Alexandru Giurca

ABN AMRO - ABN-Amro Bank, The Netherlands

Gustav Mahlerlaan 10

Amsterdam, North Holland 1082 PP

Netherlands

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Delta Hedging of Derivatives using Deep Reinforcement Learning

Number of pages: 86 Posted: 18 May 2021 Last Revised: 07 Jun 2021
Alexandru Giurca and Svetlana Borovkova
ABN AMRO - ABN-Amro Bank, The Netherlands and Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration
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Abstract:

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Deep Reinforcement Learning, Derivatives, Delta Hedging, Optimal Control, Deep Q-Networks, Deep Deterministic Policy Gradient, Risk Management, Transaction Costs