3 citations · 8 across the 13 of their papers we have counts for
4 papers · 1 filter
Robust deep hedging
Eva Lütkebohmert, Thorsten Schmidt, Julian Sester
We study pricing and hedging under parameter uncertainty for a class of Markov processes which we call generalized affine processes and which includes the Black-Scholes model as we…
A deep learning approach to data-driven model-free pricing and to martingale optimal transport
Ariel Neufeld, Julian Sester
We introduce a novel and highly tractable supervised learning approach based on neural networks that can be applied for the computation of model-free price bounds of, potentially h…
On the stability of the martingale optimal transport problem: A set-valued map approach
Ariel Neufeld, Julian Sester
Continuity of the value of the martingale optimal transport problem on the real line w.r.t. its marginals was recently established in Backhoff-Veraguas and Pammer [2] and Wiesel [2…
Model-free price bounds under dynamic option trading
Ariel Neufeld, Julian Sester
In this paper we extend discrete time semi-static trading strategies by also allowing for dynamic trading in a finite amount of options, and we study the consequences for the model…