Option pricing and hedging with market friction using reinforcement learning

• 主要作者: Jiang, Zixing
• 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; Option pricing; Option hedging
• 在線閱讀: https://hdl.handle.net/10356/181126

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...