Option pricing and hedging with market friction using reinforcement learning

• Main Author: Jiang, Zixing
• Other Authors: Bo An
• Format: Final Year Project
• Language: English
• Published: Nanyang Technological University 2024
• Subjects: Computer and Information Science; Option pricing; Option hedging
• Online Access: https://hdl.handle.net/10356/181126
• Institution: Nanyang Technological University

This paper presents a discrete European option pricing and hedging model under an environment with market friction using Q-Learning in Reinforcement Learning. The research novelty lies in the comparison of performance by various transaction cost models. Reinforcement Learning is implemented with the...