Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy gradient.
☆20Nov 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. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆17Sep 25, 2021Updated 4 years ago
- A DQN agent that optimally hedges an options portfolio.☆25Feb 4, 2020Updated 6 years ago
- A Deep Learning Framework for Neural Derivative Hedging☆31Feb 3, 2022Updated 4 years ago
- Hedging unsing Deep Reinforcement Learning and Deep Learning☆27Mar 29, 2021Updated 5 years ago
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- Option pricing and Delta hedging performance comparison between Black and Scholes vs Artificial Neural Network☆19Nov 25, 2020Updated 5 years ago
- Samson's MIT Master's Degree Thesis: "Multi-Agent Deep Reinforcement Learning and GAN-Based Market Simulation for Derivatives Pricing and…☆23Jul 11, 2026Updated last month
- Reinforcement Learning in Finance☆16Oct 8, 2020Updated 5 years ago
- Hedging portfolios with reinforcement learning.☆36Aug 2, 2017Updated 9 years ago
- ☆16Jul 9, 2022Updated 4 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆34Jul 28, 2020Updated 6 years ago
- Code for the paper "Hedging with linear regressions and neural networks"☆41May 14, 2021Updated 5 years ago
- Algorithmic implementation of automated adjustment of delta hedged initialized short straddle deployed over Derivatives (Options) market☆18Dec 29, 2022Updated 3 years ago
- Automatic Options Hedging and Backtesting☆82Apr 12, 2026Updated 4 months ago
- Deploy open-source AI quickly and easily - Special Bonus Offer • AdRunpod Hub is built for open source. One-click deployment and autoscaling endpoints without provisioning your own infrastructure.
- A rebalancing tool to delta-hedge an options portfolio on Deribit Exchange.☆76Jun 22, 2022Updated 4 years ago
- ☆42May 23, 2024Updated 2 years ago
- This notebook presents an example of the equal risk pricing framework with deep hedging from my paper Carbonneau, A. and Godin, F. (2020)…☆16Oct 15, 2021Updated 4 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆16Feb 26, 2020Updated 6 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 7 months ago
- ☆11Dec 18, 2015Updated 10 years ago
- Python code to perform risk-sensitive Reinforcement Learning with dynamic convex risk measures☆23Feb 21, 2024Updated 2 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆164Jan 17, 2021Updated 5 years ago
- Applying Differential Machine Learning to Calibrate Heston Model☆22Sep 24, 2023Updated 2 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- This repository is for the code of paper "Automated Cryptocurrency Trading Approach Using Ensemble Deep Reinforcement Learning: Learn to …☆20Sep 24, 2024Updated last year
- A Python implementation of the rough Bergomi model.☆144Sep 17, 2018Updated 7 years ago
- ☆15Mar 18, 2019Updated 7 years ago
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Nov 15, 2017Updated 8 years ago
- Implementation of code snippets and exercises in the book Machine Learning for Asset Managers written by Prof. Marcos López de Prado.☆16Sep 10, 2020Updated 5 years ago
- Submission for Optiver's 2023 ReadyTraderGo.☆26Mar 26, 2023Updated 3 years ago
- Stochastic models to price financial options☆24Dec 7, 2020Updated 5 years ago
- Baruch MFE MTH9894☆13Jun 4, 2017Updated 9 years ago
- A PyTorch Implementation of Neural Hawkes Process. Redefined.☆36Jul 14, 2020Updated 6 years ago
- Managed Database hosting by DigitalOcean • AdPostgreSQL, MySQL, MongoDB, Kafka, Valkey, and OpenSearch available. Automatically scale up storage and focus on building your apps.
- Fit hidden Markov model to stock returns and backtest strategy with hidden volatility regime filter☆11Nov 12, 2018Updated 7 years ago
- ☆26Mar 23, 2025Updated last year
- Pricing Asian options using finite difference schemes in Python☆11Jun 20, 2025Updated last year
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 4 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Nov 10, 2024Updated last year
- Learning project by project.☆20Aug 29, 2021Updated 4 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆22May 25, 2020Updated 6 years ago