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Deep hedging

Buehler, H; Gonon, L; Teichmann, J; Wood, B

Gonon, L (reprint author), ETH, Zurich, Switzerland.

QUANTITATIVE FINANCE, 2019; 19 (8): 1271

Abstract

We present a framework for hedging a portfolio of derivatives in the presence of market frictions such as transaction costs, liquidity constraints or ......

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