Reinforcement learning for option pricing and hedging, a practical edge over black-scholes-merton model

Reinforcement learning for option pricing and hedging, a practical edge over black-scholes-merton model

This thesis explores two frameworks leveraging on modern Reinforcement Learning (RL) techniques for pricing and dynamic hedging of an option under practical market conditions such as transaction costs, trader risk-aversion, and stochastic volatility which the Black-Scholes-Merton’s (BSM) model fails...

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書目詳細資料
主要作者:	Yang, Daniel
其他作者:	Bo An
格式:	Final Year Project
語言:	English
出版:	Nanyang Technological University 2024
主題:	Computer and Information Science Mathematical Sciences Other
在線閱讀:	https://hdl.handle.net/10356/175061
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Nanyang Technological University
語言:	English

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