Option pricing and hedging with market friction using reinforcement learning
This paper presents a discrete European option pricing and hedging model under an environment with market friction using Q-Learning in Reinforcement Learning. The research novelty lies in the comparison of performance by various transaction cost models. Reinforcement Learning is implemented with the...
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| Format: | Final Year Project (FYP) |
| Language: | English |
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Nanyang Technological University
2024
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| Online Access: | https://hdl.handle.net/10356/181126 |