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econ.GN2024
A Machine Learning Algorithm for Finite-Horizon Stochastic Control Problems in Economics
Xianhua Peng, Steven Kou, Lekang Zhang
We propose a machine learning algorithm for solving finite-horizon stochastic control problems based on a deep neural network representation of the optimal policy functions. The al…
q-fin.RM2024
A Risk Sensitive Contract-unified Reinforcement Learning Approach for Option Hedging
Xianhua Peng, Xiang Zhou, Bo Xiao +1
We propose a new risk sensitive reinforcement learning approach for the dynamic hedging of options. The approach focuses on the minimization of the tail risk of the final P&L of th…
q-fin.MF2024
Joint Pricing in SPX and VIX Derivative Markets with Composite Change of Time Models
Liexin Cheng, Xue Cheng, Xianhua Peng
The Chicago Board Options Exchange Volatility Index (VIX) is calculated from SPX options and derivatives of VIX are also traded in market, which leads to the so-called ``consistent…