Validating Hyperparameters and a Weekly Re-training Strategy for DRL Option Hedging
26 Aug 2025
This research validates a weekly re-trained DRL agent, showing it outperforms static models & Black-Scholes for practical American option hedging.
Don't Just Train Your AI, Re-Train It: The Weekly Workout Plan for a Smarter Option Hedge
26 Aug 2025
This methodology details how to train and test DRL agents for American option hedging, introducing a novel weekly re-training strategy using Chebyshev pricing.
Avoiding the Pitfalls: A Guide to the Current State of DRL Option Hedging Research
26 Aug 2025
This review of DRL hedging literature highlights the need for hyperparameter analysis, especially for real-world American option applications.
How Weekly AI Training Is Beating a Nobel Prize-Winning Formula
26 Aug 2025
This paper makes Deep Reinforcement Learning practical for hedging American options by optimizing hyperparameters and using a weekly re-training strategy.
Efficient Price and Greeks Computation for American Options via Gradient-Enhanced LSM
12 Aug 2025
This article introduces G‑LSM, a sparse Hermite polynomial LSM variant using gradient info for efficient, accurate high‑dimensional American option pricing.
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.