Deep hedging

DOI10.1080/14697688.2019.1571683zbMath1420.91450arXiv1802.03042OpenAlexW4247451115MaRDI QIDQ5234357

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Publication date: 26 September 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1802.03042

zbMATH Keywords

hedgingportfolio optimizationtransaction costsreinforcement learningmarket frictionsmachine learningrisk management

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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Uses Software

• Adam

Cites Work

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