Saeed Marzban Student (Ph.D.), GERAD share HEC Montréal saeed.marzban@gerad.ca Phone: 514 340-6053 x6908 Office 4510 Education since Sep 2016 Ph.D. , Administration Equal-risk pricing, hedging, and portfolio management using dynamic risk measures and deep reinforcement learning methods HEC Montréal – Department of Decision Sciences, Erick Delage, director Cahiers du GERAD Feb 2020 G-2020-02 Equal risk pricing and hedging of financial derivatives with convex risk measures Saeed Marzban, Erick Delage, and Jonathan Y. Li In this paper, we consider the problem of equal risk pricing and hedging in which the fair price of an option is the price that exposes both sides of the con... BibTeX reference
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