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.
Quantitative Finance 19(8), 1271–1291 (2019)
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
math.FA 1years
2025 1verdicts
CONDITIONAL 1representative citing papers
citing papers explorer
-
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.