Hedging American Put Options with Deep Reinforcement Learning: References

1. Abstract

2. Introduction

   Background

   Reinforcement Learning

   Similar Work

3. Methodology

   DRLAgent Design

4. Training Procedures

5. Testing Procedures

6. Results

7. SABR Experiments

8. Conclusions

9. Appendix A

10. References

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:::info Authors:

(1) Reilly Pickard, Department of Mechanical and Industrial Engineering, University of Toronto, Toronto, ON M5S 3G8, Canada ([email protected]);

(2) Finn Wredenhagen, Ernst & Young LLP, Toronto, ON, M5H 0B3, Canada;

(3) Julio DeJesus, Ernst & Young LLP, Toronto, ON, M5H 0B3, Canada;

(4) Mario Schlener, Ernst & Young LLP, Toronto, ON, M5H 0B3, Canada;

(5) Yuri Lawryshyn, Department of Chemical Engineering and Applied Chemistry, University of Toronto, Toronto, ON M5S 3E5, Canada.

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:::info This paper is available on arxiv under CC BY-NC-SA 4.0 Deed (Attribution-Noncommercial-Sharelike 4.0 International) license.

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