Jan Rems

University of Ljubljana

Dunajska 104

Ljubljana, 1000

Slovenia

  • University of Ljubljana

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Deep Learning for Quadratic Hedging in Incomplete Jump Market

Number of pages: 32 Posted: 03 Mar 2023
Nacira Agram, Bernt Oksendal and Jan Rems
Royal Institute of Technology (KTH), University of Oslo - Department of Mathematics and University of Ljubljana
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Abstract:

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Option pricing, Incomplete market, Equivalent martingale measure, Merton model, Deep learning, LSTM