Spanning Multi-Asset Payoffs With ReLUs

By Sébastien Bossu, Stéphane Crépey, Hoang-Dung Nguyen

Published 2024-03-22

Everscope rating

1867.1

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Distributional formulation of multi-asset payoff spanning. Problem types: Regression, Optimization, Static Hedging.

arXiv:2403.14231 · Code · Paper rankings

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