Hedging American Put Options with Deep Reinforcement Learning: References
2024-10-31 02:0:18 Author: hackernoon.com(查看原文) 阅读量:0 收藏

  1. Abstract

  2. Introduction

    Background

    Reinforcement Learning

    Similar Work

  3. Methodology

    DRLAgent Design

  4. Training Procedures

  5. Testing Procedures

  6. Results

  7. SABR Experiments

  8. Conclusions

  9. Appendix A

  10. References

REFERENCES

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Authors:

(1) Reilly Pickard, Department of Mechanical and Industrial Engineering, University of Toronto, Toronto, ON M5S 3G8, Canada ([email protected]);

(2) Finn Wredenhagen, Ernst & Young LLP, Toronto, ON, M5H 0B3, Canada;

(3) Julio DeJesus, Ernst & Young LLP, Toronto, ON, M5H 0B3, Canada;

(4) Mario Schlener, Ernst & Young LLP, Toronto, ON, M5H 0B3, Canada;

(5) Yuri Lawryshyn, Department of Chemical Engineering and Applied Chemistry, University of Toronto, Toronto, ON M5S 3E5, Canada.


This paper is available on arxiv under CC BY-NC-SA 4.0 Deed (Attribution-Noncommercial-Sharelike 4.0 International) license.


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