A deep learning approach to data-driven model-free pricing and to martingale optimal transport
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Abstract (arXiv)
We introduce a novel and highly tractable supervised learning approach based on neural networks that can be applied for the computation of model-free price bounds of, potentially high-dimensional, financial derivatives and for the determination of optimal hedging strategies attaining these bounds. In particular, our methodology allows to train a single neural network offline and then to use it online for the fast determination of model-free price bounds of a whole class of financial derivatives with current market data. We show the applicability of this approach and highlight its accuracy in several examples involving real market data. Further, we show how a neural network can be trained to solve martingale optimal transport problems involving fixed marginal distributions instead of financial market data.
Key facts. Cited by 6 papers in the map (data through 7 Oct 2026). Builds on 15 of its 64 references that are in the map. First posted on arXiv 21 Mar 2021.
Builds on
15 of 64 references.
References · 15
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Citing papers per year: 2022: 3; 2023: 2; 2024: 1.
6 papers.
- 2022Chaotic Hedging with Iterated Integrals and Neural Networkscited by 10
- 2022Langevin dynamics based algorithm e-THvarepsilonO POULA for stochastic optimization problems with discontinuous stochastic gradientcited by 5
- 2022Detecting data-driven robust statistical arbitrage strategies with deep neural networkscited by 4
- 2023Machine learning for option pricing: an empirical investigation of network architecturescited by 3
- 2023Neural networks can detect model-free static arbitrage strategiescited by 1
- 2024Hedging and Pricing Structured Products Featuring Multiple Underlying Assetscited by 1
- 2024Hedging and Pricing Structured Products Featuring Multiple Underlying Assets2 Nov 2024
- 2023Machine learning for option pricing: an empirical investigation of network architectures14 Jul 2023
- 2023Neural networks can detect model-free static arbitrage strategies19 Jun 2023
- 2022Langevin dynamics based algorithm e-THvarepsilonO POULA for stochastic optimization problems with discontinuous stochastic gradient24 Oct 2022
- 2022Chaotic Hedging with Iterated Integrals and Neural Networks21 Sep 2022
- 2022Detecting data-driven robust statistical arbitrage strategies with deep neural networks7 Mar 2022