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Classroom Contents
Equal Risk Option Pricing with Deep Reinforcement Learning
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- 1 Intro
- 2 Motivation
- 3 Hedging-based pricing
- 4 Market setup
- 5 Self-financing portfolios
- 6 Hedging optimization problem
- 7 Equal risk price for convex risk measures
- 8 Computation of equal risk prices
- 9 Policy approximation through a neural network
- 10 Sensitivity of prices to the risk measure
- 11 Impact of underlying dynamics on equal risk prices
- 12 Benchmarking to traditional pricing approaches
- 13 Use of options for as hedging instruments
- 14 Expected penalties as objective functions
- 15 Equal risk pricing and illiquid asset pricing (IFRS 17)
- 16 Conclusion
