• Medientyp: E-Artikel
  • Titel: Neural network approximation for superhedging prices
  • Beteiligte: Biagini, Francesca [Verfasser:in]; Gonon, Lukas [Verfasser:in]; Reitsam, Thomas [Verfasser:in]
  • Erschienen: Hoboken, NJ: Wiley, 2022
  • Sprache: Englisch
  • DOI: https://doi.org/10.1111/mafi.12363
  • Schlagwörter: deep learning ; quantile hedging ; superhedging
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  • Beschreibung: This article examines neural network‐based approximations for the superhedging price process of a contingent claim in a discrete time market model. First we prove that the α‐quantile hedging price converges to the superhedging price at time 0 for α tending to 1, and show that the α‐quantile hedging price can be approximated by a neural network‐based price. This provides a neural network‐based approximation for the superhedging price at time 0 and also the superhedging strategy up to maturity. To obtain the superhedging price process for t>0$t>0$, by using the Doob decomposition, it is sufficient to determine the process of consumption. We show that it can be approximated by the essential supremum over a set of neural networks. Finally, we present numerical results.
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  • Rechte-/Nutzungshinweise: Namensnennung (CC BY) Namensnennung (CC BY)