Hedging American Put Options with Deep Reinforcement Learning.
Reilly PickardFinn WredenhagenJulio DeJesusMario SchlenerYuri A. LawryshynPublished in: CoRR (2024)
Keyphrases
- reinforcement learning
- option pricing
- payoff functions
- function approximation
- stock price
- markov decision processes
- reinforcement learning algorithms
- decision analysis
- optimal control
- optimal policy
- real option
- transfer learning
- supervised learning
- state space
- multi agent
- transition model
- robotic control
- model free
- action selection
- risk management
- united states
- machine learning
- temporal difference
- financial markets
- markov decision process
- learning agent
- transaction costs
- learning agents
- database
- genetic algorithm