Corpus ID: 236493222

Neural network approximation for superhedging prices

@inproceedings{Biagini2021NeuralNA,
  title={Neural network approximation for superhedging prices},
  author={Francesca Biagini and Lukas Gonon and Thomas Reitsam},
  year={2021}
}
This article examines neural network-based approximations for the superhedging price process of a contingent claim in a discrete time market model. First we prove that the α-quantile hedging price converges to the superhedging price at time 0 for α tending to 1, and show that the α-quantile hedging price can be approximated by a neural network-based price. This provides a neural network-based approximation for the superhedging price at time 0 and also the superhedging strategy up to maturity… Expand

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