A signature-kernel and operator-valued-kernel framework for hedging is proved to have a unique global minimizer with an explicit formula, and it approximates the delta hedge on a GBM example.
In: ACM International Conference on AI in Finance (2020)
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Rough kernel hedging
A signature-kernel and operator-valued-kernel framework for hedging is proved to have a unique global minimizer with an explicit formula, and it approximates the delta hedge on a GBM example.