Deep hedging of derivatives using reinforcement learning
Jay Cao, Jacky Chen, John Hull, and Zissis Poulos
| Year of publication: |
2021
|
|---|---|
| Authors: | Cao, Jay ; Chen, Jacky ; Hull, John ; Poulos, Zissis |
| Published in: |
The journal of financial data science. - New York, NY : Pageant Media, Ltd., ISSN 2640-3951, ZDB-ID 2957666-0. - Vol. 3.2021, 1, p. 10-27
|
| Subject: | Big data/machine learning | derivatives | simulations | Derivat | Derivative | Hedging | Simulation | Lernprozess | Learning process | Lernen | Learning | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3905/jfds.2020.1.052 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012486250