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Deep Hedging of Derivatives Using Reinforcement Learning

Cao, Jay - 2020

This paper shows how reinforcement learning can be used to derive optimal hedging strategies for derivatives when there are transaction costs. The paper illustrates the approach by showing the diﬀerence between using delta hedging and optimal hedging for a short position in a call option when...

Persistent link: https://www.econbiz.de/10012844707

Deep hedging of derivatives using reinforcement learning

Cao, Jay; Chen, Jacky; Hull, John; Poulos, Zissis - In: The journal of financial data science 3 (2021) 1, pp. 10-27

Persistent link: https://www.econbiz.de/10012486250

Options, futures & other derivatives

Hull, John - 2000 - 4. ed., internat. ed.

Persistent link: https://www.econbiz.de/10001388329

Fundamentals of futures and options markets

Hull, John - 2001 - 4. ed

Persistent link: https://www.econbiz.de/10001545250

Fundamentals of futures and options markets

Hull, John - 2005 - 5. ed., internat. ed.

Persistent link: https://www.econbiz.de/10001981944

Fundamentals of futures and options markets

Hull, John - 2011 - 7. ed., global ed.

Persistent link: https://www.econbiz.de/10003959819

Options, futures, and other derivatives

Hull, John - 2012 - 8. ed., global ed.

Persistent link: https://www.econbiz.de/10009012593

The credit crunch of 2007 : what went wrong? ; why? ; what lessons can be learned?

Hull, John - In: The journal of credit risk : published quarterly by … 5 (2009/10) 2, pp. 3-18

Persistent link: https://www.econbiz.de/10003874101

Options, futures, and other derivatives

Hull, John - 1997 - 3. ed., internat. ed

Persistent link: https://www.econbiz.de/10008729855

Options, futures, and other derivatives

Hull, John - 2009 - 7. ed., internat. ed.

Persistent link: https://www.econbiz.de/10003607662

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