Deep Hedging of Derivatives Using Reinforcement Learning.
Jay CaoJacky ChenJohn HullZissis PoulosPublished in: CoRR (2021)
Keyphrases
- reinforcement learning
- higher order
- function approximation
- state space
- machine learning
- markov decision processes
- temporal difference learning
- reinforcement learning algorithms
- temporal difference
- optimal control
- robotic control
- option pricing
- reinforcement learning methods
- transaction costs
- deep learning
- learning process
- decision making
- learning algorithm
- neural network
- learning problems
- exchange rate
- transfer learning
- financial markets
- robot control
- markov decision process
- optimal policy
- function approximators
- learning agents
- pairwise
- multi agent
- convertible bonds