Hedging American Put Options with Deep Reinforcement Learning: References
30 Oct 2024
A comprehensive list of sources cited in the study, covering foundational and contemporary literature on DRL and hedging American put options.
Hedging American Put Options with Deep Reinforcement Learning: Appendix A
30 Oct 2024
Supplementary data on final P&L statistics, option pricing results, and asset paths for testing in the DRL hedging study.
Advancements in Deep Reinforcement Learning for Hedging American Put Options
30 Oct 2024
This study showcases how deep reinforcement learning agents effectively hedge American put options, outperforming traditional strategies in various scenarios.
Evaluating Deep RL Agents in Hedging with Market-Calibrated Stochastic Volatility Models
30 Oct 2024
This study evaluates DRL agents hedging options with market-calibrated stochastic volatility, comparing their performance against the BS Delta strategy.
Results of Deep Reinforcement Learning Agent Performance in Hedging American Put Options
30 Oct 2024
Learn how a deep reinforcement learning agent performs in hedging American put options, comparing effectiveness across GBM and stochastic volatility scenarios.
Testing Procedures for Evaluating Deep Reinforcement Learning Agents in American Put Option Hedging
30 Oct 2024
Explore the testing procedures for DRL agents in hedging American put options, detailing asset pricing, exercise boundaries, and benchmark strategies.
Hedging American Put Options with Deep Reinforcement Learning: Training Procedures
29 Oct 2024
Explore the training procedures for a DRL agent in hedging American put options using GBM and stochastic volatility models, plus Chebyshev interpolation for pr
How to Design a Deep Reinforcement Learning Agent for American Put Option Hedging
29 Oct 2024
This study outlines the methodology for implementing a deep reinforcement learning (DRL) agent for hedging American put options.
What Previous Research Says About Using Reinforcement Learning for Hedging Options
29 Oct 2024
This study reviews prior research on reinforcement learning in option hedging, highlighting key methodologies and gaps in literature for American options.