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Rethinking Synthetic Scenario Realism: Compatibility, Not Fidelity, Drives Hedging Performance

Hashimoto, Ryuji et al.
arXiv (All) · Papers
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computational-finance
Deep hedging is a data-driven approach to learn hedging strategies. It relies on synthetic price paths generator, as real market data is often limited for training. Existing approaches primarily evaluate such generators based on realism, i.e., how well they capture statistical properties of real mar
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