Robust pricing and hedging via neural SDEs

1 code implementation • 8 Jul 2020 • Patryk Gierjatowicz, Marc Sabate-Vidales, David Šiška, Lukasz Szpruch, Žan Žurič

Combining neural networks with risk models based on classical stochastic differential equations (SDEs), we find robust bounds for prices of derivatives and the corresponding hedging strategies while incorporating relevant market data.

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