Deep Equal Risk Pricing of Financial Derivatives with Multiple Hedging Instruments

This paper studies the equal risk pricing (ERP) framework for the valuation of European financial derivatives. This option pricing approach is consistent with global trading strategies by setting the premium as the value such that the residual hedging risk of the long and short positions in the option are equal under optimal hedging. The ERP setup of Marzban et al. (2020) is considered where residual hedging risk is quantified with convex risk measures. The main objective of this paper is to ass...