prices and dynamic hedging strategies with small replication errors.
- Sprache
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Englisch
- Erschienen in
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Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 13 ; Year: 2020 ; Issue: 7 ; Pages: 1-12 ; Basel: MDPI
- Klassifikation
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Wirtschaft
- Thema
-
American option
Bermudan option
deep neural network
hedging strategy
lower bound
optimal stopping
upper bound
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Becker, Sebastian
Cheridito, Patrick
Jentzen, Arnulf
- Ereignis
-
Veröffentlichung
- (wer)
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MDPI
- (wo)
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Basel
- (wann)
-
2020
- DOI
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doi:10.3390/jrfm13070158
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Becker, Sebastian
- Cheridito, Patrick
- Jentzen, Arnulf
- MDPI
Entstanden
- 2020
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