From Black-Scholes to Online Learning: Dynamic Hedging under Adversarial Environments

23 Jun 2014 Henry Lam Zhenming Liu

We consider a non-stochastic online learning approach to price financial options by modeling the market dynamic as a repeated game between the nature (adversary) and the investor. We demonstrate that such framework yields analogous structure as the Black-Scholes model, the widely popular option pricing model in stochastic finance, for both European and American options with convex payoffs... (read more)

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