Reinforcement Learning for Credit Index Option Hedging.
Francesco MandelliMarco PinciroliMichele TraplettiEdoardo VittoriPublished in: CoRR (2023)
Keyphrases
- reinforcement learning
- option pricing
- optimal control
- credit scoring
- function approximation
- decision analysis
- temporal difference
- index structure
- learning algorithm
- reinforcement learning algorithms
- state space
- database
- payoff functions
- indexing method
- indexing techniques
- b tree
- supervised learning
- dynamic programming
- multi agent reinforcement learning
- transaction costs
- real option
- function approximators
- fraud detection
- risk analysis
- structural similarity
- exchange rate
- model free
- markov decision processes
- transfer learning
- learning process
- decision making
- data sets