Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy gradient.
☆21Nov 28, 2019Updated 6 years ago
Alternatives and similar repositories for rl-bsmodel-with-costs
Users that are interested in rl-bsmodel-with-costs are comparing it to the libraries listed below
Sorting:
- Hedging unsing Deep Reinforcement Learning and Deep Learning☆26Mar 29, 2021Updated 4 years ago
- Samson's MIT Master's Degree Thesis: "Multi-Agent Deep Reinforcement Learning and GAN-Based Market Simulation for Derivatives Pricing and…☆23Sep 8, 2023Updated 2 years ago
- A Deep Learning Framework for Neural Derivative Hedging☆31Feb 3, 2022Updated 4 years ago
- Minimal implementation and experiments of "No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging".☆31May 26, 2021Updated 4 years ago
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆33Jul 28, 2020Updated 5 years ago
- ☆50Jul 22, 2020Updated 5 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆16Sep 25, 2021Updated 4 years ago
- A DQN agent that optimally hedges an options portfolio.☆25Feb 4, 2020Updated 6 years ago
- Reinforcement Learning in Finance☆16Oct 8, 2020Updated 5 years ago
- ☆15Jul 9, 2022Updated 3 years ago
- Option pricing and Delta hedging performance comparison between Black and Scholes vs Artificial Neural Network☆20Nov 25, 2020Updated 5 years ago
- Python code to perform risk-sensitive Reinforcement Learning with dynamic convex risk measures☆23Feb 21, 2024Updated 2 years ago
- Stochastic models to price financial options☆24Dec 7, 2020Updated 5 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Nov 12, 2020Updated 5 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆30Oct 23, 2023Updated 2 years ago
- Performing a trading strategy using deep deterministic policy gradients to know when to buy, hold or sell stocks in a virtual environment…☆59Apr 8, 2019Updated 6 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆162Jan 17, 2021Updated 5 years ago
- ☆38May 23, 2024Updated last year
- Submission for Optiver's 2023 ReadyTraderGo.☆26Mar 26, 2023Updated 2 years ago
- A repository for a Deep Q-Learning approach to intrusion detection for networks cyber-attacks.☆10Sep 3, 2021Updated 4 years ago
- Unsupervised Deep Learning for Temporal Multi-Omics☆26Mar 12, 2019Updated 6 years ago
- 使用LSTM及股票因子数据预测未来收益，使用LRP(layer-wise relevance propagation)增强网络可解释性☆31Sep 24, 2019Updated 6 years ago
- A Study on Stock Price Prediction and Quantitative Strategy - Based on Deep Learning 『深層学習に基づく株価予測とクオンツ戦略に関する研究』基于深度学习的股票价格预测和量化策略研究☆36Mar 30, 2022Updated 3 years ago
- A rebalancing tool to delta-hedge an options portfolio on Deribit Exchange.☆76Jun 22, 2022Updated 3 years ago
- An algorithm that intelligently executes a crypto order over time via Coinbase☆12Oct 26, 2021Updated 4 years ago
- ☆10Dec 10, 2021Updated 4 years ago
- Hedging portfolios with reinforcement learning.☆36Aug 2, 2017Updated 8 years ago
- I use various Data Science and machine learning techniques to analyze customer data using STP framework. I preprocessed the data, perform…☆12Apr 26, 2020Updated 5 years ago
- Implementation of Dynamic Computation Offloading Control Logic in a Software-Defined Vehicle (SDV) System☆11Dec 19, 2024Updated last year
- a Federated Learning Framework adapted for resource-constrained environments, focusing on IoT devices☆10Oct 6, 2025Updated 5 months ago
- Code for the paper "Hedging with linear regressions and neural networks"☆40May 14, 2021Updated 4 years ago
- Implementation of QRL☆32Jun 22, 2019Updated 6 years ago
- Automatic Options Hedging and Backtesting☆73Jun 28, 2023Updated 2 years ago
- Differential Privacy-inspired LSTM for Stock Prediction Using Financial News. NeurIPS Robust AI in Financial Services 2019.☆36Aug 25, 2020Updated 5 years ago
- Deep Reinforcement Learning based Autonomous Driving Agents☆10Jul 7, 2022Updated 3 years ago
- Fractals using Python 3☆10Apr 9, 2021Updated 4 years ago
- This is a DQN-based recommendation system for item-list recommendation and it finally achieved second place in the competition of RL-base…☆11Oct 8, 2021Updated 4 years ago
- Algorithm which quotes bid and ask prices for a stock and its options continuously by defining a bid-ask spread. Further, outstanding del…☆10Jan 11, 2026Updated last month