Neural network approximation for superhedging prices
نویسندگان
چکیده
This article examines neural network-based approximations for the superhedging price process of a contingent claim in discrete time market model. First we prove that α-quantile hedging converges to at 0 α tending 1, and show can be approximated by price. provides approximation also strategy up maturity. To obtain t > $t>0$ , using Doob decomposition, it is sufficient determine consumption. We essential supremum over set networks. Finally, present numerical results.
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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2022
ISSN: ['0960-1627', '1467-9965']
DOI: https://doi.org/10.1111/mafi.12363