Deep Signature Algorithm for Multidimensional Path-Dependent Options

Bayraktar, Erhan; Feng, Qi; Zhang, Zhaoyu

doi:10.1137/23m1571563

SIAM J. Finan. Math.

2024

DOI: 10.1137/23m1571563

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Deep Signature Algorithm for Multidimensional Path-Dependent Options

Erhan Bayraktar,

Qi Feng,

Zhaoyu Zhang

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Cited by 4 publications

References 38 publications

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Deep Quadratic Hedging

Gnoatto,

Lavagnini,

Picarelli

2024

Mathematics of OR

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We propose a novel computational procedure for quadratic hedging in high-dimensional incomplete markets, covering mean-variance hedging and local risk minimization. Starting from the observation that both quadratic approaches can be treated from the point of view of backward stochastic differential equations (BSDEs), we (recursively) apply a deep learning-based BSDE solver to compute the entire optimal hedging strategies paths. This allows us to overcome the curse of dimensionality, extending the scope of applicability of quadratic hedging in high dimension. We test our approach with a classic Heston model and with a multiasset and multifactor generalization thereof, showing that this leads to high levels of accuracy.

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Deep Quadratic Hedging

Gnoatto,

Lavagnini,

Picarelli

2024

Mathematics of OR

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show abstract

Deep Quadratic Hedging

2022

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Solving high dimensional FBSDE with deep signature techniques with application to nonlinear options pricing

Sun,

Bao

2025

DCDS-B

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Deep Signature Algorithm for Multidimensional Path-Dependent Options

Cited by 4 publications

References 38 publications

Deep Quadratic Hedging

Deep Quadratic Hedging

Deep Quadratic Hedging

Solving high dimensional FBSDE with deep signature techniques with application to nonlinear options pricing

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