Cover Image

Hedging American Put Options with Deep Reinforcement Learning

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Pickard, Reilly, Wredenhagen, Finn, DeJesus, Julio, Schlener, Mario, Lawryshyn, Yuri
Format:	Preprint
Published:	2024
Subjects:	Risk Management Machine Learning 91G20
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Optimizing Deep Reinforcement Learning for American Put Option Hedging
by: Pickard, Reilly, et al.
Published: (2024)

Deep Hedging to Manage Tail Risk
by: Ma, Yuming
Published: (2025)

Autonomous AI Agents for Option Hedging: Enhancing Financial Stability through Shortfall Aware Reinforcement Learning
by: Hu, Minxuan, et al.
Published: (2026)

No Fear of Discounting How to Manage the Transition from EONIA to ESTR
by: Bianchetti, Marco, et al.
Published: (2025)

Accelerated Computations of Sensitivities for xVA
by: Deelstra, Griselda, et al.
Published: (2022)

Impact of Climate transition on Credit portfolio's loss with stochastic collateral
by: Sopgoui, Lionel
Published: (2024)

Neural-Actuarial Longevity Forecasting: Anchoring LSTMs for Explainable Risk Management
by: Rindori, Davide
Published: (2026)

Reinforcement Learning for Micro-Level Claims Reserving
by: Avanzi, Benjamin, et al.
Published: (2026)

Decrease of capital guarantees in life insurance products: can reinsurance stop it?
by: Escobar-Anel, Marcos, et al.
Published: (2021)

Probabilistic Rule Models as Diagnostic Layers: Interpreting Structural Concept Drift in Post-Crisis Finance
by: Lesnik, Dmitry, et al.
Published: (2025)

Consistent asset modelling with random coefficients and switches between regimes
by: Wolf, Felix L., et al.
Published: (2024)

Counter-monotonic Risk Sharing with Heterogeneous Distortion Risk Measures
by: Ghossoub, Mario, et al.
Published: (2024)

The fundamental representation of pricing adjustments
by: Burnett, Benedict, et al.
Published: (2025)

Quantifying Crypto Portfolio Risk: A Simulation-Based Framework Integrating Volatility, Hedging, Contagion, and Monte Carlo Modeling
by: Firouzi, Kiarash
Published: (2025)

The Black-Scholes-Merton dual equation
by: Guo, Shuxin, et al.
Published: (2019)

Optimal Investment in Equity and Credit Default Swaps in the Presence of Default
by: Fei, Zhe, et al.
Published: (2025)

Valuation of Exotic Options and Counterparty Games Based on Conditional Diffusion
by: Zhao, Helin, et al.
Published: (2025)

Robust distortion risk metrics and portfolio optimization
by: Liu, Peng, et al.
Published: (2025)

Distributional Refinement Network: Distributional Forecasting via Deep Learning
by: Avanzi, Benjamin, et al.
Published: (2024)

A note on bequest preferences in utility maximisation for modern tontines
by: Bernhardt, Thomas
Published: (2025)

Set-valued Star-Shaped Risk Measures
by: Nie, Bingchu, et al.
Published: (2024)

Robust distortion risk measures with linear penalty under distribution uncertainty
by: Du, Yuxin, et al.
Published: (2025)

A novel k-generation propagation model for cyber risk and its application to cyber insurance
by: Ren, Na, et al.
Published: (2024)

Cost-of-capital valuation with risky assets
by: Albrecher, Hansjörg, et al.
Published: (2025)

Deep Hedging with Reinforcement Learning: A Practical Framework for Option Risk Management
by: Lucius, Travon, et al.
Published: (2025)

A deep BSDE approach for the simultaneous pricing and delta-gamma hedging of large portfolios consisting of high-dimensional multi-asset Bermudan options
by: Negyesi, Balint, et al.
Published: (2025)

Machine Learning with High-Cardinality Categorical Features in Actuarial Applications
by: Avanzi, Benjamin, et al.
Published: (2023)

Pareto-optimal reinsurance under dependence uncertainty
by: Boonen, Tim J., et al.
Published: (2025)

Extended Convolution Bounds on the Fréchet Problem: Robust Risk Aggregation and Risk Sharing
by: Liu, Peng, et al.
Published: (2025)

Risk sharing with Lambda value at risk under heterogeneous beliefs
by: Liu, Peng, et al.
Published: (2024)

Robust Reinforcement Learning with Dynamic Distortion Risk Measures
by: Coache, Anthony, et al.
Published: (2024)

Everything You Always Wanted to Know About XVA Model Risk but Were Afraid to Ask
by: Silotto, Lorenzo, et al.
Published: (2021)

Causal analysis of extreme risk in a network of industry portfolios
by: Klüppelberg, Claudia, et al.
Published: (2025)

Deep Hedging with Options Using the Implied Volatility Surface
by: François, Pascal, et al.
Published: (2025)

Rough Martingale Optimal Transport: Theory, Implementation, and Regulatory Applications for Non-Modelable Risk Factors
by: B., Sri Sairam Gautam, et al.
Published: (2026)

Realized Local Volatility Surface
by: Ma, Yuming, et al.
Published: (2025)

On the Separability of Vector-Valued Risk Measures
by: Ararat, Çağın, et al.
Published: (2024)

Replica del valor de un pool (CPM) y hedging de perdidas impermanentes
by: González, Agustín Muñoz, et al.
Published: (2024)

Dynamic Pareto Optima in Multi-Period Pure-Exchange Economies
by: Tam, Brandon, et al.
Published: (2026)

Enhancing Deep Hedging of Options with Implied Volatility Surface Feedback Information
by: François, Pascal, et al.
Published: (2024)