KANHedge: Efficient Hedging of High-Dimensional Options Using Kolmogorov-Arnold Network-Based BSDE Solver
High-dimensional option pricing and hedging present significant challenges in quantitative finance, where traditional PDE-based methods struggle with the curse of dimensionality. The BSDE framework offers a computationally efficient alternative to PDE-based methods, and recently proposed deep BSDE solvers, generally utilizing...