A deep learning approach to data-driven model-free pricing and to martingale optimal transport.

Ariel Neufeld Julian Sester

Published in: CoRR (2021)

Keyphrases

deep learning
model free
data driven
reinforcement learning
machine learning
function approximation
unsupervised feature learning
dynamic programming
unsupervised learning
optimal control
weakly supervised
policy iteration
data sets
pairwise