Hedging of Financial Derivative Contracts via Monte Carlo Tree Search.
Oleg SzehrPublished in: CoRR (2021)
Keyphrases
- monte carlo tree search
- financial markets
- monte carlo
- risk management
- tree search algorithm
- evaluation function
- bayesian reinforcement learning
- stock market
- monte carlo search
- stock price
- game tree
- decision making
- temporal difference learning
- alpha beta search
- transaction costs
- temporal difference
- learning algorithm
- exchange rate
- cost function
- learning environment