A review on derivative hedging using reinforcement learning

• Main Author: LIU, Peng
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2023
• Subjects: Reinforcement learning; hedging; optimization; Categorical Data Analysis; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/7195; https://ink.library.smu.edu.sg/context/lkcsb_research/article/8194/viewcontent/jfds.2023.1.124.full_pv.pdf
• Institution: Singapore Management University

Hedging is a common trading activity to manage the risk of engaging in transactions that involve derivatives such as options. Perfect and timely hedging, however, is an impossible task in the real market that characterizes discrete-time transactions with costs. Recent years have witnessed reinforcem...