Option pricing and hedging with market friction using reinforcement learning

• المؤلف الرئيسي: Jiang, Zixing
• مؤلفون آخرون: Bo An
• التنسيق: Final Year Project
• اللغة: English
• منشور في: Nanyang Technological University 2024
• الموضوعات: Computer and Information Science; Option pricing; Option hedging
• الوصول للمادة أونلاين: 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...