Work

Deep Hedging: Hedging Derivatives Under Generic Market Frictions Using Reinforcement Learning

Year: 2019

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.3355706

Authors: Hans Buehler, Lukas Gonon, Josef Teichmann, Ben Wood, Baranidharan Mohan, Jonathan Kochems

Institutions: Ludwig-Maximilians-Universität München, ETH Zurich, Swiss Finance Institute, JPMorgan Chase & Co (United States)

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2941037157

Cites: 14

Cited by: 51

Related to: 10