Showing q-fin.CPShow all
2 papers · 1 filter
q-fin.CP2026
Randomized Neural Networks for estimation of exposure profiles and Credit Valuation Adjustment (CVA) for American Equity Options
Isidro Moroso Varona, Jakub Michańków, Paweł Sakowski
This paper studies the use of randomized neural networks for the estimation of exposure profiles and unilateral CVA of American options within a Monte Carlo framework. The analysis…
q-fin.CP2025
Application of Deep Reinforcement Learning to At-the-Money S&P 500 Options Hedging
Zofia Bracha, Paweł Sakowski, Jakub Michańków
This paper explores the application of deep Q-learning to hedging at-the-money options on the S\&P~500 index. We develop an agent based on the Twin Delayed Deep Deterministic Polic…