Hedging American Put Options with Deep Reinforcement Learning

By Reilly Pickard, Finn Wredenhagen, Julio DeJesus, Mario Schlener, Yuri Lawryshyn

Published 2024-04-01

Everscope rating

1614.9

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Deep Deterministic Policy Gradient (DDPG). Problem types: Reinforcement Learning, Dynamic Hedging, Option Pricing.

arXiv:2405.06774 · Paper rankings

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