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SSRNDerivatives & Volatility

Relationship between deep hedging and delta hedging: leveraging a statistical arbitrage strategy

The research examines the link between deep and delta hedging, suggesting a risk-minimizing strategy that combines both with statistical arbitrage, and discusses the effects of statistical arbitrages on deep hedging.

Featured in No. 26 on 15 Nov 2023 · 5 days after release · 0 citations today

Released
10 Nov 2023
First featured
No. 26 · 15 Nov 2023
Citations (Semantic Scholar)
0
Influential citations
0
Published in
Not yet, as far as Semantic Scholar knows
Shares when featured
2
Identifier
SSRN 4628845

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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