Empirical deep hedging

DOI10.1080/14697688.2022.2136037zbMath1518.91287OpenAlexW4308605751MaRDI QIDQ6101025

Unnamed Author, Juho Kanniainen

Publication date: 20 June 2023

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

Full work available at URL: https://doi.org/10.1080/14697688.2022.2136037

zbMATH Keywords

optionshedgingstochastic volatilitydeep reinforcement learning

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Asymptotic analysis of hedging errors in models with jumps
• \({\mathcal Q}\)-learning
• An Introduction to Deep Reinforcement Learning
• Quant GANs: deep generation of financial time series
• Deep hedging
• The QLBS Q-Learner goes NuQLear: fitted Q iteration, inverse RL, and option portfolios
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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