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SSRNDerivatives & Volatility

Deep Learning for Delta Hedging

The paper presents a deep delta hedging framework for options, using neural networks to improve hedging performance by learning the residuals between the hedging function and the implied Black-Scholes delta.

Featured in No. 56 on 10 Jul 2024 · 5 days after release

Released
5 Jul 2024
First featured
No. 56 · 10 Jul 2024
Published in
Not yet, as far as Semantic Scholar knows
Shares when featured
3
Identifier
SSRN 4886055

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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