Option Hedging with Risk Averse Reinforcement Learning
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References listed on IDEAS
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Igor Halperin, 2019. "The QLBS Q-Learner goes NuQLear: fitted Q iteration, inverse RL, and option portfolios," Quantitative Finance, Taylor & Francis Journals, vol. 19(9), pages 1543-1553, September.
- Hull, John & White, Alan, 2017. "Optimal delta hedging for options," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 180-190.
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Cited by:
- Francesco Mandelli & Marco Pinciroli & Michele Trapletti & Edoardo Vittori, 2023. "Reinforcement Learning for Credit Index Option Hedging," Papers 2307.09844, arXiv.org.
- Federico Giorgi & Stefano Herzel & Paolo Pigato, 2023. "A Reinforcement Learning Algorithm for Trading Commodities," CEIS Research Paper 552, Tor Vergata University, CEIS, revised 18 Feb 2023.
- Shuo Sun & Rundong Wang & Bo An, 2021. "Reinforcement Learning for Quantitative Trading," Papers 2109.13851, arXiv.org.
- Zheng Gong & Carmine Ventre & John O'Hara, 2021. "The Efficient Hedging Frontier with Deep Neural Networks," Papers 2104.05280, arXiv.org.
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This paper has been announced in the following NEP Reports:- NEP-RMG-2020-11-02 (Risk Management)
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