Hedging barrier options using reinforcement learning
Jacky Chen, Yu Fu, John Hull, Zissis Poulos, Zeyu Wang, and Jun Yuan
| Year of publication: |
2024
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|---|---|
| Authors: | Chen, Jacky ; Fu, Yu ; Hull, John ; Poulos, Zissis ; Wang, Zeyu ; Yuan, Jun |
| Published in: |
Journal of investment management : JOIM. - Lafayette, Calif., ISSN 1545-9144, ZDB-ID 2495180-8. - Vol. 22.2024, 4, p. 16-25
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| Subject: | reinforcement learning | barrier options | hedging | Optionsgeschäft | Option trading | Hedging | Optionspreistheorie | Option pricing theory | Lernen | Learning | Lernprozess | Learning process | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015405554