6 citations · 14 across the 6 of their papers we have counts for
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q-fin.CP2021
Deep equal risk pricing of financial derivatives with non-translation invariant risk measures
Alexandre Carbonneau, Frédéric Godin
The use of non-translation invariant risk measures within the equal risk pricing (ERP) methodology for the valuation of financial derivatives is investigated. The ability to move b…
q-fin.CP2021★ 3 cited
Deep Equal Risk Pricing of Financial Derivatives with Multiple Hedging Instruments
Alexandre Carbonneau, Frédéric Godin
This paper studies the equal risk pricing (ERP) framework for the valuation of European financial derivatives. This option pricing approach is consistent with global trading strate…
q-fin.CP2020
Equal Risk Pricing of Derivatives with Deep Hedging
Alexandre Carbonneau, Frédéric Godin
This article presents a deep reinforcement learning approach to price and hedge financial derivatives. This approach extends the work of Guo and Zhu (2017) who recently introduced…