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• W2997188511 abstract "In this paper we introduce a deep learning method for pricing and hedging American-style options. It first computes a candidate optimal stopping policy. From there it derives a lower bound for the price. Then it calculates an upper bound, a point estimate and confidence intervals. Finally, it constructs an approximate dynamic hedging strategy. We test the approach on different specifications of a Bermudan max-call option. In all cases it produces highly accurate prices and dynamic hedging strategies with small replication errors." @default.
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• W2997188511 date "2020-07-19" @default.
• W2997188511 modified "2023-10-16" @default.
• W2997188511 title "Pricing and Hedging American-Style Options with Deep Learning" @default.
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• W2997188511 doi "https://doi.org/10.3390/jrfm13070158" @default.
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