A Review on Derivative Hedging Using Reinforcement Learning

P Liu - The Journal of Financial Data Science, 2023 - jfds.pm-research.com
Hedging is a common trading activity to manage the risk of engaging in transactions that
involve derivatives such as options. Perfect and timely hedging, however, is an impossible …

Structured products dynamic hedging based on reinforcement learning

H Xu, C Xu, H Yan, Y Sun - Journal of Ambient Intelligence and …, 2023 - Springer
Abstract In the Black–Scholes model proposed in 1973, an investor can use a continuously
rebalanced dynamic strategy to hedge the risk of a certain option, assuming that the …

[PDF][PDF] DYNAMIC HEDGING IN THE PRESENCE OF BASIS RISK: A REINFORCEMENT LEARNING APPROACH

M Mulliez - researchgate.net
Hedging is at the heart of risk management for sell-side financial institutions in the
derivatives market. Traditional financial market models (Black and Scholes, 1973; Merton …