From PDE Residuals to Hedging Risk: A Posteriori Diagnostics for Neural Option Pricing with Trading Costs and Volatility Misspecification
The research separates pricing error from hedging loss by decomposing delta-hedge profit and loss into terminal mismatch, residuals, volatility misspecification, rebalancing, and trading costs.
Featured in No. 136 on 23 Oct 2026 · 1 day after release
- Released
- 22 Oct 2026
- First featured
- No. 136 · 23 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 2 of 5
- Identifier
- SSRN 7657600
- Authors
- Francesco Demuro
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).