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Gamma and vega hedging using deep distributional reinforcement learning
We show how reinforcement learning can be used in conjunction with quantile regression to develop a hedging strategy for a trader responsible for derivatives that arrive stochastically and depend on a single underlying asset. We assume that the trader makes the portfolio delta-neutral at the end of...
| Autores principales: | , , , , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Frontiers Media S.A.
2023
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9992725/ https://www.ncbi.nlm.nih.gov/pubmed/36909205 http://dx.doi.org/10.3389/frai.2023.1129370 |