Hedging using reinforcement learning: Contextual k-armed bandit versus Q-learning
The construction of replication strategies for contingent claims in the presence of risk and market friction is a key problem of financial engineering. In real markets, continuous replication, such as in the model of Black, Scholes and Merton (BSM), is not only unrealistic but is also undesirable du...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
KeAi Communications Co., Ltd.
2023-11-01
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| Series: | Journal of Finance and Data Science |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S240591882300017X |