Hedging American Put Options with Deep Reinforcement Learning
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- Jay Cao & Jacky Chen & Soroush Farghadani & John Hull & Zissis Poulos & Zeyu Wang & Jun Yuan, 2022. "Gamma and Vega Hedging Using Deep Distributional Reinforcement Learning," Papers 2205.05614, arXiv.org, revised Jan 2023.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-BIG-2024-06-17 (Big Data)
- NEP-CMP-2024-06-17 (Computational Economics)
- NEP-RMG-2024-06-17 (Risk Management)
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