Option Hedging with Risk Averse Reinforcement Learning.
Edoardo VittoriMichele TraplettiMarcello RestelliPublished in: CoRR (2020)
Keyphrases
- risk averse
- reinforcement learning
- option pricing
- risk neutral
- utility function
- risk aversion
- stochastic programming
- decision makers
- function approximation
- stock price
- portfolio management
- transaction costs
- payoff functions
- state space
- multistage
- machine learning
- model free
- expected utility
- optimal policy
- markov decision processes
- dynamic programming
- decision problems
- optimal control
- steady state
- financial markets
- random variables
- probability distribution
- learning algorithm