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q-fin.CP2022
Hedging option books using neural-SDE market models
Samuel N. Cohen, Christoph Reisinger, Sheng Wang
We study the capability of arbitrage-free neural-SDE market models to yield effective strategies for hedging options. In particular, we derive sensitivity-based and minimum-varianc…
q-fin.CP2022
Estimating risks of option books using neural-SDE market models
Samuel N. Cohen, Christoph Reisinger, Sheng Wang
In this paper, we examine the capacity of an arbitrage-free neural-SDE market model to produce realistic scenarios for the joint dynamics of multiple European options on a single u…