The QLBS Q-Learner goes NuQLear: fitted Q iteration, inverse RL, and option portfolios

DOI10.1080/14697688.2019.1622302zbMath1420.91463arXiv1801.06077OpenAlexW2963832046MaRDI QIDQ5234379

Igor Halperin

Publication date: 26 September 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.06077

zbMATH Keywords

Black-Scholes modelreinforcement learningQ-learninginverse reinforcement learninghedging risk

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Portfolio theory (91G10)

Related Items

Empirical deep hedging, Recent advances in reinforcement learning in finance

Cites Work

• The Pricing of Options and Corporate Liabilities
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