Reinforcement Learning for Option Hedging: Static Implied-Volatility Fit versus Shortfall-Aware Performance

Ziheng Chen, Minxuan Hu, Jiayu Yi +1

We extend the Q-learner in Black-Scholes (QLBS) framework by incorporating risk aversion and trading costs, and propose a novel Replication Learning of Option Pricing (RLOP) approa…