Solver-Aware Deep Hedging — Paper 1 (ADI vs. Crank-Nicolson)
A collaboration with Ibrahim Lanre Adedimeji (Seoul National University of Science and Technology) — benchmarking numerical PDE solvers for 2D Black-Scholes option pricing, the foundation for a planned RL-hedging paper on top.
Paper 1 of a planned multi-paper collaboration with Ibrahim Lanre Adedimeji (Seoul National University of Science and Technology): benchmark numerical PDE solvers for 2D Black-Scholes option pricing before building an RL hedging agent on top of whichever solver wins.
Free (login required): the project scope, the collaboration, and where this fits in the larger plan.
Members ($30/month): the actual solver implementations and what's still planned on top.
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