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q-fin.CP2022★ 1 cited
Deep Signature Algorithm for Multi-dimensional Path-Dependent Options
Erhan Bayraktar, Qi Feng, Zhaoyu Zhang
In this work, we study the deep signature algorithms for path-dependent options. We extend the backward scheme in [Huré-Pham-Warin. Mathematics of Computation 89, no. 324 (2020)] f…
q-fin.ST2022
Inflexible Multi-Asset Hedging of incomplete market
Ruochen Xiao, Qiaochu Feng, Ruxin Deng
Models trained under assumptions in the complete market usually don't take effect in the incomplete market. This paper solves the hedging problem in incomplete market with three so…