Delta-gamma-like hedging with transaction cost under reinforcement learning technique
Wei Xu and Bing Dai
| Year of publication: |
2022
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|---|---|
| Authors: | Xu, Wei ; Dai, Bing |
| Published in: |
The journal of derivatives : JOD. - London : IPR Journals, ISSN 2168-8524, ZDB-ID 2048690-X. - Vol. 29.2022, 5, p. 60-82
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| Subject: | Theorie | Theory | Hedging | Transaktionskosten | Transaction costs | Lernprozess | Learning process | Portfolio-Management | Portfolio selection |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3905/jod.2022.1.156 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014231076