Optimizing Deep Reinforcement Learning for American Put Option Hedging.
Reilly PickardFinn WredenhagenYuri A. LawryshynPublished in: CoRR (2024)
Keyphrases
- reinforcement learning
- option pricing
- model free
- united states
- function approximation
- reinforcement learning algorithms
- stock price
- learning algorithm
- markov decision processes
- payoff functions
- decision analysis
- temporal difference
- optimal policy
- exploration exploitation tradeoff
- financial markets
- supervised learning
- optimal control
- belief nets
- information retrieval
- machine learning
- transaction costs
- deep learning
- database
- black scholes model
- data sets
- robotic control
- neural network
- multi agent reinforcement learning
- stochastic approximation
- temporal difference learning
- function approximators
- learning problems
- real robot
- learning capabilities
- decision making
- active learning
- state space
- risk management
- transfer learning