2 papers
q-fin.RM2024
Optimizing Deep Reinforcement Learning for American Put Option Hedging
Reilly Pickard, F. Wredenhagen, Y. Lawryshyn
This paper contributes to the existing literature on hedging American options with Deep Reinforcement Learning (DRL). The study first investigates hyperparameter impact on hedging…
q-fin.RM2024
Hedging American Put Options with Deep Reinforcement Learning
Reilly Pickard, Finn Wredenhagen, Julio DeJesus +2
This article leverages deep reinforcement learning (DRL) to hedge American put options, utilizing the deep deterministic policy gradient (DDPG) method. The agents are first trained…