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

• Main Author: Yang, Daniel
• Other Authors: Bo An
• Format: Final Year Project
• Language: English
• Published: Nanyang Technological University 2024
• Subjects: Computer and Information Science; Mathematical Sciences; Other
• Online Access: https://hdl.handle.net/10356/175061
• Institution: Nanyang Technological University

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...