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Estimating risks of option books using neural-SDE market models

Publication: Estimating risks of option books using neural-SDE market models. Published Feb 15, 2022.

arxiv.orgPublished Feb 15, 2022
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Overview

Publication: Estimating risks of option books using neural-SDE market models. Published Feb 15, 2022.

Publication information

Publication title
Estimating risks of option books using neural-SDE market models
Authors
Samuel N. Cohen, Christoph Reisinger, Sheng Wang
Published
Feb 15, 2022
Last publication revision
Feb 15, 2022
Subject areas
q-fin.CP, math.PR, q-fin.RM, q-fin.ST, stat.ML
Publication source
arxiv.org · abs/2202.07148v1 ↗

Source: arXiv API · observed Oct 11, 2026.

Source links & provenance

https://arxiv.org/abs/2202.07148 ↗

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