arXiv:2205.05614 공식 코드 · Papers with Code

Gamma and Vega Hedging Using Deep Distributional Reinforcement Learning

Jay Cao, Jacky Chen, Soroush Farghadani, John Hull, Zissis Poulos, Zeyu Wang, Jun Yuan

제출 2022-05-10

원문 초록

We show how D4PG can be used in conjunction with quantile regression to develop a hedging strategy for a trader responsible for derivatives that arrive stochastically and depend on a single underlying asset. We assume that the trader makes the portfolio delta neutral at the end of each day by taking a position in the underlying asset. We focus on how trades in the options can be used to manage gamma and vega. The option trades are subject to transaction costs. We consider three different objective functions. We reach conclusions on how the optimal hedging strategy depends on the trader's objective function, the level of transaction costs, and the maturity of the options used for hedging. We also investigate the robustness of the hedging strategy to the process assumed for the underlying asset.

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