Option hedging through reinforcement learning

DOI10.1007/978-3-032-05551-4_15MaRDI QIDQ7296121zbMATH OpenFDO

Authors Federico Giorgi, Stefano Herzel, Paolo Pigato

Publication date 14 July 2026

Full work available at URL https://doi.org/10.1007/978-3-032-05551-4_15

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites work

• A reinforcement learning algorithm for trading commodities
• A simplicial homology algorithm for Lipschitz optimisation
• Deep hedging
• Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
• Evaluating discrete dynamic strategies in affine models
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Measuring the error of dynamic hedging: a Laplace transform approach
• Quant GANs: deep generation of financial time series
• Reinforcement learning. An introduction
• The pricing of options and corporate liabilities
• Value function based reinforcement learning in changing Markovian environments

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