Jay Cao, Jacky Chen, Soroush Farghadani, John Hull, Zissis Poulos, Zeyu Wang, Jun Yuan. Gamma and vega hedging using deep distributional reinforcement learning. Frontiers Artif. Intell., 6, February 2023. [doi]
@article{CaoCFHPWY23,
title = {Gamma and vega hedging using deep distributional reinforcement learning},
author = {Jay Cao and Jacky Chen and Soroush Farghadani and John Hull and Zissis Poulos and Zeyu Wang and Jun Yuan},
year = {2023},
month = {February},
doi = {10.3389/frai.2023.1129370},
url = {https://doi.org/10.3389/frai.2023.1129370},
researchr = {https://researchr.org/publication/CaoCFHPWY23},
cites = {0},
citedby = {0},
journal = {Frontiers Artif. Intell.},
volume = {6},
}