Gamma and vega hedging using deep distributional reinforcement learning.
Jay CaoJacky ChenSoroush FarghadaniJohn HullZissis PoulosZeyu WangJun YuanPublished in: Frontiers Artif. Intell. (2023)
Keyphrases
- reinforcement learning
- function approximation
- optimal control
- markov decision processes
- robotic control
- co occurrence
- multi agent
- optimal policy
- financial markets
- reinforcement learning algorithms
- model free
- state space
- multi agent reinforcement learning
- real time
- policy search
- deep learning
- machine learning
- convertible bonds
- reinforcement learning methods
- function approximators
- direct policy search
- exchange rate
- learning classifier systems
- risk management
- transfer learning
- supervised learning
- least squares
- hidden markov models
- e learning