Deep learning approaches to mean-variance portfolio hedging
This study develops and evaluates deep learning-based hedging strategies for power call options under three market models: the Black-Scholes (BS) complete market, the Merton jump-diffusion model, and a Mixed Merton model with multiple jump sources. Power options, characterized by their nonlinear pay...
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| Format: | Final Year Project |
| Language: | English |
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Nanyang Technological University
2025
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| Online Access: | https://hdl.handle.net/10356/184499 |
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| Institution: | Nanyang Technological University |
| Language: | English |