Improved Model-Free Bounds for Multi-Asset Options Using Option-Implied Information and Deep Learning

By Evangelia Dragazi, Shuaiqiang Liu, Antonis Papapantoleon

Published 2024-04-02

Everscope rating

1809.2

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Penalization and Deep Learning. Problem types: Option Pricing, Optimization.

arXiv:2404.02343 · Paper rankings

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