Hedging of financial derivative contracts via Monte Carlo tree search
Year of publication: |
2023
|
---|---|
Authors: | Szehr, Oleg |
Published in: |
The journal of computational finance : JFC. - London : Infopro Digital Risk, ISSN 1755-2850, ZDB-ID 2091445-3. - Vol. 27.2023, 2, p. 47-80
|
Subject: | reinforcement learning | Monte Carlo tree search (MCTS) | pricing and hedging of derivative contracts | AlphaZero | utility optimization | Derivat | Derivative | Hedging | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation |
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