2 papers
q-fin.PR2026
Bridging Stochastic Control and Deep Hedging: Structural Priors for No-Transaction Band Networks
Jules Arzel, Noureddine Lehdili
This paper studies the problem of hedging and pricing a European call option under proportional transaction costs, from two complementary perspectives. We first derive the optimal…
q-fin.PR2026
STN-GPR: A Singularity Tensor Network Framework for Efficient Option Pricing
Dominic Gribben, Carolina Allende, Alba Villarino +5
We develop a tensor-network surrogate for option pricing, targeting large-scale portfolio revaluation problems arising in market risk management (e.g., VaR and Expected Shortfall c…