Skip to content

sanj909/Hedging-Asian-Options

Folders and files

NameName
Last commit message
Last commit date

Latest commit

 

History

3 Commits
 
 
 
 
 
 

Repository files navigation

Hedging-Asian-Options

We apply the general method for hedging a portfolio of derivatives introduced by Buehler, Gonon, Teichmann, and Wood (2019) to the specific problem of hedging a short position in an Asian call option. In particular, we compare the performance of feedforward and recurrent neural network architectures in approximating the hedging strategy, through experiments with simulated data.

These experiments are part of an undergraduate dissertation (https://www.overleaf.com/read/pftggckgfzqg) with summary slides (https://www.overleaf.com/read/rwnnrdbxcgtv).

About

Neural networks for hedging Asian options

Resources

Stars

Watchers

Forks

Releases

No releases published

Packages

No packages published