Baranidharan Mohan

JP Morgan

London

United Kingdom

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

Swiss Finance Institute Research Paper No. 19-80
Number of pages: 14 Posted: 30 May 2019 Last Revised: 02 Jan 2020
JP Morgan, Ludwig-Maximilians-Universit√§t M√ľnchen, ETH Zurich, JP Morgan Chase, JP Morgan and JP Morgan
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Citation 21

Abstract:

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Reinforcement Learning, Imperfect Hedging, Derivatives Pricing, Derivatives Hedging, Deep Learning