Muyang Jin

New York University (NYU) - Center for Data Science

726 Broadway

7th Floor

New York, NY 10003

United States

  • New York University (NYU) - Center for Data Science

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Deep Reinforcement Learning for Option Replication and Hedging

Jiayi Du, Muyang Jin, Petter N. Kolm, Gordon Ritter, Yixuan Wang and Bofei Zhang, 'Deep Reinforcement Learning for Option Replication and Hedging.' The Journal of Financial Data Science 2.4 (2020).
Posted: 21 Oct 2020
Jiayi Du, Muyang Jin, Petter N. Kolm, Gordon Ritter, Yixuan Wang and Bofei Zhang
New York University (NYU) - Center for Data Science, New York University (NYU) - Center for Data Science, New York University (NYU) - Courant Institute of Mathematical Sciences, New York University (NYU) - Courant Institute of Mathematical Sciences, New York University (NYU) - Center for Data Science and New York University (NYU) - Center for Data Science

Abstract:

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Financial Machine Learning, Hedging, Deep Q-learning, Deep Reinforcement Learning, Deep Neural Networks, Option Replication, Proximal Policy Optimization