Deep Reinforcement Learning for Dynamic Stock Option Hedging: A Review

This paper reviews 17 studies addressing dynamic option hedging in frictional markets through Deep Reinforcement Learning (DRL). Specifically, this work analyzes the DRL models, state and action spaces, reward formulations, data generation processes and results for each study. It is found that polic...

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Bibliographic Details

Published in:	Mathematics
Main Authors:	Reilly Pickard, Yuri Lawryshyn
Format:	Article
Language:	English
Published:	MDPI AG 2023-12-01
Subjects:	reinforcement learning neural networks dynamic stock option hedging quantitative finance financial risk management
Online Access:	https://www.mdpi.com/2227-7390/11/24/4943