Fetching the paper…
Reading the bibliography…
This paper studies the equal risk pricing (ERP) framework for the valuation of European financial derivatives.
Pricing contingent claims with short selling bans
Ma, G., Zhu, S.-P., and Guo, I. (2019) · 1910
Earlier work this paper cites.
The pricing of options and corporate liabilities
Black, F. and Scholes, M. (1973) · 1973
Earlier work this paper cites.
Theory of rational option pricing
Merton, R. C. (1973) · 1973
Earlier work this paper cites.
Option pricing when underlying stock returns are discontinuous
Merton, R. C. (1976) · 1976
Earlier work this paper cites.
Martingales and stochastic integrals in the theory of continuous trading
Harrison, J. M. and Pliska, S. R. (1981) · 1981
Earlier work this paper cites.
Learning representations by back-propagating errors
Rumelhart, D. E., Hinton, G. E., and Williams, R. J. (1986) · 1986
Earlier work this paper cites.
On the relation between the expected value and the volatility of the nominal excess return on stocks
Glosten, L. R., Jagannathan, R., and Runkle, D. E. (1993) · 1993
Earlier work this paper cites.
Variance-optimal hedging in discrete time
Schweizer, M. (1995) · 1995
Earlier work this paper cites.
Approximation pricing and the variance-optimal martingale measure
Schweizer, M. (1996) · 1996
Earlier work this paper cites.
Long short-term memory
Hochreiter, S. and Schmidhuber, J. (1997) · 1997
Earlier work this paper cites.
Hedging derivative securities and incomplete markets: an ϵ \epsilon -arbitrage approach
Bertsimas, D., Kogan, L., and Lo, A. W. (2001) · 2001
Earlier work this paper cites.
Dynamics of implied volatility surfaces
Cont, R. and Da Fonseca, J. (2002) · 2002
Earlier work this paper cites.
Convex measures of risk and trading constraints
Föllmer, H. and Schied, A. (2002) · 2002
Earlier work this paper cites.
Bounds of option prices for semimartingale market models
Gushchin, A. A. and Mordecki, E. (2002) · 2002
Cited alongside, same era.
Equal risk pricing and hedging of financial derivatives with convex risk measures
Marzban, S., Delage, E., and Li, J. Y. (2020) · 2002
Cited alongside, same era.
Conditional value-at-risk for general loss distributions
Rockafellar, R. T. and Uryasev, S. (2002) · 2002
Cited alongside, same era.
Financial modelling with jump processes
Cont, R. and Tankov, P. (2003) · 2003
Cited alongside, same era.
Options, futures, and other derivatives
Hull, J. C. (2003) · 2003
Cited alongside, same era.
Static hedging of standard options
Carr, P. and Wu, L. (2014) · 2014
Later among the works it cites.
Monte Carlo
Hong, L. J., Hu, Z., and Liu, G. (2014) · 2014
Later among the works it cites.
Adam: A method for stochastic optimization
Kingma, D. P. and Ba, J. (2014) · 2014
Later among the works it cites.
Tensorflow: Large-scale machine learning on heterogeneous distributed systems
Abadi, M. et al. (2016) · 2016
Later among the works it cites.
Deep learning
Goodfellow, I., Bengio, Y., and Courville, A. (2016) · 2016
Later among the works it cites.
Equal risk pricing under convex trading constraints
Guo, I. and Zhu, S.-P. (2017) · 2017
Later among the works it cites.
alphaXiv searches the wider corpus for related work and actual follow-ups.
alphaXiv is searching for related work…
Carbonneau, A. (2020) · 2007
Cited alongside, same era.
Robustly hedging variable annuities with guarantees under jump and volatility risks
Coleman, T., Kim, Y., Li, Y., and Patron, M. (2007) · 2007
Cited alongside, same era.
What you should know about approximate dynamic programming
Powell, W. B. (2009) · 2009
Cited alongside, same era.
Understanding the difficulty of training deep feedforward neural networks
Glorot, X. and Bengio, Y. (2010) · 2010
Cited alongside, same era.
Introduction to Stochastic Calculus Applied to Finance
Lamberton, D. and Lapeyre, B. (2011) · 2011
Cited alongside, same era.
Insurance valuation: A two-step generalised regression approach
Barigou, K., Bignozzi, V., and Tsanakas, A. (2020) · 2012
Cited alongside, same era.
Dynamic hedging in incomplete markets: a simple solution
Basak, S. and Chabakauri, G. (2012) · 2012
Cited alongside, same era.
IFRS 17 I
IASB (2017) · 2017
Later among the works it cites.
An empirical study of the option pricing formula with the underlying banned from short sell
Alfeus, M., He, X.-J., and Zhu, S.-P. (2019) · 2019
Later among the works it cites.
Discrete-time variance-optimal deep hedging in affine GARCH
Cao, H., Cui, Z., and Liu, Y. (2020) · 2020
Later among the works it cites.
Equal risk pricing of derivatives with deep hedging
Carbonneau, A. and Godin, F. (2020) · 2020
Later among the works it cites.
A revised option pricing formula with the underlying being banned from short selling
He, X.-J. and Zhu, S.-P. (2020) · 2020
Later among the works it cites.
Deep hedging under rough volatility
Horvath, B., Teichmann, J., and Zuric, Z. (2021) · 2021
Closest in time.