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Mar, 2022
衍生品定价模型的校准:多智能体强化学习视角
Calibration of Derivative Pricing Models: a Multi-Agent Reinforcement Learning Perspective
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Nelson Vadori
TL;DR
本研究采用深度多智能体强化学习方法在随机过程空间中搜索连续时间扩散模型来适应市场价格,实现本研究所解决的问题,结果表明:我们能够学习局部波动率,并且在波动率过程中学习路径依赖性以最小化百慕大期权的价格。
Abstract
One of the most fundamental questions in quantitative finance is the existence of
continuous-time diffusion models
that fit
market prices
of a given set of options. Traditionally, one employs a mix of intuition,
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