Hedging American Put Options with Deep Reinforcement Learning: Appendix A

Table of Links

1. Abstract

2. Introduction

   Background

   Reinforcement Learning

   Similar Work

3. Methodology

   DRLAgent Design

4. Training Procedures

5. Testing Procedures

6. Results

7. SABR Experiments

8. Conclusions

9. Appendix A

10. References

Appendix A

:::info
Authors:

(1) Reilly Pickard, Department of Mechanical and Industrial Engineering, University of Toronto, Toronto, ON M5S 3G8, Canada (reilly.pickard@mail.utoronto.ca);

(2) Finn Wredenhagen, Ernst & Young LLP, Toronto, ON, M5H 0B3, Canada;

(3) Julio DeJesus, Ernst & Young LLP, Toronto, ON, M5H 0B3, Canada;

(4) Mario Schlener, Ernst & Young LLP, Toronto, ON, M5H 0B3, Canada;

(5) Yuri Lawryshyn, Department of Chemical Engineering and Applied Chemistry, University of Toronto, Toronto, ON M5S 3E5, Canada.

:::

---

:::info
This paper is available on arxiv under CC BY-NC-SA 4.0 Deed (Attribution-Noncommercial-Sharelike 4.0 International) license.

:::