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...
| Main Authors: | , , , , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Frontiers Media S.A.
2023-02-01
|
| Series: | Frontiers in Artificial Intelligence |
| Subjects: | |
| Online Access: | https://www.frontiersin.org/articles/10.3389/frai.2023.1129370/full |