Approximation of CVaR minimization for hedging under exponential-Lévy models.

Madalina Deaconu Antoine Lejay Khaled Salhi

Published in: J. Comput. Appl. Math. (2017)

Keyphrases

complex systems
neural network
experimental data
parameter estimation
information retrieval
regression model
multistage
hybrid model
convex functions
approximation error
risk measures